Intensive care unit (ICU) readmissions of critically ill patients result in significant increases in
mortality rates and costs, but most readmissions could be avoided. Therefore, the medical …

We propose a parsimonious quantile regression framework to learn the dynamic tail
behaviors of financial asset returns. Our model captures well both the time-varying …

By stepping between bilateral counterparties, central counterparties (CCPs) transform credit
exposure, thereby improving financial stability. But, large CCPs are concentrated and …

Margin requirements protect a central counterparty (CCP) and its users against potential
losses generated by the default of any of its members. They have several components, one …

In response to the Global Financial Crisis of 2007–2009, by now, most of the financial
transactions must be cleared through central counterparties operating a dynamic margin …

This paper develops a conditional quantile model that can learn long term and short term
memories of sequential data. It builds on sequential neural networks and yet outputs …

The traditional risk-based margin models are risk sensitive but can be procyclical, especially
under stressed market conditions. The issue of procyclicality has returned to the forefront of …

During the March 2020 market turmoil, euro area money-market funds (MMFs) experienced
significant outflows, reaching almost 8% of assets under management. This paper …

We examine the effects of different margin strategies on the loss distribution of a clearing
house during various crises of different stock price trends, volatility expectations, bid-ask …

Stock index futures in Chinese market have consistently diverged from their theoretical
values. In this paper, we try to provide some explanations by proposing an equilibrium …