The author of this paper proposes a dynamic PD term structure model for multi-period stress testing and expected credit loss estimation.
In this paper, the authors investigate the new mean-reverting RW and its continuous-time limit, introduced by Moosavi and Davison (2016).
In this paper, the authors investigate the diversification benefits of iShares and their rivals (CECFs and American depositary receipts) between April 1996 and December 2004.
This paper analyzes how the yield of government securities may be managed in order to save costs in the face of the risk of a liquidity shock.
The author of this paper develops an analytical form of stressed value-at-risk (analytical SVaR), using conditional value-at-risk (CoVaR).
This paper mathematically formalizes the concept of a temporal path-dependent risk measure in order to capture the risk associated with the temporal dimension of a stochastic process.
The authors of this paper take us into the world of granular time series data.
This paper presents a natural extension of the LGM that keeps the affine structure and generates an implied volatility smile.
The authors provide a bound for the error committed when using a Fourier method to price European options, when the underlying follows an exponential Lévy dynamic.
This paper proposes using an optimization mechanism in the currency overlay portfolio construction process.
The authors of this paper derive an optimal trading strategy that benchmarks the closing price in a mean–variance optimization framework.
How risk managers should fix tracking error volatility and value-at-risk constraints in asset management
In this paper, the author determines an optimal value for a set of limits composed of the lower limit on TEV, the upper limit on TEV and the upper limit on VaR.
Interbank network and regulation policies: an analysis through agent-based simulations with adaptive learning
The authors develop an agent-based model to study the impact of a broad range of regulation policies on the banking system.
In this paper, the authors propose the SDR risk measure to consider the degree of dispersion of an extreme loss in addition to its expected value.
In this paper, the author studies how asymptotic normality does, or does not, hold for common severity distributions in operational risk models.
In this paper, the authors investigate the four most commonly used risk measures – return volatility, beta, value-at-risk and stressed value-at-risk – of a TSM trading strategy.
On the role of structural breaks in identifying the dynamic conditional linkages between stock and commodity markets
In this paper, the authors explore the time-varying linkages between two strategic commodities covering the energy sector (crude oil and natural gas) and the QE Al Rayan Islamic Index over the period March 15, 2011–December 25, 2014.
The authors of this paper model medium- and long-term Alberta power prices by identifying the primary price drivers and characterizing their dynamics in an engineering-based bottom-up model.
This paper analyzes five composite stock indexes to determine the different behaviors of scaling across markets.
The authors build a whole family of local correlation models by combining the particle method with a new, simple idea.
The authors of this paper aim to demystify portfolios selected by robust optimization by looking at limiting portfolios in the cases of both large and small uncertainty in mean returns.
The author of this paper proposes a prudent methodology to correct for potential biases in LGD estimations due to historical price appreciations, appraisal biases and wear-and-tear or potential damage to the house.
The aim of this paper is to integrate prior information into a robust parameter estimation via OBR-estimating functions.