This paper introduces a local volatility model for the valuation of options on commodity futures by using European vanilla option prices.
Asset price bubbles and the quantification of credit risk capital with sensitivity analysis, empirical implementation and an application to stress testing
This paper presents an analysis of the impact of asset price bubbles on standard credit risk measures.
In this paper, the author proposes a method to estimate the tail shape parameter of the risk-neutral density.
This paper compares mVaR and mES estimators with VaR and ES under normal and fat tailed t-distributions.
This paper investigates direct and indirect volatility evaluations in the multivariate framework by means of a Monte Carlo simulation.
This paper aims to fill a gap in the literature by developing the first comprehensive risk management framework for private equity fund investments.
This paper discusses the different approaches to incorporating market liquidity risk within a CCP’s default waterfall and the challenges that these approaches pose.
This paper presents a new approach to parameter selection based on the statistical properties of the worst loss over a margin period of risk estimated by the margin model under scrutiny.
This paper proposes a performance test based on empirical similarity that would account for margin shortfall, procyclicality and efficiency in a single score.
This paper presents a clearinghouse framework to establish initial margin requirements for portfolios of credit default swap instruments.
In this paper, the authors address one aspect of CCP risk management: initial margining practices. The paper provides a historical review of margining at selected CCPs as well as an overview of their current margin policies.
In this paper, the author provides an empirical analysis of the network characteristics of two interrelated interbank money markets and their effect on overall market conditions.
Through financial network analysis, this paper ascertains the existence of important causal behavior between certain financial assets, as inferred from eight different causality methods.
In this paper, the authors use information theory quantifiers to analyze the graphs generated by the VG method as applied to the return rate time series of stock markets from different countries.
Adapting the Basel II advanced internal-ratings-based models for International Financial Reporting Standard 9
This paper examines how we may use A-IRB models in the estimation of expected credit losses for IFRS 9 purposes.
This paper describes a simple model that can be used for risk management.
This paper proposes a portfolio credit risk model with random recovery rates.
In this paper, the authors provide tools to test the correctness of backtest engines for setups with at most one entry and one exit.
This paper brings Black–Litterman optimization, exotic betas and varying starting portfolios together into one complete, symbiotic framework.
This paper offers a new perspective on portfolio allocation, which avoids any explicit optimization and instead takes the point of view of symmetry.
This paper proposes and investigates a valuation model for the income of selling tradeable green certificates in the Swedish–Norwegian market, formulated as a singular stochastic control problem.
This paper focuses on the parametric estimators of risk measures and uses Hampel’s infinitesimal approach to derive the robustness properties.
This paper provides an analysis of a broad spectrum of fundamental and nonfundamental indicators for crude oil prices.
This paper applies classical theory to determine if limiting distributions exist for WCvM test statistics under a simple null hypothesis.