An uncertainty quantification framework for the achievability of backtesting results of trading strategies
In this paper, the authors propose a framework for implementing and backtesting trading strategies.
The goal of this paper is to explain and improve the offshore oil storage trade observed in a contango market using a forward dynamic optimization strategy. The strategy is developed using trades in forward contracts and contrasted with the literature.
This paper introduces a three-factor model that jointly describes both natural gas forward prices and temperature forecast dynamics.
This paper develops a novel methodology for estimating the systematic risk of individual financial transmission rights and detecting the presence of abnormal returns among these financial instruments.
This paper develops a connection between the Hull–White parametric approach and the PCL correlation approach for CVA calculation.
This paper considers the empirical evaluation of a collective risk model with the geometric as the primary distribution and the exponential as the secondary distribution.
The author introduces the triangular approximation to the normal distribution in order to extract closed- and semi-closed-form solutions that are useful in risk measurement calculations.
This paper proposes a stochastic model for the maximal production of PV power on a daily basis, based on data from three transmission system operators in Germany.
Addressing probationary period within a competing risks survival model for retail mortgage loss given default
This paper presents a novel approach to modeling retail mortgage LGD estimation.
In this paper, the authors analyze the credit risk of Japanese regional banks when they lend to areas outside their original operational bases.
This paper considers the problem of European option pricing in the presence of a proportional transaction cost when the price of the underlying follows a jump–diffusion process.
This paper extends and refines the method of option pricing by frame projection of risk-neutral densities to incorporate B-splines.
This paper proposes a generalized risk budgeting approach to portfolio construction.
This paper proposes an efficient algorithm to value two popular crediting formulas found in equity-indexed annuities – APP and MPP – under general Lévy-process-based index returns.
Forward ordinal probability models for point-in-time probability of default term structure: methodologies and implementations for IFRS 9 expected credit loss estimation and CCAR stress testing
This paper proposes an ordinal model based on forward ordinal probabilities for rank outcomes.
In this paper, the authors propose a new method of constructing volatility surfaces for foreign exchange options.
In this paper, the author considers a special type of nonlinear PDE that arises by applying optimization to some financial problems.
This paper proposes a qualitative method to assess the maturity of model risk management practices within banks.
This paper proposes a nonparametric local volatility Cheyette model and applies it to pricing interest rate swaptions.
This paper applies vine copulas with GARCH marginals to the problem of capturing asset dependence and tail dynamics for currency and commodity exposures commonly found in portfolios of global corporates.
This paper proposes a new risk-based regime-switching model for stock prices to examine the impact of operational risk events on stock prices.
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.