European air giant trying to persuade customers to pay in euros
This panel will discuss ways to allocate resources and minimize potential exposure with a set of analytical tools to assess, simulate and quantify operational risk capital to improve business efficiency and performance across the enterprise.
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In this paper, we consider the problem of optimal partial hedging for a contingent claim subject to a preset hedging budget constraint. Under some technical assumptions on the hedged loss function and...
We show that the conservative estimate of the value-at-risk (VaR) for the sum of d random losses with given identical marginals and finite mean is equivalent to the corresponding conservative estimate...
Given a finite set of m scenarios, computing a portfolio with the minimum value-at-risk (VaR) is computationally difficult: the portfolio VaR function is nonconvex, nonsmooth and has many local minimums....
Data-sharing consortiums depend on trust, but individual firms face a prisoner's dilemma whereby providing false information can sometimes be beneficial
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.