Risk management
Quantifying natural gas storage optionality: a two-factor tree model
We quantify the optionality in US natural gas storage leases under a model of optimal storage management. The model utilizes a two-factor tree in which both factors mean-revert; it calibrates to current...
We develop a flexible multifactor stochastic model with three diffusive and three spike regimes, for daily spot and forward electricity. The model captures various stylized features of power prices, including...
This paper looks at competition and innovation in retail payments and their relation to payment pricing and payment efficiency. Payment markets are complex and economic theory cannot always guide us. There...
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The US oil spot market: a deterministic chaotic process or a stochastic...
This paper studies the US crude oil (CO) market and its structural changes. The theory of exhaustible resources and the fundamentals of crude oil supply and demand form the theoretic foundation of our research. The role of a set of recent drivers of oil...
Measuring free riding in large-value payment systems: the case of TARGET2...
This paper addresses the question of how free riding in large-value payment systems should be properly measured. Based on the valuable proposal by Denbee, Garratt and Zimmermann, various measures of free riding in large-value payment systems are investigated....
Network dynamics of TOP payments
We present an application of network theory to the Dutch payment system with specific attention to systemic stability. The network nodes comprise banks active in the Netherlands where links between the nodes are established by payments. Traditional measures...
Making the over-the-counter derivatives markets safe: a fresh look
In the aftermath of the failure of Lehman Brothers, regulators, especially in the United States and Europe, are focusing on reducing the risks in the overall ove-rthe-counter (OTC) derivatives market. We provide an overview of the OTC derivatives market...
Latest Issue: Volume 2/Number 3, Spring 2013
Welcome to the spring 2013 issue of The Journal of Financial Market Infrastructures. It is roughly a year since the Principles for Financial Market Infrastructures were published. Recently, in December 2012, an accompanying document called "Principles...
Latest Issue: Volume 6/Number 1, Spring 2013
Derek W. Bunn London Business School While advanced techniques for the precise modeling of energy price risk have attracted substantial research interest in recent years, this high level of interest does not simply reflect a challenging set of problems...
Loss given default modeling: a comparative analysis
In this study we investigated several of the most popular loss given default (LGD) models (least-squares method, Tobit, three-tiered Tobit, beta regression, inflated beta regression, censored gamma regression) in order to compare their performance. We...
Using market and credit risk analytics to strengthen performance
How are banks improving their risk management techniques?
This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
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Using market and credit risk analytics to strengthen performance
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How financial services need to consider their IT infrastructure
The global credit crisis exposed the weaknesses inherent in the risk management and IT infrastructures employed by banks.
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