Risk management
Insurers 'should be exempt from initial margining requirements' on ALM...
No economic need for initial margin on non-centrally cleared derivatives, argues Insurance Europe
In this paper, we present three new discretization schemes for the Heston stochastic volatility model: two schemes for simulating the variance process and one for simulating the integrated variance process...
A numerical method for pricing Bermudan options depending on a large number of underlyings is presented. The asset prices are modeled with exponential time-inhomogeneous jump-diffusion processes. We improve...
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How banks needs to consider their IT infrastructure
Banks are increasingly using their IT infrastructure to increase their competitive advantage. Learn how this can work in practice.
More Risk management articles
Pricing synthetic collateralized debt obligations based on exponential...
Correlation-dependent derivatives, such as asset-backed securities and collateralized debt obligations (CDOs), are common tools for offsetting credit risk. Factor models in the conditional independence framework are widely used in practice to capture...
Numerical methods for an optimal order execution problem
This paper deals with numerical solutions to an impulse control problem arising from optimal portfolio liquidation with bid-ask spread and market price impact penalizing speedy execution trades. The corresponding dynamic programming (DP) equation is a...
Latest Issue: Volume 8/Number 1, Spring 2013
Marcelo Cruz Welcome to the first issue of the eighth volume of The Journal of Operational Risk. As spring knocks on our doors we seem to be living through another round of optimism in the financial industry, with people hoping we will return to some...
Deriving consensus ratings of the big three rating agencies
This paper introduces a model framework for dynamic credit rating processes. Our framework aggregates ordinal rating information stemming from a variety of rating sources. The dynamic of the consensus rating captures systematic as well as idiosyncratic...
The survival analysis approach in Basel II credit risk management: modeling...
In the last three years most European banking groups have chosen to adopt Basel II "advance status". This has required banks to develop statistical models for estimating probability of default, loss given default and exposure at default within a horizon...
Latest Issue: Volume 16/Number 3, Spring 2013
Welcome to Volume 16, Issue 3 of The Journal of Computational Finance. In this issue we present 4 research papers: 'Numerical methods for an optimal order execution problem' by Fabien Guilbaud, Mohamed Mnif and Huyen Pham, 'Fast and accurate long-stepping...
High-frequency trading and long-term investors: a view from the buy...
With the proliferation of high-frequency trading (HFT), understanding the effects of HFT on market quality and the opportunities that HFT creates for long-term (LT) investors is important in building an efficient regulatory framework. This paper demonstrates...
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
This white paper reviews the various steps banks are taking to improve their risk management techniques.
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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