Technical papers - Risk.net
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Technical papersCVA with Greeks and AAD
<p><img alt="cutting-edge-pic-2" src="http://www.risk.net/IMG/124/214124/cutting-edge-pic-2-320x198.jpg" title="" /></p>
<p><!-- subheading --> Quants present new technique to calculate CVA using adjoints <!-- end-subheading --> <!-- summary --> Calculating CVA is a daunting task. Here, Adil Reghai, Othmane Kettani and Marouen Messaoud introduce a new approach for CVA valuation in a Monte Carlo setting using adjoint algorithmic differentiation. They take advantage of the duality relationships between parameter and hedging sensitivities combined with the martingale representation theorem to calculate CVA in an efficient manner <!-- end-summary --> </p>
http://www.risk.net/risk-magazine/technical-paper/2436867/cva-with-greeks-and-aad
http://www.risk.net/risk-magazine/technical-paper/2436867/cva-with-greeks-and-aadFri, 27 Nov 2015 16:00:12 +0000Modeling operational risk capital: the inconvenient truth
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper shows that it is an "inconvenient truth" that the largest losses by banks are not firm specific. <!-- end-summary --> </p>
http://www.risk.net/journal-of-operational-risk/technical-paper/2435296/modeling-operational-risk-capital-the-inconvenient-truth
http://www.risk.net/journal-of-operational-risk/technical-paper/2435296/modeling-operational-risk-capital-the-inconvenient-truthFri, 27 Nov 2015 13:20:00 +0000Electricity futures prices: time-varying sensitivity to fundamentals
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper looks at the time-varying relation between electricity futures prices and fundamentals. <!-- end-summary --> </p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2436650/electricity-futures-prices-time-varying-sensitivity-to-fundamentals
http://www.risk.net/journal-of-energy-markets/technical-paper/2436650/electricity-futures-prices-time-varying-sensitivity-to-fundamentalsThu, 26 Nov 2015 11:55:00 +0000An analytical value-at-risk approach for a credit portfolio with liquidity horizon and portfolio rebalancing
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> The authors provide a two-period analytical value-at-risk approach for credit portfolios with a liquidity horizon and a constant level of risk. <!-- end-summary --> </p>
http://www.risk.net/journal-of-credit-risk/technical-paper/2436454/an-analytical-value-at-risk-approach-for-a-credit-portfolio-with-liquidity-horizon-and-portfolio-rebalancing
http://www.risk.net/journal-of-credit-risk/technical-paper/2436454/an-analytical-value-at-risk-approach-for-a-credit-portfolio-with-liquidity-horizon-and-portfolio-rebalancingWed, 25 Nov 2015 11:50:00 +0000Stop-outs under serial correlation and the triple penance rule
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper provides a theoretical justification as to why investment firms typically set less strict stop-out rules for PMs with higher Sharpe ratios. <!-- end-summary --> </p>
http://www.risk.net/journal-of-risk/technical-paper/2435335/stop-outs-under-serial-correlation-and-the-triple-penance-rule
http://www.risk.net/journal-of-risk/technical-paper/2435335/stop-outs-under-serial-correlation-and-the-triple-penance-ruleMon, 23 Nov 2015 16:01:00 +0000Random matrix theory applied to correlations in operational risk
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper focuses on the distribution of correlations among aggregate operational risk losses. <!-- end-summary --> </p>
http://www.risk.net/journal-of-operational-risk/technical-paper/2435289/random-matrix-theory-applied-to-correlations-in-operational-risk
http://www.risk.net/journal-of-operational-risk/technical-paper/2435289/random-matrix-theory-applied-to-correlations-in-operational-riskFri, 20 Nov 2015 13:04:00 +0000What is the best risk measure in practice? A comparison of standard measures
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper revisits the properties of risk measures and checks VaR, ES and expectiles with regard to whether or not they enjoy these properties. <!-- end-summary --> </p>
http://www.risk.net/journal-of-risk/technical-paper/2434913/what-is-the-best-risk-measure-in-practice-a-comparison-of-standard-measures
http://www.risk.net/journal-of-risk/technical-paper/2434913/what-is-the-best-risk-measure-in-practice-a-comparison-of-standard-measuresTue, 17 Nov 2015 15:45:00 +0000Importance sampling for jump processes and applications to finance
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> Adaptive importance sampling techniques are widely known for the Gaussian setting of Brownian-driven diffusions. In this paper, the authors extend them to jump processes.
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http://www.risk.net/journal-of-computational-finance/technical-paper/2432447/importance-sampling-for-jump-processes-and-applications-to-finance
http://www.risk.net/journal-of-computational-finance/technical-paper/2432447/importance-sampling-for-jump-processes-and-applications-to-financeFri, 13 Nov 2015 16:38:00 +0000Application of the convolution operator for scenario integration with loss data in operational risk modeling
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper addresses the uncertainty in scenario analysis and produces a combined loss distribution. <!-- end-summary --> </p>
http://www.risk.net/journal-of-operational-risk/technical-paper/2434653/application-of-the-convolution-operator-for-scenario-integration-with-loss-data-in-operational-risk-modeling
http://www.risk.net/journal-of-operational-risk/technical-paper/2434653/application-of-the-convolution-operator-for-scenario-integration-with-loss-data-in-operational-risk-modelingFri, 13 Nov 2015 11:30:00 +0000Nonnegative risk components
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper proposes two methods for attributing the risk of a portfolio or system to its components. <!-- end-summary --> </p>
http://www.risk.net/journal-of-risk/technical-paper/2434097/nonnegative-risk-components
http://www.risk.net/journal-of-risk/technical-paper/2434097/nonnegative-risk-componentsThu, 12 Nov 2015 10:25:00 +0000SLADI: a semi-Lagrangian alternating-direction implicit method for the numerical solution of advection–diffusion problems with application to electricity storage valuations
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> In this paper, an efficient and novel methodology for numerically solving advection–diffusion problems is presented.
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http://www.risk.net/journal-of-computational-finance/technical-paper/2432446/sladi-a-semi-lagrangian-alternating-direction-implicit-method-for-the-numerical-solution-of-advection-diffusion-problems-with-application-to-electricity-storage-valuations
http://www.risk.net/journal-of-computational-finance/technical-paper/2432446/sladi-a-semi-lagrangian-alternating-direction-implicit-method-for-the-numerical-solution-of-advection-diffusion-problems-with-application-to-electricity-storage-valuationsMon, 09 Nov 2015 16:30:00 +0000A comparison of alternative mixing models for external data in operational risk
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper studies alternative mixing models for external data for a particular risk class. <!-- end-summary --> </p>
http://www.risk.net/journal-of-operational-risk/technical-paper/2433801/a-comparison-of-alternative-mixing-models-for-external-data-in-operational-risk
http://www.risk.net/journal-of-operational-risk/technical-paper/2433801/a-comparison-of-alternative-mixing-models-for-external-data-in-operational-riskFri, 06 Nov 2015 17:15:00 +0000Risk budgeting and diversification based on optimised uncorrelated factors
<p><img alt="business-diversification" src="http://www.risk.net/IMG/567/316567/business-diversification-320x198.jpg" title="" /></p>
<p><!-- subheading --> Meucci, Santangelo and Deguest introduce a risk decomposition method based on minimum-torsion bets <!-- end-subheading --> <!-- summary --> Standard risk budgeting and risk parity use marginal risk contributions to attribute risk to the different instruments in a portfolio. Attilio Meucci, Alberto Santangelo and Romain Deguest introduce an alternative, natural, more general risk decomposition based on ‘minimum-torsion bets’, which uncovers the effective number of uncorrelated bets in a portfolio <!-- end-summary --> </p>
http://www.risk.net/risk-magazine/technical-paper/2433224/risk-budgeting-and-diversification-based-on-optimised-uncorrelated-factors
http://www.risk.net/risk-magazine/technical-paper/2433224/risk-budgeting-and-diversification-based-on-optimised-uncorrelated-factorsThu, 05 Nov 2015 17:40:47 +0000Jumping with default: wrong-way risk modelling for CVA
<p><img alt="cogs-and-currency" src="http://www.risk.net/IMG/014/304014/cogs-and-currency-320x198.jpg" title="" /></p>
<p><!-- subheading --> Fabio Mercurio and Minqiang Li investigate CVAs in the presence of wrong-way risk <!-- end-subheading --> <!-- summary --> Fabio Mercurio and Minqiang Li investigate credit valuation adjustments (CVAs) in the presence of wrong-way risk by introducing jumps at default to model the correlation between counterparty default and relevant risk factors. Efficient approximations based on CVA formulas with the independence assumption are presented, and numerical examples for a cross-currency swap and a vanilla interest rate swap are showcased <!-- end-summary --> </p>
http://www.risk.net/risk-magazine/technical-paper/2433221/jumping-with-default-wrong-way-risk-modelling-for-cva
http://www.risk.net/risk-magazine/technical-paper/2433221/jumping-with-default-wrong-way-risk-modelling-for-cvaWed, 04 Nov 2015 13:06:58 +0000Numerical methods for the quadratic hedging problem in Markov models with jumps
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> In this paper algorithms are developed using the Hamilton–Jacobi–Bellman approach for parabolic partial integrodifferential equations related to the quadratic hedging strategy in incomplete markets.
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http://www.risk.net/journal-of-computational-finance/technical-paper/2432443/numerical-methods-for-the-quadratic-hedging-problem-in-markov-models-with-jumps
http://www.risk.net/journal-of-computational-finance/technical-paper/2432443/numerical-methods-for-the-quadratic-hedging-problem-in-markov-models-with-jumpsWed, 04 Nov 2015 12:50:00 +0000FVA for general instruments
<p><img alt="Frustrated man at the blackboard during a maths class" src="http://www.risk.net/IMG/549/125549/maths-class-original-320x198.jpg" title="" /></p>
<p><!-- subheading --> Alexander Antonov, Bianchetti and Mihai develop a universal and efficient approach to numerical FVA calculation <!-- end-subheading --> <!-- summary --> Computing the funding valuation adjustment (FVA) is hard, as it requires the numerical solution of generally non-linear partial differential equations. In this paper, Alexander Antonov, Marco Bianchetti and Ion Mihai develop a universal and efficient approach to numerical FVA calculation for portfolios of general instruments with multiple stochastic assets and funding sources <!-- end-summary --> </p>
http://www.risk.net/risk-magazine/technical-paper/2433133/fva-for-general-instruments
http://www.risk.net/risk-magazine/technical-paper/2433133/fva-for-general-instrumentsTue, 03 Nov 2015 13:46:38 +0000Modelling the financial risks of wind generation with Weibull
<p><img alt="Investment in renewable energy" src="http://www.risk.net/IMG/492/232492/shu-79508902-windturbines-320x198.jpg" title="Wind energy: problems due to intermittency and high storage costs" /></p>
<p><!-- subheading --> The manner in which wind generation can affect the half-hourly APX price is discussed <!-- end-subheading --> <!-- summary --> This paper discusses the manner in which wind generation can affect the half-hourly APX price and also the risk
distributions associated with various power contracts. Wind generation is modelled using correlated doubly truncated
Weibull distributions, and analytic formulae for the values of puts and calls are presented <!-- end-summary --> </p>
http://www.risk.net/energy-risk/technical-paper/2432786/modelling-the-financial-risks-of-wind-generation-with-weibull
http://www.risk.net/energy-risk/technical-paper/2432786/modelling-the-financial-risks-of-wind-generation-with-weibullFri, 30 Oct 2015 13:18:21 +0000Optimal investment: bounds and heuristics
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> The authors present a technique for finding upper bounds on the value of a portfolio in a (possibly high-dimensional) optimal investment problem.
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http://www.risk.net/journal-of-computational-finance/technical-paper/2432431/optimal-investment-bounds-and-heuristics
http://www.risk.net/journal-of-computational-finance/technical-paper/2432431/optimal-investment-bounds-and-heuristicsWed, 28 Oct 2015 16:00:00 +0000Bayesian synthesis of portfolio credit risk with missing ratings
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper uses a maximum likelihood estimation to assess the projected average default rates of debt portfolios. <!-- end-summary --> </p>
http://www.risk.net/journal-of-risk/technical-paper/2429587/bayesian-synthesis-of-portfolio-credit-risk-with-missing-ratings
http://www.risk.net/journal-of-risk/technical-paper/2429587/bayesian-synthesis-of-portfolio-credit-risk-with-missing-ratingsWed, 21 Oct 2015 14:20:00 +0100Extreme value theory, asset ranking and threshold choice: a practical note on VaR estimation
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper analyzes asset rankings derived from state-of-the-art POT approaches to estimate VaR. <!-- end-summary --> </p>
http://www.risk.net/journal-of-risk/technical-paper/2428929/extreme-value-theory-asset-ranking-and-threshold-choice-a-practical-note-on-var-estimation
http://www.risk.net/journal-of-risk/technical-paper/2428929/extreme-value-theory-asset-ranking-and-threshold-choice-a-practical-note-on-var-estimationWed, 21 Oct 2015 14:20:00 +0100Historical simulation with component weight and ghosted scenarios
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper puts forward two strategies for improving Historical Simulation in weak areas. <!-- end-summary --> </p>
http://www.risk.net/journal-of-risk/technical-paper/2427781/historical-simulation-with-component-weight-and-ghosted-scenarios
http://www.risk.net/journal-of-risk/technical-paper/2427781/historical-simulation-with-component-weight-and-ghosted-scenariosWed, 21 Oct 2015 14:20:00 +0100Managing option-trading risk when mental accounting influences prices
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper explores the implications for risk management of mental accounting of a call option with its underlying. <!-- end-summary --> </p>
http://www.risk.net/journal-of-risk/technical-paper/2429609/managing-option-trading-risk-when-mental-accounting-influences-prices
http://www.risk.net/journal-of-risk/technical-paper/2429609/managing-option-trading-risk-when-mental-accounting-influences-pricesWed, 21 Oct 2015 14:15:00 +0100Cutting edge introduction: Expanding collateral options
<p><img alt="techtree2" src="http://www.risk.net/IMG/934/285934/techtree2-320x198.jpg" title="" /></p>
<p><!-- subheading --> Two RBC quants propose a way to value CSAs with more than two currency posting options <!-- end-subheading --> <!-- summary --> Pricing the optionality in derivatives trades where counterparties have the right to post multiple currencies as margin is a notoriously complex problem – so many ignore it. Research by quants at RBC Capital Markets might help put it back on the agenda <!-- end-summary --> </p>
http://www.risk.net/risk-magazine/technical-paper/2428133/cutting-edge-introduction-expanding-collateral-options
http://www.risk.net/risk-magazine/technical-paper/2428133/cutting-edge-introduction-expanding-collateral-optionsThu, 01 Oct 2015 16:47:48 +0100A non-linear PDE for XVA by forward Monte Carlo
<p><img alt="phrenology-model-head-calculation-modulation-order" src="http://www.risk.net/IMG/049/88049/phrenology-model-head-calculation-modulation-order-320x198.jpg" title="." /></p>
<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> Vladimir Piterbarg considers a non-linear partial differentiation equation that appears in a number of XVA-related contexts, including a one-way credit-support annex, credit value adjustment with risky closeout, option pricing with differential borrowing and lending rates, accounting-consistent valuation and constrained cash supply. In showing its solution is given as the minimum of solutions of certain related but linear PDEs, he develops an efficient forward simulation algorithm for any number of dimensions <!-- end-summary --> </p>
http://www.risk.net/risk-magazine/technical-paper/2428230/a-non-linear-pde-for-xva-by-forward-monte-carlo
http://www.risk.net/risk-magazine/technical-paper/2428230/a-non-linear-pde-for-xva-by-forward-monte-carloThu, 01 Oct 2015 11:52:00 +0100Collateral option valuation made easy
<p><img alt="collateral" src="http://www.risk.net/IMG/934/251934/collateral-2-320x198.jpg" title="" /></p>
<p><!-- subheading --> Vladimir Sankovich and Qinghua Zhu develop a method to value cheapest-to-deliver option embedded in CSAs <!-- end-subheading --> <!-- summary --> The option to switch the currency of posted collateral embedded in some credit support annexes may have a significant impact on the discounting of derivatives contracts. In this paper, Vladimir Sankovich and Qinghua Zhu develop an approximation for the value of the cheapest-to-deliver option, demonstrate how the necessary model parameters can be implied from historical data and show how it can be applied to baskets with any number of collateral currencies <!-- end-summary --> </p>
http://www.risk.net/risk-magazine/technical-paper/2428223/collateral-option-valuation-made-easy
http://www.risk.net/risk-magazine/technical-paper/2428223/collateral-option-valuation-made-easyWed, 30 Sep 2015 13:00:23 +0100Real-time prediction and post-mortem analysis of the Shanghai 2015 stock market bubble and crash
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper assesses the performance of the real-time diagnostic of the bubble regime in Chinese stock markets. <!-- end-summary --> </p>
http://www.risk.net/journal-of-investment-strategies/technical-paper/2427649/real-time-prediction-and-post-mortem-analysis-of-the-shanghai-2015-stock-market-bubble-and-crash
http://www.risk.net/journal-of-investment-strategies/technical-paper/2427649/real-time-prediction-and-post-mortem-analysis-of-the-shanghai-2015-stock-market-bubble-and-crashFri, 25 Sep 2015 12:45:00 +0100Optimal betting sizes for the game of blackjack
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> The authors of this paper develop the theory of Kelly and Thorp for determining optimal bet sizes for blackjack by incorporating two practical considerations. <!-- end-summary --> </p>
http://www.risk.net/journal-of-investment-strategies/technical-paper/2427156/optimal-betting-sizes-for-the-game-of-blackjack
http://www.risk.net/journal-of-investment-strategies/technical-paper/2427156/optimal-betting-sizes-for-the-game-of-blackjackFri, 25 Sep 2015 12:30:00 +0100The impact of visible and dark orders
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper presents empirical evidence of how different components of order flow affect returns. <!-- end-summary --> </p>
http://www.risk.net/journal-of-investment-strategies/technical-paper/2426601/the-impact-of-visible-and-dark-orders
http://www.risk.net/journal-of-investment-strategies/technical-paper/2426601/the-impact-of-visible-and-dark-ordersFri, 25 Sep 2015 12:30:00 +0100A unified framework for risk-based investing
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper aims to help investors better understand the commonalities and differences between risk-based portfolio strategies in the investment industry. <!-- end-summary --> </p>
http://www.risk.net/journal-of-investment-strategies/technical-paper/2425997/a-unified-framework-for-risk-based-investing
http://www.risk.net/journal-of-investment-strategies/technical-paper/2425997/a-unified-framework-for-risk-based-investingFri, 25 Sep 2015 12:30:00 +0100Stress testing and model validation: application of the Bayesian approach to a credit risk portfolio
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> The authors of this paper develop a Bayesian-based credit risk stress-testing methodology. <!-- end-summary --> </p>
http://www.risk.net/journal-of-risk-model-validation/technical-paper/2426782/stress-testing-and-model-validation-application-of-the-bayesian-approach-to-a-credit-risk-portfolio
http://www.risk.net/journal-of-risk-model-validation/technical-paper/2426782/stress-testing-and-model-validation-application-of-the-bayesian-approach-to-a-credit-risk-portfolioFri, 25 Sep 2015 12:00:00 +0100Risk model validation for BRICS countries: a value-at-risk, expected shortfall and extreme value theory approach
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> The authors of this paper employ value-at-risk (VaR) and expected shortfall (ES) as risk measures to assess the competency of several volatility models, based on the stock indexes of the BRICS countries (Brazil, Russia, India, China and South Africa) after the financial crisis. <!-- end-summary --> </p>
http://www.risk.net/journal-of-risk-model-validation/technical-paper/2424800/risk-model-validation-for-brics-countries-a-value-at-risk-expected-shortfall-and-extreme-value-theory-approach
http://www.risk.net/journal-of-risk-model-validation/technical-paper/2424800/risk-model-validation-for-brics-countries-a-value-at-risk-expected-shortfall-and-extreme-value-theory-approachFri, 25 Sep 2015 12:00:00 +0100Comprehensive Capital Analysis and Review stress tests: is regression the only tool for loss projection?
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> The authors of this paper present a cross-sectional stress test analysis of major US banks. <!-- end-summary --> </p>
http://www.risk.net/journal-of-risk-model-validation/technical-paper/2427631/comprehensive-capital-analysis-and-review-stress-tests-is-regression-the-only-tool-for-loss-projection
http://www.risk.net/journal-of-risk-model-validation/technical-paper/2427631/comprehensive-capital-analysis-and-review-stress-tests-is-regression-the-only-tool-for-loss-projectionFri, 25 Sep 2015 11:55:00 +0100Loss given default modeling: an application to data from a Polish bank
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper compares two methods of estimating LGD: a beta regression model and a multinomial logit (MNL) model. <!-- end-summary --> </p>
http://www.risk.net/journal-of-risk-model-validation/technical-paper/2425809/loss-given-default-modeling-an-application-to-data-from-a-polish-bank
http://www.risk.net/journal-of-risk-model-validation/technical-paper/2425809/loss-given-default-modeling-an-application-to-data-from-a-polish-bankFri, 25 Sep 2015 11:55:00 +0100Guest Editorial for The Journal of Operational Risk: Volume 10, Number 3 (September 2015)
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http://www.risk.net/journal-of-operational-risk/technical-paper/2427613/guest-editorial-for-the-journal-of-operational-risk-volume-10-number-3
http://www.risk.net/journal-of-operational-risk/technical-paper/2427613/guest-editorial-for-the-journal-of-operational-risk-volume-10-number-3Fri, 25 Sep 2015 11:30:00 +0100Outsourcing risk: a separate operational risk category?
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper identifies three steps in sourcing risk. <!-- end-summary --> </p>
http://www.risk.net/journal-of-operational-risk/technical-paper/2424197/outsourcing-risk-a-separate-operational-risk-category
http://www.risk.net/journal-of-operational-risk/technical-paper/2424197/outsourcing-risk-a-separate-operational-risk-categoryFri, 25 Sep 2015 11:15:00 +0100Truncated lognormals as a power-law mimic in operational risk
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper makes use of the power-law mimicry properties of the truncated lognormal distribution and shows how they fit operational risk data considerably well. <!-- end-summary --> </p>
http://www.risk.net/journal-of-operational-risk/technical-paper/2422578/truncated-lognormals-as-a-power-law-mimic-in-operational-risk
http://www.risk.net/journal-of-operational-risk/technical-paper/2422578/truncated-lognormals-as-a-power-law-mimic-in-operational-riskFri, 25 Sep 2015 11:15:00 +0100Which risk–collateral channels affect loan management?
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This study examines the empirical relation between loan risk and the economic characteristics of collateral, each of which may be associated with the empirical dominance of different risk-collateral channels implied by economic theory. <!-- end-summary --> </p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2425678/which-risk-collateral-channels-affect-loan-management
http://www.risk.net/journal-of-energy-markets/technical-paper/2425678/which-risk-collateral-channels-affect-loan-managementFri, 25 Sep 2015 11:10:00 +0100A weighted likelihood estimator for operational risk data: improving the accuracy of capital estimates by robustifying maximum likelihood estimates
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper proposes the use of a robust generalization of MLEs for the modeling of operational loss data. <!-- end-summary --> </p>
http://www.risk.net/journal-of-operational-risk/technical-paper/2425497/a-weighted-likelihood-estimator-for-operational-risk-data-improving-the-accuracy-of-capital-estimates-by-robustifying-maximum-likelihood-estimates
http://www.risk.net/journal-of-operational-risk/technical-paper/2425497/a-weighted-likelihood-estimator-for-operational-risk-data-improving-the-accuracy-of-capital-estimates-by-robustifying-maximum-likelihood-estimatesFri, 25 Sep 2015 11:10:00 +0100Mitigating rogue-trading behavior by means of appropriate, effective operational risk management
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper discusses the violation of applicable firm guidelines by individuals employed by a bank or financial institution and suggests specific metrics to identify and prevent such behaviour. <!-- end-summary --> </p>
http://www.risk.net/journal-of-operational-risk/technical-paper/2421847/mitigating-rogue-trading-behavior-by-means-of-appropriate-effective-operational-risk-management
http://www.risk.net/journal-of-operational-risk/technical-paper/2421847/mitigating-rogue-trading-behavior-by-means-of-appropriate-effective-operational-risk-managementFri, 25 Sep 2015 11:10:00 +0100