Technical paper - Risk.net
http://www.risk.net/feeds/rss/type/technical-paper
en-gbThe validation of filtered historical value-at-risk modelsIn this paper, the authors examine the problem of validating and calibrating FHS VaR models, focussing in particular on the Hull and White (1998) approach with EWMA volatility estimates, given its extended use in the industry.
http://www.risk.net/journal-of-risk-model-validation/5455781/the-validation-of-filtered-historical-value-at-risk-models
http://www.risk.net/journal-of-risk-model-validation/5455781/the-validation-of-filtered-historical-value-at-risk-models
Mon, 19 Mar 2018 14:50:32 +0000 The Nordic/Baltic spot electric power system price: univariate nonlinear impulse-response analysisThis paper studies the characteristics of the conditional mean and volatility of daily price movements of the system price for the Nordic/Baltic one-day-ahead spot electric power market.
http://www.risk.net/journal-of-energy-markets/5429241/the-nordicbaltic-spot-electric-power-system-price-univariate-nonlinear-impulse-response-analysis
http://www.risk.net/journal-of-energy-markets/5429241/the-nordicbaltic-spot-electric-power-system-price-univariate-nonlinear-impulse-response-analysis
Thu, 15 Mar 2018 13:02:07 +0000 Takeover likelihood in the oil and gas industry: firm-, macro- or industry-specific causes?In this study, the authors investigate drivers of merger activity in the oil and gas sector and seek to ascertain how key determinants influence the takeover likelihood of oil and gas companies.
http://www.risk.net/journal-of-energy-markets/5429226/takeover-likelihood-in-the-oil-and-gas-industry-firm-macro-or-industry-specific-causes
http://www.risk.net/journal-of-energy-markets/5429226/takeover-likelihood-in-the-oil-and-gas-industry-firm-macro-or-industry-specific-causes
Thu, 15 Mar 2018 13:00:09 +0000 Moment estimators for autocorrelated time series and their application to default correlationsIn this paper, the authors analyze how autocorrelation affects MoM estimators commonly used in the industry to determine the latent asset return correlation, and propose a new estimator that includes correction terms to account for the autocorrelation and the shortness of the observed time series.
http://www.risk.net/journal-of-credit-risk/5429256/moment-estimators-for-autocorrelated-time-series-and-their-application-to-default-correlations
http://www.risk.net/journal-of-credit-risk/5429256/moment-estimators-for-autocorrelated-time-series-and-their-application-to-default-correlations
Wed, 14 Mar 2018 15:12:15 +0000 Validation of profit and loss attribution models for equity derivativesThe aim of this paper is to validate profit and loss attribution generated by daily movements of option prices as seen through their Black–Scholes (Black and Scholes 1973) and Merton (1973) implied volatilities.
http://www.risk.net/journal-of-risk-model-validation/5452281/validation-of-profit-and-loss-attribution-models-for-equity-derivatives
http://www.risk.net/journal-of-risk-model-validation/5452281/validation-of-profit-and-loss-attribution-models-for-equity-derivatives
Tue, 13 Mar 2018 10:33:46 +0000 A risk-based approach to construct multi asset portfolio solutionsIn this paper, the authors introduce an approach to cluster asset classes by correlation distance and then outline how these results can be used to design portfolios that are optimal in a group risk parity (GRP) framework.
http://www.risk.net/journal-of-investment-strategies/5443211/a-risk-based-approach-to-construct-multi-asset-portfolio-solutions
http://www.risk.net/journal-of-investment-strategies/5443211/a-risk-based-approach-to-construct-multi-asset-portfolio-solutions
Thu, 08 Mar 2018 12:17:21 +0000 The present of futuresFabio Mercurio introduces a new multi-curve model for pricing futures convexity adjustments http://www.risk.net/derivatives/5438851/the-present-of-futures
http://www.risk.net/derivatives/5438851/the-present-of-futuresFri, 02 Mar 2018 11:46:14 +0000Navigating the new energy market dynamics Utilities need to adopt new decision-making tools in order to compete in the “new normal” environment of renewable energy supply http://www.risk.net/cutting-edge/energy/5437176/navigating-the-new-energy-market-dynamics
http://www.risk.net/cutting-edge/energy/5437176/navigating-the-new-energy-market-dynamicsThu, 01 Mar 2018 17:10:14 +0000Shapley allocation, diversification and services in operational riskIn this paper, the authors propose a method of allocating operational risk regulatory capital using a closed-form Shapley method, applicable to a large number of business units (BUs).
http://www.risk.net/journal-of-operational-risk/5438696/shapley-allocation-diversification-and-services-in-operational-risk
http://www.risk.net/journal-of-operational-risk/5438696/shapley-allocation-diversification-and-services-in-operational-risk
Thu, 01 Mar 2018 13:24:19 +0000 Modeling catastrophic operational risk using a compound Neyman–Scott clustering modelIn this paper, the authors discuss the hazard generated by OpRisk driven by natural and human-made disasters, and argue the position of the LDA as the most-fitted statistical approach to deal with it.
http://www.risk.net/journal-of-operational-risk/5430331/modeling-catastrophic-operational-risk-using-a-compound-neyman-scott-clustering-model
http://www.risk.net/journal-of-operational-risk/5430331/modeling-catastrophic-operational-risk-using-a-compound-neyman-scott-clustering-model
Fri, 23 Feb 2018 11:19:37 +0000 The absence of evidence and the evidence of absence: an algorithmic approach for identifying operational outages in TARGET2This paper implements an algorithmic approach to identify participants’operational outages based on transaction data.
http://www.risk.net/journal-of-financial-market-infrastructures/5415136/the-absence-of-evidence-and-the-evidence-of-absence-an-algorithmic-approach-for-identifying-operational-outages-in-target2
http://www.risk.net/journal-of-financial-market-infrastructures/5415136/the-absence-of-evidence-and-the-evidence-of-absence-an-algorithmic-approach-for-identifying-operational-outages-in-target2
Fri, 16 Feb 2018 10:41:00 +0000 Distributed ledger technology in payments, clearing and settlementThis paper examines how DLT can be used in the area of PCS, and identifies both the opportunities and challenges associated with its long-term implementation and adoption.
http://www.risk.net/journal-of-financial-market-infrastructures/5415116/distributed-ledger-technology-in-payments-clearing-and-settlement
http://www.risk.net/journal-of-financial-market-infrastructures/5415116/distributed-ledger-technology-in-payments-clearing-and-settlement
Fri, 16 Feb 2018 10:39:52 +0000 Risk mutualization and financial stability: recovering and resolving a central counterpartyThis paper investigates how financial market participants respond to risk mutualization implemented by a CCP using assessments after a large credit loss.
http://www.risk.net/journal-of-financial-market-infrastructures/5384666/risk-mutualization-and-financial-stability-recovering-and-resolving-a-central-counterparty
http://www.risk.net/journal-of-financial-market-infrastructures/5384666/risk-mutualization-and-financial-stability-recovering-and-resolving-a-central-counterparty
Fri, 16 Feb 2018 10:38:28 +0000 SPEI’s diary: econometric analysis of a dynamic networkThis paper identifies the determinants behind the dynamics of the real-time settlement payment system in Mexico, SPEI, during the period January 2005–December 2015.
http://www.risk.net/journal-of-financial-market-infrastructures/5384371/speis-diary-econometric-analysis-of-a-dynamic-network
http://www.risk.net/journal-of-financial-market-infrastructures/5384371/speis-diary-econometric-analysis-of-a-dynamic-network
Fri, 16 Feb 2018 10:35:28 +0000 FMIC 2 special issue introduction: a policy view on developments in the field of financial market infrastructuresThis introductory article positions these papers and speeches within the context of the wider conference proceedings of the Financial Market Infrastructure Conference II: New Thinking in a New Era, including insights from the panel sessions and surrounding discussions.
http://www.risk.net/journal-of-financial-market-infrastructures/5415141/fmic-2-special-issue-introduction-a-policy-view-on-developments-in-the-field-of-financial-market-infrastructures
http://www.risk.net/journal-of-financial-market-infrastructures/5415141/fmic-2-special-issue-introduction-a-policy-view-on-developments-in-the-field-of-financial-market-infrastructures
Fri, 16 Feb 2018 10:34:23 +0000 Central counterparties and systemic stabilityThe paper is the text of a keynote address by Marc Bayle de Jessé presented at the conference.
http://www.risk.net/journal-of-financial-market-infrastructures/5414001/central-counterparties-and-systemic-stability
http://www.risk.net/journal-of-financial-market-infrastructures/5414001/central-counterparties-and-systemic-stability
Fri, 16 Feb 2018 10:30:41 +0000 Mostly prior-free asset allocationThis paper develops a prior-free version of Harry Markowitz’s efficient portfolio theory, which allows the decision maker to express their preferences with regard to risk and reward, even though they are unable to express a prior over potentially nonstationary returns.
http://www.risk.net/journal-of-risk/5416616/mostly-prior-free-asset-allocation
http://www.risk.net/journal-of-risk/5416616/mostly-prior-free-asset-allocation
Wed, 14 Feb 2018 13:21:23 +0000 A copula approach to credit valuation adjustment for swaps under wrong-way riskThis paper deals with the credit valuation adjustment (CVA) of interest rate swap (IRS) contracts in the presence of an adverse dependence between the default time and interest rates: so-called wrong-way risk (WWR).
http://www.risk.net/journal-of-credit-risk/5415416/a-copula-approach-to-cva-for-swaps-under-wrong-way-risk
http://www.risk.net/journal-of-credit-risk/5415416/a-copula-approach-to-cva-for-swaps-under-wrong-way-risk
Tue, 13 Feb 2018 15:45:07 +0000 When do central counterparties enhance market stability?This paper examines the impact of market structure and payment assumptions on the fragility of various networks.
http://www.risk.net/journal-of-financial-market-infrastructures/5384796/when-do-central-counterparties-enhance-market-stability
http://www.risk.net/journal-of-financial-market-infrastructures/5384796/when-do-central-counterparties-enhance-market-stability
Tue, 13 Feb 2018 14:19:28 +0000 The impact of unconventional monetary policy shocks on the crude oil futures marketThis paper examines how West Texas Intermediate (WTI) crude oil price returns and volatilities respond to changes in US monetary policy.
http://www.risk.net/journal-of-energy-markets/5413911/the-impact-of-unconventional-monetary-policy-shocks-on-the-crude-oil-futures-market
http://www.risk.net/journal-of-energy-markets/5413911/the-impact-of-unconventional-monetary-policy-shocks-on-the-crude-oil-futures-market
Mon, 12 Feb 2018 15:05:14 +0000 Foreign exchange correlation swap: problem solver or troublemaker?
http://www.risk.net/derivatives/5413731/foreign-exchange-correlation-swap-problem-solver-or-troublemaker
http://www.risk.net/derivatives/5413731/foreign-exchange-correlation-swap-problem-solver-or-troublemakerMon, 12 Feb 2018 14:12:36 +0000Adjoint algorithmic differentiation tool support for typical numerical patterns in computational financeThis paper demonstrates the flexibility and ease in using C++ algorithmic differentiation (AD) tools based on overloading to numerical patterns (kernels) arising in computational finance.
http://www.risk.net/journal-of-computational-finance/5399911/adjoint-algorithmic-differentiation-tool-support-for-typical-numerical-patterns-in-computational-finance
http://www.risk.net/journal-of-computational-finance/5399911/adjoint-algorithmic-differentiation-tool-support-for-typical-numerical-patterns-in-computational-finance
Mon, 12 Feb 2018 11:34:31 +0000 Monte Carlo payoff smoothing for pricing autocallable instrumentsThis paper develops a Monte Carlo method to price instruments with discontinuous payoffs and non-smooth trigger functions, which allows a stable computation of Greeks via finite differences.
http://www.risk.net/journal-of-computational-finance/5399916/monte-carlo-payoff-smoothing-for-pricing-autocallable-instruments
http://www.risk.net/journal-of-computational-finance/5399916/monte-carlo-payoff-smoothing-for-pricing-autocallable-instruments
Mon, 12 Feb 2018 11:32:35 +0000 The quickest way to lose the money you cannot afford to lose: reverse stress testing with maximum entropyThis paper extends a technique devised by Saroka and Rebonato to “optimally” deform a yield curve in order to deal with a common and practically relevant class of optimization problems subject to linear constraints.
http://www.risk.net/journal-of-risk/5388476/the-quickest-way-to-lose-the-money-you-cannot-afford-to-lose-reverse-stress-testing-with-maximum-entropy
http://www.risk.net/journal-of-risk/5388476/the-quickest-way-to-lose-the-money-you-cannot-afford-to-lose-reverse-stress-testing-with-maximum-entropy
Fri, 09 Feb 2018 12:02:18 +0000 Optimal equity protection of Solvency II regulated portfoliosIn the context of equity investments, this paper examines the relationship between the cost of acquiring protection (in the form of put option) and the reduction of capital charges that it entails. The paper develops the idea that Solvency II regulations introduce an external utility that modifies the economic value of options.
http://www.risk.net/journal-of-risk/5399906/optimal-equity-protection-of-solvency-ii-regulated-portfolios
http://www.risk.net/journal-of-risk/5399906/optimal-equity-protection-of-solvency-ii-regulated-portfolios
Fri, 09 Feb 2018 11:06:59 +0000 Valuing streams of risky cashflows with risk-value modelsBased on risk-value models this paper introduces a multi-period approach to the valuation of streams of risky cash flows.
http://www.risk.net/journal-of-risk/5399891/valuing-streams-of-risky-cashflows-with-risk-value-models
http://www.risk.net/journal-of-risk/5399891/valuing-streams-of-risky-cashflows-with-risk-value-models
Fri, 09 Feb 2018 10:49:28 +0000 American quantized calibration in stochastic volatilityFiorin, Callegaro and Grasselli show how discretisation methods reduce computing time in high- dimensional problems http://www.risk.net/derivatives/5408496/american-quantized-calibration-in-stochastic-volatility
http://www.risk.net/derivatives/5408496/american-quantized-calibration-in-stochastic-volatilityFri, 09 Feb 2018 10:45:45 +0000Central counterparty resolution: an unresolved problemThis paper describes the current policy for recovery and resolution of CCPs and assesses the tool kit for resolution of them.
http://www.risk.net/journal-of-financial-market-infrastructures/5406576/central-counterparty-resolution-an-unresolved-problem
http://www.risk.net/journal-of-financial-market-infrastructures/5406576/central-counterparty-resolution-an-unresolved-problem
Thu, 08 Feb 2018 16:01:28 +0000 Nonlinear relationships in a logistic model of default for a high-default installment portfolioThis paper uses data on consumer credit along with generalized additive models to analyze nonlinear relationships and their effect on predicting the probability of default in the context of consumer credit scoring.
http://www.risk.net/journal-of-credit-risk/5405191/nonlinear-relationships-in-a-logistic-model-of-default-for-a-high-default-installment-portfolio
http://www.risk.net/journal-of-credit-risk/5405191/nonlinear-relationships-in-a-logistic-model-of-default-for-a-high-default-installment-portfolio
Tue, 06 Feb 2018 16:18:42 +0000 A risk-sensitive approach for stressed transition probability matrixesIn this paper, the authors outline a simulation-based methodology for the generation of stressed transition probability matrixes under the structural credit risk framework.
http://www.risk.net/journal-of-risk-model-validation/5399941/a-risk-sensitive-approach-for-stressed-transition-probability-matrixes
http://www.risk.net/journal-of-risk-model-validation/5399941/a-risk-sensitive-approach-for-stressed-transition-probability-matrixes
Mon, 05 Feb 2018 12:37:27 +0000 Initial margin with risky collateralThis paper explores the complication of calculating the IM amount requirement when collateral comprises risky assets in a parametric VaR framework. The authors show that the required IM amount can be calculated by solving a quadratic inequality.
http://www.risk.net/journal-of-risk/5395426/initial-margin-with-risky-collateral
http://www.risk.net/journal-of-risk/5395426/initial-margin-with-risky-collateral
Thu, 01 Feb 2018 15:03:21 +0000 The threat of privacyThis paper is the text of a keynote address by Charles M. Kahn, presented at the Financial Market Infrastructure Conference II: New Thinking in a New Era.
http://www.risk.net/journal-of-financial-market-infrastructures/5384661/the-threat-of-privacy
http://www.risk.net/journal-of-financial-market-infrastructures/5384661/the-threat-of-privacy
Tue, 30 Jan 2018 13:00:48 +0000 Intraday power storage and demand optionalityGeorge Levy discusses the value of intraday power storage and demand optionality in UK power contracts http://www.risk.net/cutting-edge/energy/5390016/intraday-power-storage-and-demand-optionality
http://www.risk.net/cutting-edge/energy/5390016/intraday-power-storage-and-demand-optionalityMon, 29 Jan 2018 04:30:00 +0000Estimation risk for value-at-risk and expected shortfallThis paper provides a detailed analysis of the relationship between approximate VaR (ES) and exact VaR (ES) by finding a linear regression model in which the response variable is the approximate VaR (ES) and the explanatory variable is the exact VaR (ES), over a large number of simulation runs.
http://www.risk.net/journal-of-risk/5388396/estimation-risk-for-value-at-risk-and-expected-shortfall
http://www.risk.net/journal-of-risk/5388396/estimation-risk-for-value-at-risk-and-expected-shortfall
Fri, 26 Jan 2018 11:56:46 +0000 Evaluating the role of risk networks in risk identification, classification and emergenceThis paper presents an evaluation of how risk interdependence affects the risk management process.
http://www.risk.net/journal-of-network-theory-in-finance/5386426/evaluating-the-role-of-risk-networks-in-risk-identification-classification-and-emergence
http://www.risk.net/journal-of-network-theory-in-finance/5386426/evaluating-the-role-of-risk-networks-in-risk-identification-classification-and-emergence
Mon, 22 Jan 2018 12:10:38 +0000 The impact of de-tiering in the United Kingdom’s large-value payment systemThe authors conduct a head-to-head comparison of central and bilateral clearing to evaluate the impact of market structure on market stability.
http://www.risk.net/journal-of-financial-market-infrastructures/5384356/the-impact-of-de-tiering-in-the-united-kingdoms-large-value-payment-system
http://www.risk.net/journal-of-financial-market-infrastructures/5384356/the-impact-of-de-tiering-in-the-united-kingdoms-large-value-payment-system
Tue, 16 Jan 2018 14:52:43 +0000 Interconnectedness risk and active portfolio management: the information-theoretic perspectiveThis paper extensively compares mutual-information-based networks with correlation-based networks on a stand-alone basis and in the framework of active investment strategies.
http://www.risk.net/journal-of-network-theory-in-finance/5384331/interconnectedness-risk-and-active-portfolio-management-the-information-theoretic-perspective
http://www.risk.net/journal-of-network-theory-in-finance/5384331/interconnectedness-risk-and-active-portfolio-management-the-information-theoretic-perspective
Mon, 15 Jan 2018 15:09:01 +0000 Pathwise XVA Greeks for early-exercise productsNumerix quants investigate how to efficiently calculate XVA sensitivities for early-exercise products http://www.risk.net/cutting-edge/banking/5383351/pathwise-xva-greeks-for-early-exercise-products
http://www.risk.net/cutting-edge/banking/5383351/pathwise-xva-greeks-for-early-exercise-productsFri, 12 Jan 2018 11:35:44 +0000Optimal investment and financing with macroeconomic risk and loan guaranteesThis paper considers an entrepreneur who has no assets in place but possesses an option to invest in a project incurring a lump-sum investment cost, of which a fraction must be financed by entering into an equity-for-guarantee swap.
http://www.risk.net/journal-of-credit-risk/5376696/optimal-investment-and-financing-with-macroeconomic-risk-and-loan-guarantees
http://www.risk.net/journal-of-credit-risk/5376696/optimal-investment-and-financing-with-macroeconomic-risk-and-loan-guarantees
Wed, 03 Jan 2018 14:25:12 +0000 A latent variable credit risk model comprising nonlinear dependencies in a sector framework with a stochastically dependent loss given defaultThis paper proposes a latent variable credit risk model for large loan portfolios. It employs the concept of nested Archimedean copulas to account for both a sector-type dependence structure and a copula-dependent stochastic loss given default (LGD).
http://www.risk.net/journal-of-credit-risk/5376681/a-latent-variable-credit-risk-model-comprising-nonlinear-dependencies-in-a-sector-framework-with-a-stochastically-dependent-loss-given-default
http://www.risk.net/journal-of-credit-risk/5376681/a-latent-variable-credit-risk-model-comprising-nonlinear-dependencies-in-a-sector-framework-with-a-stochastically-dependent-loss-given-default
Wed, 03 Jan 2018 14:22:55 +0000 The profit-and-loss attribution testIn this paper, the authors analyze the failure probabilities of the profit-and-loss attribution (PLA) test as defined in the final market risk standard published in January 2016 by the Basel Committee on Banking Supervision.
http://www.risk.net/journal-of-risk-model-validation/5379051/the-profit-and-loss-attribution-test
http://www.risk.net/journal-of-risk-model-validation/5379051/the-profit-and-loss-attribution-test
Wed, 03 Jan 2018 12:35:24 +0000 Governance and organizational requirements for effective model risk managementThis paper expands on the foundation of model risk analytics to address the governance, organizational and human behavior challenges associated with enterprise MRM.
http://www.risk.net/journal-of-risk-model-validation/5379046/governance-and-organizational-requirements-for-effective-model-risk-management
http://www.risk.net/journal-of-risk-model-validation/5379046/governance-and-organizational-requirements-for-effective-model-risk-management
Wed, 03 Jan 2018 12:11:02 +0000 Tail protection for long investors: trend convexity at workIn this paper, the authors show that single-asset trend strategies have built-in convexity, provided their returns are aggregated over the right time scale, ie, that of the trend filter.
http://www.risk.net/journal-of-investment-strategies/5376716/tail-protection-for-long-investors-trend-convexity-at-work
http://www.risk.net/journal-of-investment-strategies/5376716/tail-protection-for-long-investors-trend-convexity-at-work
Wed, 03 Jan 2018 10:04:38 +0000 Speed and dimensions of tradingIn this paper, two new portfolio statistics are introduced: ENT, which measures trading speed, and ENTD, which measures trading diversity. Together with vectors representing major trading directions, these provide new insight into the intrinsic properties of a dynamic portfolio.
http://www.risk.net/journal-of-investment-strategies/5376711/speed-and-dimensions-of-trading
http://www.risk.net/journal-of-investment-strategies/5376711/speed-and-dimensions-of-trading
Wed, 03 Jan 2018 09:56:27 +0000 Gas storage valuation under Lévy processes using the fast Fourier transformThis paper presents the modeling benefits of using Lévy processes and the fast Fourier transform (FFT) in the valuation of gas storage assets and, from a practitioner’s perspective, in creating market-consistent valuations and hedging portfolios.
http://www.risk.net/journal-of-energy-markets/5374701/gas-storage-valuation-under-levy-processes-using-the-fast-fourier-transform
http://www.risk.net/journal-of-energy-markets/5374701/gas-storage-valuation-under-levy-processes-using-the-fast-fourier-transform
Wed, 20 Dec 2017 15:40:42 +0000 Identifying complex core–periphery structures in the interbank marketThis paper proposes a framework to identify the structure of a financial network and its evolution over time, and presents an application to an interbank market with complete actual data.
http://www.risk.net/journal-of-network-theory-in-finance/5375601/identifying-complex-core-periphery-structures-in-the-interbank-market
http://www.risk.net/journal-of-network-theory-in-finance/5375601/identifying-complex-core-periphery-structures-in-the-interbank-market
Tue, 19 Dec 2017 14:56:41 +0000 Issuer bias in corporate ratings toward financially constrained firmsThis paper considers whether the rating agency attempts to mitigate the feedback effect through its rating actions. Using Moody’s issuer ratings over 1982–2009, the paper shows that firms with greater external financing constraints are less likely to be downgraded.
http://www.risk.net/journal-of-credit-risk/5374686/issuer-bias-in-corporate-ratings-toward-financially-constrained-firms
http://www.risk.net/journal-of-credit-risk/5374686/issuer-bias-in-corporate-ratings-toward-financially-constrained-firms
Thu, 14 Dec 2017 12:31:53 +0000 Evolutionary algos for optimising MVAAlexei Kondratyev and George Giorgidze apply two evolutionary algos to MVA optimisation http://www.risk.net/cutting-edge/banking/5374321/evolutionary-algos-for-optimising-mva
http://www.risk.net/cutting-edge/banking/5374321/evolutionary-algos-for-optimising-mvaThu, 14 Dec 2017 12:08:47 +0000The FRTB’s P&L attribution-based eligibility test: an alternative proposalSpinaci, Benigno, Fraquelli and Montoro propose two alternatives to the P&L attribution test http://www.risk.net/cutting-edge/banking/5374326/the-frtbs-pl-attribution-based-eligibility-test-an-alternative-proposal
http://www.risk.net/cutting-edge/banking/5374326/the-frtbs-pl-attribution-based-eligibility-test-an-alternative-proposalThu, 14 Dec 2017 12:04:11 +0000Optimal intraday power trading with a Gaussian additive processThis paper studies the problem of a financial agent wishing to maximize a constant relative risk-aversion expected utility of their terminal wealth while operating in an ID market.
http://www.risk.net/journal-of-energy-markets/5371881/optimal-intraday-power-trading-with-a-gaussian-additive-process
http://www.risk.net/journal-of-energy-markets/5371881/optimal-intraday-power-trading-with-a-gaussian-additive-process
Fri, 08 Dec 2017 12:17:22 +0000