Technical papers - Risk.net
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Technical papersWrong-way risk done right
<p><img alt="social-media-wrong-way" src="http://www.risk.net/IMG/816/311816/social-media-wrong-way-320x198.png" title="" /></p>
<p><!-- subheading --> Jacky Lee and Luca Capriotti present an arbitrage-free valuation method for counterparty exposure of credit derivates portfolios. <!-- end-subheading --> <!-- summary --> Here, Jacky Lee and Luca Capriotti present an arbitrage-free valuation framework for the counterparty exposure of credit derivatives portfolios. The method is able to consistently capture the effects of credit spread volatility and credit correlations. By introducing fast semi-analytical approximations, they demonstrate how the proposed approach can be used to handle large portfolios of credit default swaps under financially realistic models of default intensities <!-- end-summary --> </p>
http://www.risk.net/risk-magazine/technical-paper/2423281/wrong-way-risk-done-right
http://www.risk.net/risk-magazine/technical-paper/2423281/wrong-way-risk-done-rightFri, 28 Aug 2015 10:42:27 +0100On the application of spectral filters in a Fourier option pricing technique
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> When dealing with nonsmooth functions – such as a combination of a nonsmooth density and a payoff – spectral filters can be applied to deal efficiently with the so-called Gibbs phenomenon. The simplicity and effectiveness of classical filtering techniques from signal processing are demonstrated in this paper. <!-- end-summary --> </p>
http://www.risk.net/journal-of-computational-finance/technical-paper/2419841/on-the-application-of-spectral-filters-in-a-fourier-option-pricing-technique
http://www.risk.net/journal-of-computational-finance/technical-paper/2419841/on-the-application-of-spectral-filters-in-a-fourier-option-pricing-techniqueThu, 27 Aug 2015 15:07:00 +0100Counting processes for retail default modeling
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> The article discusses the use of counting processes for retail (mortgage) default modeling.
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http://www.risk.net/journal-of-credit-risk/technical-paper/2421085/counting-processes-for-retail-default-modeling
http://www.risk.net/journal-of-credit-risk/technical-paper/2421085/counting-processes-for-retail-default-modelingWed, 26 Aug 2015 15:33:00 +0100The free boundary SABR: natural extension to negative rates
<p><img alt="falling rates" src="http://www.risk.net/IMG/348/236348/shutterstock-102379315-320x198.jpg" title="" /></p>
<p><!-- subheading --> Antonov, Konikov and Spector adapt the popular SABR model to a negative rates environment <!-- end-subheading --> <!-- summary --> In the current low interest rate environment, extending option models to negative rates has become an important issue. Here, Alexandre Antonov, Michael Konikov and Michael Spector extend the widely used SABR model to the free boundary SABR model that can handle negative rates. They derive an exact option pricing formula for the zero correlation case, and a suitable approximation for the general case. The analytical results are successfully compared with the Monte Carlo simulations <!-- end-summary --> </p>
http://www.risk.net/risk-magazine/technical-paper/2423287/the-free-boundary-sabr-natural-extension-to-negative-rates
http://www.risk.net/risk-magazine/technical-paper/2423287/the-free-boundary-sabr-natural-extension-to-negative-ratesTue, 25 Aug 2015 15:16:00 +0100Internal transfer price optimisation for integrated energy firms
<p><img alt="Internal transfer price optimisation for integrated energy firms" src="http://www.risk.net/IMG/198/325198/shu-242674186-powerlines-web-320x198.png" title="The focus of the model is to understand the impact of ITPs as incentive-setters" /></p>
<p><!-- subheading --> A framework that demonstrates optimal internal pricing will deviate from ‘arm’s length principle' <!-- end-subheading --> <!-- summary --> By selecting appropriate levels for the internal transfer prices of commodities and risk, an energy company can influence the alignment of its overall risk-return profile with its strategic objectives. Here, Henrik Specht, Sergey Zykov, Tilman Huhne and Magnus Wobben present an analytical framework to demonstrate that, under real-world conditions, the optimal internal pricing will deviate from the ‘arm’s length principle’ as it is commonly adopted by the energy industry <!-- end-summary --> </p>
http://www.risk.net/energy-risk/technical-paper/2423308/internal-transfer-price-optimisation-for-integrated-energy-firms
http://www.risk.net/energy-risk/technical-paper/2423308/internal-transfer-price-optimisation-for-integrated-energy-firmsTue, 25 Aug 2015 14:51:00 +0100Risk evaluation of wind turbine investments
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper assesses the risk inherent in wind turbine investments that rely on a power market in order to determine the selling price of generated power. <!-- end-summary --> </p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2422831/risk-evaluation-of-wind-turbine-investments
http://www.risk.net/journal-of-energy-markets/technical-paper/2422831/risk-evaluation-of-wind-turbine-investmentsFri, 21 Aug 2015 08:40:00 +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-riskWed, 19 Aug 2015 09:40:00 +0100A novel Fourier transform B-spline method for option pricing
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> By means of B-spline interpolation, this paper provides an accurate closed-form
representation of the option price under an inverse Fourier transform. <!-- end-summary --> </p>
http://www.risk.net/journal-of-computational-finance/technical-paper/2419833/a-novel-fourier-transform-b-spline-method-for-option-pricing
http://www.risk.net/journal-of-computational-finance/technical-paper/2419833/a-novel-fourier-transform-b-spline-method-for-option-pricingTue, 18 Aug 2015 14:50:00 +0100Commodity risk hedging through risk sharing: reengineering Islamic forwards
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper studies the possibility of using Islamic forwards, which are commonly known as salam contracts, to hedge commodity risk, while respecting the principle of risk sharing. <!-- end-summary --> </p>
http://www.risk.net/journal-of-risk/technical-paper/2421574/commodity-risk-hedging-through-risk-sharing-reengineering-islamic-forwards
http://www.risk.net/journal-of-risk/technical-paper/2421574/commodity-risk-hedging-through-risk-sharing-reengineering-islamic-forwardsMon, 17 Aug 2015 10:45:00 +0100Advanced risk profile analysis of Islamic equity investment: evidence from the American, Asian and European markets
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper investigates three Islamic equity indexes, classified by economic hubs (Dow Jones Europe, Asia/Pacific and United States), against their conventional peers from 2003 to 2009. <!-- end-summary --> </p>
http://www.risk.net/journal-of-risk/technical-paper/2420608/advanced-risk-profile-analysis-of-islamic-equity-investment-evidence-from-the-american-asian-and-european-markets
http://www.risk.net/journal-of-risk/technical-paper/2420608/advanced-risk-profile-analysis-of-islamic-equity-investment-evidence-from-the-american-asian-and-european-marketsMon, 17 Aug 2015 10:40:00 +0100Applying the Cornish–Fisher expansion to value-at-risk estimation in Islamic banking
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This study deliberates upon a proposed delta–gamma sensitivity
analysis–extreme value theory (DGSA–EVT) model that focuses on the assessment of risk exposures represented by the value of value-at-risk (VaR) in three incomegenerating
channels: one in investment, one in financing and one in services. <!-- end-summary --> </p>
http://www.risk.net/journal-of-risk/technical-paper/2420191/applying-the-cornish-fisher-expansion-to-value-at-risk-estimation-in-islamic-banking
http://www.risk.net/journal-of-risk/technical-paper/2420191/applying-the-cornish-fisher-expansion-to-value-at-risk-estimation-in-islamic-bankingMon, 17 Aug 2015 10:40:00 +0100Recursive profit-and-loss sharing
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper develops a new financial product that allows the profit-and-loss sharing (PLS) principle to be enforced recursively in practice. <!-- end-summary --> </p>
http://www.risk.net/journal-of-risk/technical-paper/2419550/recursive-profit-and-loss-sharing
http://www.risk.net/journal-of-risk/technical-paper/2419550/recursive-profit-and-loss-sharingMon, 17 Aug 2015 10:35:00 +0100The management of refinancing risk in Islamic banks
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper investigates the risk engendered by maturity mismatches. <!-- end-summary --> </p>
http://www.risk.net/journal-of-risk/technical-paper/2418816/the-management-of-refinancing-risk-in-islamic-banks
http://www.risk.net/journal-of-risk/technical-paper/2418816/the-management-of-refinancing-risk-in-islamic-banksMon, 17 Aug 2015 10:25:00 +0100Time series models for credit default swap premiums
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper analyzes the theoretical properties and statistical behavior of credit default swap (CDS) premiums over time. <!-- end-summary --> </p>
http://www.risk.net/journal-of-credit-risk/technical-paper/2421034/time-series-models-for-credit-default-swap-premiums
http://www.risk.net/journal-of-credit-risk/technical-paper/2421034/time-series-models-for-credit-default-swap-premiumsFri, 14 Aug 2015 12:14:00 +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-managementWed, 12 Aug 2015 17:35:27 +0100Forecasting of carbon emissions prices by the adaptive neuro–fuzzy inference system
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> <!-- end-summary --> </p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2421370/forecasting-of-carbon-emissions-prices-by-the-adaptive-neuro-fuzzy-inference-system
http://www.risk.net/journal-of-energy-markets/technical-paper/2421370/forecasting-of-carbon-emissions-prices-by-the-adaptive-neuro-fuzzy-inference-systemMon, 10 Aug 2015 12:02:00 +0100Hermite approximations in credit portfolio modeling with probability of default–loss given default correlation
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> The authors present a analytic framework for credit portfolio modeling using Hermite expansions. <!-- end-summary --> </p>
http://www.risk.net/journal-of-credit-risk/technical-paper/2421033/hermite-approximations-in-credit-portfolio-modeling-with-probability-of-default-loss-given-default-correlation
http://www.risk.net/journal-of-credit-risk/technical-paper/2421033/hermite-approximations-in-credit-portfolio-modeling-with-probability-of-default-loss-given-default-correlationFri, 07 Aug 2015 12:03:00 +0100A robust set-valued scenario approach for handling modeling risk in portfolio optimization
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> By introducing the set-valued scenario, this paper proposes a unified robust
portfolio selection approach under downside risk measures. <!-- end-summary --> </p>
http://www.risk.net/journal-of-computational-finance/technical-paper/2419843/a-robust-set-valued-scenario-approach-for-handling-modeling-risk-in-portfolio-optimization
http://www.risk.net/journal-of-computational-finance/technical-paper/2419843/a-robust-set-valued-scenario-approach-for-handling-modeling-risk-in-portfolio-optimizationThu, 06 Aug 2015 15:43:00 +0100Cutting Edge introduction: Law-abiding FVA
<p><img alt="techtree2" src="http://www.risk.net/IMG/934/285934/techtree2-320x198.jpg" title="" /></p>
<p><!-- subheading --> HSBC quant develops an FVA model that preserves the law of one price <!-- end-subheading --> <!-- summary --> Purists object to funding valuation adjustment (FVA) because it violates the law of one price; pragmatists retort that FVA is right and the law is wrong. But new research by a quant at HSBC offers a way to satisfy both camps <!-- end-summary --> </p>
http://www.risk.net/risk-magazine/technical-paper/2420837/cutting-edge-introduction-law-abiding-fva
http://www.risk.net/risk-magazine/technical-paper/2420837/cutting-edge-introduction-law-abiding-fvaWed, 05 Aug 2015 17:14:00 +0100Estimation of risk measures on electricity markets with fat-tailed distributions
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper proposes an autoregressive–generalized autoregressive conditional heteroscedasticity (AR–GARCH)-type extreme value theory (EVT) model with various innovations based on value-at-risk (VaR) and conditional value-at-risk (CVaR) for energy price risk quantification in different emerging energy markets. <!-- end-summary --> </p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2420403/estimation-of-risk-measures-on-electricity-markets-with-fat-tailed-distributions
http://www.risk.net/journal-of-energy-markets/technical-paper/2420403/estimation-of-risk-measures-on-electricity-markets-with-fat-tailed-distributionsMon, 03 Aug 2015 14:14:00 +0100Efficient XVA management: pricing, hedging and allocation
<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 --> Kenyon and Green show how certain technical elements simplify XVA management <!-- end-subheading --> <!-- summary --> Banks must manage their trading books, not just value them. Valuing includes valuation adjustments collectively known as
XVA (credit, funding, capital and tax, at least). Here, Chris Kenyon and Andrew Green show how three technical elements
can be combined to radically simplify XVA management, both for calculation and implementation <!-- end-summary --> </p>
http://www.risk.net/risk-magazine/technical-paper/2419209/efficient-xva-management-pricing-hedging-and-allocation
http://www.risk.net/risk-magazine/technical-paper/2419209/efficient-xva-management-pricing-hedging-and-allocationWed, 29 Jul 2015 13:07:49 +0100A simple approximation for the no-arbitrage drifts in Libor market model–SABR-family interest-rate models
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper presents a simple approximation for the noarbitrage drifts that appear in Libor market model SABR-family term structure models. <!-- end-summary --> </p>
http://www.risk.net/journal-of-computational-finance/technical-paper/2419577/a-simple-approximation-for-the-no-arbitrage-drifts-in-libor-market-model-sabr-family-interest-rate-models
http://www.risk.net/journal-of-computational-finance/technical-paper/2419577/a-simple-approximation-for-the-no-arbitrage-drifts-in-libor-market-model-sabr-family-interest-rate-modelsWed, 29 Jul 2015 12:15:00 +0100CVA and FVA with liability-side pricing
<p><img alt="abacus accounting" src="http://www.risk.net/IMG/076/109076/abacus5-320x198.jpg" title="" /></p>
<p><!-- subheading --> Wujiang Lou calculates CVA and FVA abiding by the law of one price <!-- end-subheading --> <!-- summary --> Central to the funding valuation adjustment (FVA) debate is the law of one price. Wujiang Lou finds the fair funding rate for an uncollateralised derivative’s fair value is the liability side’s rate. He presents a liability-side derivatives pricing theory, and a new definition of credit valuation adjustment and FVA conforming to the law <!-- end-summary --> </p>
http://www.risk.net/risk-magazine/technical-paper/2419379/cva-and-fva-with-liability-side-pricing
http://www.risk.net/risk-magazine/technical-paper/2419379/cva-and-fva-with-liability-side-pricingMon, 27 Jul 2015 12:17:54 +0100Covered option strategies in Nordic electricity markets
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper deals with the performance of popular option strategies in the Nordic power derivatives market. <!-- end-summary --> </p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2419384/covered-option-strategies-in-nordic-electricity-markets
http://www.risk.net/journal-of-energy-markets/technical-paper/2419384/covered-option-strategies-in-nordic-electricity-marketsMon, 27 Jul 2015 12:03:00 +0100Cutting Edge: Co-simulation of risk factors in power markets
<p><img alt="Co-simulation of risk factors in power markets" src="http://www.risk.net/IMG/341/322341/er-technical-0715-shu-257213170-320x198.jpg" title="By offering full requirements load-serving contracts, LSEs complicate their risk exposure" /></p>
<p><!-- subheading --> A simple but realistic model to co-simulate the time series of temperature, electricity load and prices is proposed <!-- end-subheading --> <!-- summary --> In this article, Jialin Zhao and Sang Baum Kang propose a simple but realistic model
to co-simulate the time series of three risk factors: temperature, electricity load and prices. In addition, the authors provide load-serving entities with a quantitative analysis
of an electricity price-volume joint risk, illustrate a hedging strategy using weather and electricity price derivatives, and price a tailor-made temperature-contingent contract <!-- end-summary --> </p>
http://www.risk.net/energy-risk/technical-paper/2417917/cutting-edge-co-simulation-of-risk-factors-in-power-markets
http://www.risk.net/energy-risk/technical-paper/2417917/cutting-edge-co-simulation-of-risk-factors-in-power-marketsThu, 16 Jul 2015 09:50:00 +0100Cutting edge introduction: Adjoints - maintaining the legacy
<p><img alt="techtree2" src="http://www.risk.net/IMG/934/285934/techtree2-320x198.jpg" title="" /></p>
<p><!-- subheading --> Quants at UBS show how to speed up the calculation of sensitivities without tearing up legacy code <!-- end-subheading --> <!-- summary --> The adjoint method for calculating sensitivities may be quick and cheap, but it requires a top-to-toe overhaul of pricing code. A new technique developed by quants at UBS allows it to be deployed with minimal coding changes. Nazneen Sherif introduces this month’s technical articles <!-- end-summary --> </p>
http://www.risk.net/risk-magazine/technical-paper/2415035/cutting-edge-introduction-adjoints-maintaining-the-legacy
http://www.risk.net/risk-magazine/technical-paper/2415035/cutting-edge-introduction-adjoints-maintaining-the-legacyWed, 01 Jul 2015 10:50:00 +0100American options: time-critical pricing
<p><img alt="clock-calculator-shutterstock-20221204" src="http://www.risk.net/IMG/987/320987/clock-calculator-shutterstock-20221204-320x198.jpg" title="" /></p>
<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> Time constraints can be binding for ‘heavy’ Monte Carlo calculations of risk analytics – value-at-risk, potential future exposure, credit valuation adjustment – in intraday risk monitoring, so fast approximations are sometimes preferred. Vladislav Boussyguine and Benoit Rodriguez show how existing semi-analytical pricing methods for American options can yield significant errors, and they propose a robust modification of Ju and Zhong’s method; its accuracy is compared with that of existing methods <!-- end-summary --> </p>
http://www.risk.net/risk-magazine/technical-paper/2415128/american-options-time-critical-pricing
http://www.risk.net/risk-magazine/technical-paper/2415128/american-options-time-critical-pricingMon, 29 Jun 2015 06:00:00 +0100Greeks with continuous adjoints: fast to code, fast to run
<p><img alt="Matrix code" src="http://www.risk.net/IMG/560/129560/matrix-background-original-320x198.jpg" title="" /></p>
<p><!-- subheading --> Marzio Sala and Vincent Thiery show the derivation of the continuous adjoint problem for PDEs <!-- end-subheading --> <!-- summary --> The continuous adjoint method for computing risk figures of options that can be priced with partial differential equations is elegant, flexible and robust. It can be implemented in legacy codes with minimal code modifications and in particular without using tools such as automatic differentiation. Numerical results on the production environment for foreign exchange options using a local stochastic volatility model show important speed improvements. The authors report their experience of analysing and implementing this technique <!-- end-summary --> </p>
http://www.risk.net/risk-magazine/technical-paper/2415103/greeks-with-continuous-adjoints-fast-to-code-fast-to-run
http://www.risk.net/risk-magazine/technical-paper/2415103/greeks-with-continuous-adjoints-fast-to-code-fast-to-runFri, 26 Jun 2015 12:09:50 +0100Indexing multi-asset solutions
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper explores the potential role of multi-asset solutions in the indexing landscape as well as challenges in constructing multi-asset indexes <!-- end-summary --> </p>
http://www.risk.net/journal-of-investment-strategies/technical-paper/2414289/indexing-multi-asset-solutions
http://www.risk.net/journal-of-investment-strategies/technical-paper/2414289/indexing-multi-asset-solutionsWed, 24 Jun 2015 15:48:00 +0100Commodity value-at-risk modeling: comparing RiskMetrics, historic simulation and quantile regression
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> The authors of this paper investigate the risk modeling of commodities. They note that return distributions differ widely across different commodities, both in terms of tail fatness and skewness. <!-- end-summary --> </p>
http://www.risk.net/journal-of-risk-model-validation/technical-paper/2414407/commodity-value-at-risk-modeling-comparing-riskmetrics-historic-simulation-and-quantile-regression
http://www.risk.net/journal-of-risk-model-validation/technical-paper/2414407/commodity-value-at-risk-modeling-comparing-riskmetrics-historic-simulation-and-quantile-regressionTue, 23 Jun 2015 10:41:00 +0100Exploring shipping inefficiencies in global liquified natural gas trade patterns
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> The authors examine GPS-communicated data on liquefied natural gas (LNG) tanker movements between January 2011 and August 2012 to determine the possible drivers of apparently inefficient shipping routes from producing to consuming countries. <!-- end-summary --> </p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2414405/exploring-shipping-inefficiencies-in-global-liquified-natural-gas-trade-patterns
http://www.risk.net/journal-of-energy-markets/technical-paper/2414405/exploring-shipping-inefficiencies-in-global-liquified-natural-gas-trade-patternsTue, 23 Jun 2015 10:33:00 +0100A combined regime-switching and Black–Litterman model for optimal asset allocation
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> The authors of this paper aim to test empirically the performance of several optimization algorithms that exist in the literature and then compare them, in both a single-regime market and a two-regime market. <!-- end-summary --> </p>
http://www.risk.net/journal-of-investment-strategies/technical-paper/2414280/a-combined-regime-switching-and-black-litterman-model-for-optimal-asset-allocation
http://www.risk.net/journal-of-investment-strategies/technical-paper/2414280/a-combined-regime-switching-and-black-litterman-model-for-optimal-asset-allocationMon, 22 Jun 2015 15:25:00 +0100Cave quid optes: waterfalls and central counterparty capital
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper explores the lines of defense of a central counterparty. The author examines the lines of defence ("the waterfall") of a central counterparty (CCP) inter alia in the context of the requirements set by the Principles for Financial Market Infrastructures. <!-- end-summary --> </p>
http://www.risk.net/journal-of-financial-market-infrastructures/technical-paper/2413557/cave-quid-optes-waterfalls-and-central-counterparty-capital
http://www.risk.net/journal-of-financial-market-infrastructures/technical-paper/2413557/cave-quid-optes-waterfalls-and-central-counterparty-capitalMon, 22 Jun 2015 12:00:00 +0100Communities and driver nodes in the TARGET2 payment system
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper first describes T2 by means of classic network measures. Then, it applies novel methods developed in network theory to uncover two additional features of T2: driver nodes and communities. <!-- end-summary --> </p>
http://www.risk.net/journal-of-financial-market-infrastructures/technical-paper/2413553/communities-and-driver-nodes-in-the-target2-payment-system
http://www.risk.net/journal-of-financial-market-infrastructures/technical-paper/2413553/communities-and-driver-nodes-in-the-target2-payment-systemFri, 19 Jun 2015 11:53:00 +0100Stress testing and modeling of rating migration under the Vasicek model framework: empirical approaches and technical implementation
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper is concerned with stress testing the Vasicek model by extending the correlation structure for nondefault ratings. Two models are proposed. <!-- end-summary --> </p>
http://www.risk.net/journal-of-risk-model-validation/technical-paper/2413891/stress-testing-and-modeling-of-rating-migration-under-the-vasicek-model-framework-empirical-approaches-and-technical-implementation
http://www.risk.net/journal-of-risk-model-validation/technical-paper/2413891/stress-testing-and-modeling-of-rating-migration-under-the-vasicek-model-framework-empirical-approaches-and-technical-implementationThu, 18 Jun 2015 16:13:00 +0100Are world natural gas markets moving toward integration? Evidence from the Henry Hub and National Balancing Point forward curves
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> The authors of this paper investigate whether the US and UK gas markets are moving toward integration. As well as looking at the cointegration of the Henry Hub and National Balancing Point indexes, the authors also introduce the novel concept of distances between forward curves. <!-- end-summary --> </p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2413860/are-world-natural-gas-markets-moving-toward-integration-evidence-from-the-henry-hub-and-national-balancing-point-forward-curves
http://www.risk.net/journal-of-energy-markets/technical-paper/2413860/are-world-natural-gas-markets-moving-toward-integration-evidence-from-the-henry-hub-and-national-balancing-point-forward-curvesThu, 18 Jun 2015 14:56:00 +0100A dynamic approach to intraday liquidity needs
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper studies the intraday liquidity needs of systemically important entities using simulations of the various Colombian financial market infrastructures (FMIs). The paper shows that if liquidity in another FMI (based on the proprietary positions of government securities) were taken into account, the resulting arrangement would be more robust. <!-- end-summary --> </p>
http://www.risk.net/journal-of-financial-market-infrastructures/technical-paper/2413546/a-dynamic-approach-to-intraday-liquidity-needs
http://www.risk.net/journal-of-financial-market-infrastructures/technical-paper/2413546/a-dynamic-approach-to-intraday-liquidity-needsWed, 17 Jun 2015 11:35:00 +0100Transmission of shocks in the integrated accounting framework
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper develops a framework based on integrated national accounting data that aims to capture linkages between different sectors of the economy. The resulting framework provides a useful platform for static policy simulations and shock transmission analysis. <!-- end-summary --> </p>
http://www.risk.net/journal-of-network-theory-in-finance/technical-paper/2412699/transmission-of-shocks-in-the-integrated-accounting-framework
http://www.risk.net/journal-of-network-theory-in-finance/technical-paper/2412699/transmission-of-shocks-in-the-integrated-accounting-frameworkWed, 17 Jun 2015 11:33:00 +0100Backtesting Solvency II value-at-risk models using a rolling horizon
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> The author of this paper performs an analysis on a review of the equity stress parameter for Dutch pension funds. <!-- end-summary --> </p>
http://www.risk.net/journal-of-risk-model-validation/technical-paper/2413209/backtesting-solvency-ii-value-at-risk-models-using-a-rolling-horizon
http://www.risk.net/journal-of-risk-model-validation/technical-paper/2413209/backtesting-solvency-ii-value-at-risk-models-using-a-rolling-horizonMon, 15 Jun 2015 16:28:00 +0100