Journals

• Original research

Intertemporal risk parity: a constant volatility framework for factor investing

• 19 Dec 2014

• Risk management

Redesigning ratings: assessing the discriminatory power of credit scores under censoring

• 19 Dec 2014

• Risk management

Analysis of credit portfolio risk using hierarchical multifactor models

• 19 Dec 2014

• Original research

Factor models for alpha streams

• 19 Dec 2014

• Original research

The stock–bond correlation

• 19 Dec 2014

• Risk management

A checklist-based weighted fuzzy severity approach for calculating operational risk exposure on foreign exchange trades under the Basel II regime

• 19 Dec 2014

• Risk management

A review of methods for combining internal and external data

• 19 Dec 2014

• Risk management

Estimating operational risk capital with greater accuracy, precision and robustness

• 19 Dec 2014

• Original research

Time regularities in the Russian power market

• 19 Dec 2014

• Original research

The forecasting power of medium-term futures contracts

• 19 Dec 2014

• Original research

Electricity retailers’ behavior in a highly competitive Nordic electricity market

• 19 Dec 2014

• Original research

The German Energiewende: is the manufacturing sector at risk?

• 19 Dec 2014

• Original research

The interrelation of stock markets in China, Taiwan and Hong Kong and their constructional portfolio’s value-at-risk estimate

• 19 Dec 2014

• Original research

Backtesting for counterparty credit risk

• 19 Dec 2014

• Original research

Forecasting value-at-risk for frontier stock market indexes using GARCH-type models and extreme value theory: model validation for dynamic models

• 19 Dec 2014

• Original research

Liquidity effects on value-at-risk limits: construction of a new VaR model

• 19 Dec 2014

• Risk management

Sovereign credit ratings and the new European Union member states

• 19 Dec 2014

• Risk management

A parametric approach to counterparty and credit risk

• 19 Dec 2014

• Original research

The relationship between credit default swap spreads and equity prices

• 31 Oct 2014

• Original research

Choice of rating technology and loan pricing in imperfect credit markets

• 31 Oct 2014

• Original research

Numerical experiments on hedging cliquet options

• 31 Oct 2014

• Original research

Are traders’ rules useful for pricing options? Evidence from intraday data

• 31 Oct 2014

• Risk management

Pricing American-style options by Monte Carlo simulation: alternatives to ordinary least squares

The authors investigate the performance of the ordinary least squares (OLS) regression method in Monte Carlo simulation algorithms for pricing American options.

• 30 Sep 2014

• Risk management

Value function approximation or stopping time approximation: a comparison of two recent numerical methods for American option pricing using simulation and regression

• 30 Sep 2014