Gaussian model
On humility
Published online only
Source: Operational Risk & Regulation
It's nice to see op risk managers becoming more aware of their limitations
Asset Liability Management
Perturbed Gaussian copula: introducing the skew effect in co-dependence...
Published online only
Source: Life & Pension Risk
Gaussian copula models are often used in the industry when single-asset information is quoted but little is known about their joint relation. These models may arise from correlated stochastic Brownian...
Original headline:
Source: Risk magazine
Gaussian copula models are often used in the industry when single-asset information is quoted but little is known about their joint relation. These models may arise from correlated stochastic Brownian...
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More Gaussian model articles
A new breed of copulas for risk and portfolio management
Original headline:
Source: Risk magazine
Attilio Meucci introduces the copula-marginal algorithm, a commercially viable technique to dramatically expand the types and uses of copulas in financial applications
Capturing credit correlation between counterparty and underlying
Original headline:
Source: Risk magazine
Kirk Buckley, Sascha Wilkens and Vladimir Chorniy present a semi-analytical approach for calculating the counterparty exposure of credit derivatives contracts conditional on the default of the counterparty, based on a Merton-type asset return model. The...
The magnetic attraction of the Flash Crash
Original headline:
Source: Structured Products
As the US Securities and Exchange Commission and Commodity Futures Trading Commission release the results of its investigation into the flash crash in May, one quant has developed a model that replicates the market’s behaviour. Laurie Carver discusses...
Post-shock short-rate pricing
Original headline:
Source: Risk magazine
The basis between swaps referencing funded fixings and swaps referencing overnight collateralised fixings has increased in importance with the 2007–09 liquidity and credit crises. This basis means that new pricing models for fixed-income staples such...
Tipping point: The performance benefits of graphics processing units
Original headline:
Source: Risk magazine
Graphics processing units are set to finally tip the balance in favour of rewriting legacy mathematical code. Murex shares the benefits of such an in-depth overhaul – gains in performance, a standardised programming language, easier optimisation and...
Quant Congress USA: "Only models were reliable during crisis," says...
Published online only
Source: Risk magazine
Quants push back against criticism of models at Risk's Quant Congress USA event in New York
Pricing distressed CDOs with base correlation and stochastic recovery...
Published online only
Source: Risk magazine
In 2008 and 2009, the calibration of the standard Gaussian copula model for collateralised debt obligations has frequently broken down. To overcome that problem, Martin Krekel has embedded the model with correlated stochastic recovery rates. He shows...
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