In this paper, we use a hybrid Monte Carlo-optimal quantization method to approximate the conditional survival probabilities of a firm, given a structural model for its credit default, under partial information....
Most independent financial advisers are still unprepared for the implementation of the FSA's Retail Distribution Review, according to market participants
A highly engaging intensive one-week programme designed to meet the demands of the risk professional by bridging the gap between theory and practice in financial risk management. Save your seat now: programme starts March 23rd 2015.
More Hybrid models articles
Pricing equity variance swaps is well understood in the case of deterministic interest rates, but particularly for longer-dated swaps the stochastic nature of the rate cannot be ignored. Here, Per H...
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.