In this paper the use of B-splines is advocated for volatility modeling within the calibration of stochastic local volatility (SLV) models and for the parameterization of an arbitrage-free implied volatility surface calibrated to sparse option data.
Firms concerned about modelling future portfolio changes
Double award for Sungard with further enhancements to Prophet
Aon brings philosophy of openness to catastrophe models
Clean data and consistency put UBS Delta in lead
Clients say breadth of coverage a winning formula
Fed stress tests are a "perfect storm of pressure"
Factor models can be helpful in identifying unseen risks in investor portfolios
Scrapping op risk modelling in Europe could take five years, say lawyers
The manner in which wind generation can affect the half-hourly APX price is discussed
Firms doubtful about risk sensitivity of standardised replacement charge
AMA's likely demise is latest sign of worrying trend in bank capital rules
Focus on historical data is out of step with speed of change, says head of L&G Capital
This paper compares two methods of estimating LGD: a beta regression model and a multinomial logit (MNL) model.
In this issue of The Journal of Computational Finance, we encounter different contemporary approximations and techniques for financial problems.
Veolia's Damien Vancraeyneste, on capping costs and challenging banks’ calculations
Making the right decisions requires an enterprise-wide view of risk, authors argue
Management depends on clear information to harness full value, say specialists
By introducing the set-valued scenario, this paper proposes a unified robust portfolio selection approach under downside risk measures.
Changes proposed for correlation, exotic derivatives and hard-to-model risks
This issue covers a range of topics, including: credit mismeasurement, backtesting methodology, stress testing and commodity risk model validation.
The journal’s second issue features three very different approaches that use network theory to understand economic and financial phenomena.