This paper models the evolution of the oil price as a mean-reverting regime-switching jump–diffusion process.
Modeling impacts of stock jumps on real estate investment trust returns with application to value-at-risk
This paper aims to model the impact of extreme stock jumps on REIT returns.
This paper consists of a “horse race” study comparing (i) a number of option pricing models, and (ii) roll-over estimation procedures.
Forecasting scenarios from the perspective of a reverse stress test using second-order cone programming
This paper proposes a model for forecasting scenarios from the perspective of a reverse stress test using interest rate, equity and foreign exchange data.
This paper shows that realized conditional autocorrelation in return residuals is a strong predictor of the relative performance of different frequency models of volatility.
Austing and Li provide a continuous barrier options pricing formula that fits the volatility smile
Anfuso, Aziz, Loukopoulos and Giltinan propose a method to develop and backtest forecasting models for IM
Andersen, Pykhtin and Sokol show the existence of residual exposure after initial margin posting
Krzysztof Wolyniec presents a volumetric risk management model for energy markets
This paper demonstrates that the rank-order tests are unreliable for assessing models to be used to predict probabilities.
This paper aims to analyze the efficiency of the Greek, Italian, Portuguese and Spanish (ie, GIPS) sovereign debt markets during crises: in essence, the recent global financial and sovereign debt crises
The purpose of this particular study is to determine if any liquidity risk exists in the Islamic banks of Pakistan and, if it does, what effect it has on the resilience of the industry in that country.
This paper empirically investigates the effects of the global financial crisis of 2008 on the time-varying beta of twenty firms from China and India.
This paper presents an empirical analysis based on a survey of risk managers. Its goal to improve capital standards and its scientific treatment of risk ensures that Basel III is well regarded, specifically in the Islamic banking sector of Pakistan.
Antonov, Konikov and Spector use an exact formula for the normal free boundary SABR to construct an arbitrage-free mixed SABR model
Algo traders propose a new optimal execution algorithm with both limit and market orders
Carlos Blanco and Alessandro Mauro explain how non-linear P&L attribution tools can improve a company’s business intelligence capabilities
This paper presents a comprehensive model framework for DRC that is compliant with the revised Basel regulatory framework.
In this paper, a novel simulation-based methodology is proposed to test the validity of a set of marginal time series models.
A review of the fundamentals of the Fundamental Review of the Trading Book: standard foreign exchange rules are highly asymmetric with respect to reporting currencies
This paper develops a framework to fully characterize the invariance of the Delta capital charge for the FX book under a change in reporting currency.
In this paper, the authors use a topic-modeling approach to quantify the changing attentions of a major news outlet, the Financial Times, to issues of interest.
The authors put forth a realistic network model that maximizes the use of data available to a CCP in order to simulate credit default contagion.
The recent crises and central counterparty risk practices in the light of procyclicality: empirical evidence
This paper focuses on the risk practices of Central Counterparties in the light of their potentially procyclical features.