Technical paper
Model selection for loss reserves: The Growing Triangle technique
Technical papers
Zur Validierung von Marktrisikomodellen
Der Neueste Stand - Marktrisiko
Rates squared
Vladimir Piterbarg introduces a conveniently parameterised class of multi-factor quadratic Gaussian models, develops calibration formulas, and explains the advantages of this class of models over alternatives currently available for pricing and risk…
Seasonally adjusted prices for inflation-linked bonds
Inflation-linked bond markets are used ever more frequently by policy-makers, economists and commentators to assess the market's opinion about the future path of inflation and real yields. But important effects such as seasonality and carry are often…
Valuation of a natural gas storage facility
Research Papers