Quantitative analysis
Bond execution models
While research on the optimal execution of equity trading has become popular, a study of this kind has not yet been done with regard to the bond market. In this article, Koichi Miyazaki presents a bond execution model that incorporates the strong…
Equity market impact
Cutting edge: Quantitative trading
Rating properties and their implications for Basel II capital
Robert Rauhmeier and Harald Scheule offer new insights on the verification of ratings. Within a consistent framework, the basic properties of association, calibration, discrimination and refinement in rating forecasts are defined and measures derived. It…
Lloyd Adriatico
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Axa Banque
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Post Office
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Lombarda Vita
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Quant analysis
Pricing equity default swaps
Claudio Albanese and Oliver Chen discuss the challenges of pricing equity default swaps, a credit-equity hybrid product. These structures straddle not only traditional asset classes such as equity derivatives and credit default swaps, but also…
Loss in translation
Ben De Prisco, Ian Iscoe and Alex Kreinin introduce a new analytical approach for valuing synthetic collateralised debt obligations. The approach differs from current analytical approaches by focusing on the tranche's loss distribution directly, as…
Portfolio skew and kurtosis
Cutting edge: Brief communication
Squaring factor copula models
Tight spreads in the credit markets have forced investors to turn to innovative structures in their search for yield. One such structure is the synthetic CDO of CDO tranches, also known as CDO2. Prasun Baheti, Roy Mashal, Marco Naldi and Lutz Schloegl…
Modelling counterparty credit exposure for credit default swaps
Modelling counterparty credit exposure for credit derivatives is more complicated than for non-credit products, since the reference credit and counterparty can exhibit positive default correlation. Here, Christian Hille, John Ring and Hideki Shimamoto…
Time to smile
Cutting edge: Option pricing
Modelling counterparty credit exposure for credit default swaps
Modelling counterparty credit exposure for credit derivatives is more complicated than for non-credit products, since the reference credit and counterparty can exhibit positive default correlation. Here, Christian Hille, John Ring and Hideki Shimamoto…
A Markovian approach to modelling correlated defaults
Vladyslav Putyatin, David Prieul and Svetlana Maslova unveil a simple dynamic binomial credit model with a Poissonian mixing distribution to satisfy the constraints faced by financial institutions assessing their credit exposure in a consistent manner…
Citigroup
Quant analysis
Credit Mutuel
Quant analysis
Caja Castilla La Mancha
Quant analysis
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Quant analysis
Newcastle
Quant analysis
A forward-looking adjustment for op risk quantification
Anupam Sahay and Ashish Dev present a general discussion of the basic elements of a rational framework for operational risk quantification. Then they focus on modelling the effect of internal controls and business environment on operational events. The…
A forward-looking adjustment
Cutting edge: Operational risk