This issue of The Journal of Computational Finance contains four papers that are quite different in terms of their financial applications, and they stand out because of their remarkable mathematical techniques.
This issue explores the practicality of the CVaR measure as a criterion for portfolio selection, and also discusses wavelet analysis for portfolio selection and currency option pricing.
This special issue contains papers covering central counterparty default management and stress testing.
The topics in this issue cover electricity and gas and oil markets, as well as the interaction of energy commodities and international capital markets.
The issue’s first paper looks at methodologies to measure spillover risks in European sovereign bond markets in the period 2004-15. Our second paper investigates European bond markets. Our final paper in this issue offers a promising new avenue of investigation...
In this issue of The Journal of Financial Market Infrastructures we have two papers on large-value payment systems and two papers on central counterparties.
This issue includes: an analytical value-at-risk approach; loss distributions; default risk of money-market fund portfolios; and credit scoring and medical collections.