Jacky Lee and Luca Capriotti present an arbitrage-free valuation method for counterparty exposure of credit derivates portfolios.
When dealing with nonsmooth functions – such as a combination of a nonsmooth density and a payoff – spectral filters can be applied to deal efficiently with the so-called Gibbs phenomenon. The ...
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Antonov, Konikov and Spector adapt the popular SABR model to a negative rates environment
A framework that demonstrates optimal internal pricing will deviate from ‘arm’s length principle'
This paper makes use of the power-law mimicry properties of the truncated lognormal distribution and shows how they fit operational risk data considerably well.
By means of B-spline interpolation, this paper provides an accurate closed-form representation of the option price under an inverse Fourier transform.
This paper studies the possibility of using Islamic forwards, which are commonly known as salam contracts, to hedge commodity risk, while respecting the principle of risk sharing.
This paper investigates three Islamic equity indexes, classified by economic hubs (Dow Jones Europe, Asia/Pacific and United States), against their conventional peers from 2003 to 2009.
This study deliberates upon a proposed delta–gamma sensitivity analysis–extreme value theory (DGSA–EVT) model that focuses on the assessment of risk exposures represented by the value of valu...
This paper investigates the risk engendered by maturity mismatches.
This paper analyzes the theoretical properties and statistical behavior of credit default swap (CDS) premiums over time.
This paper discusses the violation of applicable firm guidelines by individuals employed by a bank or financial institution and suggests specific metrics to identify and prevent such behaviour.
Abstract The need for accurate forecasts has increased in recent years but there has as yet been limited research on carbon emissions price trends. This study uses the adaptive neuro-fuzzy inference...
The authors present a analytic framework for credit portfolio modeling using Hermite expansions.
By introducing the set-valued scenario, this paper proposes a unified robust portfolio selection approach under downside risk measures.
This paper proposes an autoregressive–generalized autoregressive conditional heteroscedasticity (AR–GARCH)-type extreme value theory (EVT) model with various innovations based on value-at-risk (...
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.