This paper shows how redemption risks of mutual funds can be modeled using the peaks-over-threshold approach from extreme value theory.
This paper analyzes the validity of using the loan-to-value (LTV) ratio to explain the behavior of mortgage borrowers at an empirical level.
An exact and efficient method for computing cross-Gammas of Bermudan swaptions and cancelable swaps under the Libor market model
A new simulation algorithm for computing the Hessians of Bermudan swaptions and cancelable swaps is presented.
The valuation of contingent convertible catastrophe debt under simple solvency and liquidity covenants
This paper studies a new write-off debt instrument (called CoCoCAT bond) whose writeoff is triggered by solvency and event-driven covenants.
Pricing swing options in electricity markets with two stochastic factors using a partial differential equation approach
This paper considers the numerical valuation of swing options in electricity markets based on a two-factor model.
Efficient computation of exposure profiles on real-world and risk-neutral scenarios for Bermudan swaptions
In the paper, real-world and risk-neutral scenarios are combined for the valuation of the exposure values of Bermudan swaptions on real-world Monte Carlo paths.
This paper addresses the issue of model selection risk by examining whether a model’s past performance in forecasting expected returns provides an indication of its future forecasting performance.
The authors propose a method for determining an arbitrage-free density implied by the Hagan formula.
Andrei Soklakov shows how to incorporate traditional investment ideas and clients’ views into structured product design
This paper studies the impact of model risk on EVT methods when determining the value-at-risk and expected shortfall.
Wujiang Lou extends liability-side pricing theory to initial margin
A simulation comparison of aggregation periods for estimating correlations within operational loss data
This paper investigates the differences in the values of correlations based on different aggregation periods of time series loss data.
How to turn uncertainties of operational risk capital into opportunities from a risk management perspective
Going beyond the regulatory requirements to operational risk measurement, the authors of this paper aim to provide relevant business applications to a bank.
This paper analyzes the cost of cash and debit cards in Austria both in terms of unit costs and scaled to the gross domestic product.
This paper investigates to what extent it is possible to steer consumers away from using credit card.
This paper provides a broad perspective by taking into account payments globally in a comprehensive way: from card payments to real-time gross settlement
This paper provides a review of graphical modeling and describes potential applications in econometrics and finance.
The authors address the problem of how to capture the contributions of bank failures to systemic risk.
This paper presents animated visualizations of transaction flows in the Dutch TARGET2 payment system.
This paper studies the use of finite difference methods for estimating risk contributions.
This paper investigates the causes of the quality anomaly by exploring two potential explanations - the “risk view” and the “behavioral view”.
A point-in-time–through-the-cycle approach to rating assignment and probability of default calibration
This paper proposes a methodology for constructing TTC rating grades and assessing the resulting degree of PIT-ness.
The authors of this paper simulate realistic total bank return distributions by means of a top-down copula approach for different parameter settings.
The authors demonstrate how different credit risk models can be efficiently implemented for scenario analysis and stress testing execution with concrete application examples.