A new mothod to estimate marginal VAR and marginal ES is presented
This paper studies the problem of optimal trading using general alpha predictors with linear costs and temporary impact.
This paper focuses on a comparison of the capital for Indian banks as required by the current regime for capital charge calculation, versus the possible revised Standardised Approach.
Quants propose KVA and FVA accounting framework based on Solvency II regulation
This paper focuses on medium-term probabilistic forecasting for risk management purposes.
This paper projects an optimal unconstrained factor portfolio onto a set of all feasible portfolios using tracking error as a distance measure.
This paper derives a closed-form version of a model with a trend-stationary, stochastic volatility exchange rate, using both a linear and quadratic trend.
In order to separate short-term noise from long-term trends, this paper decomposes financial return series into their time and frequency domains.
Fitting a distribution to value-at-risk and expected shortfall, with an application to covered bonds
This paper suggests simple and intuitive models for covered bonds that allow quantitative assessment of expected loss and the impact of asset encumbrance.
To enable autocorrelation in the frequency distribution, this paper proposes a significant generalization of the LDA model that involves treating operational risk as a Lévy jump-diffusion.
This paper introduces the topic of network visualization to the journal by proposing the use of a combination of data reduction techniques and overlays that allow detection of large-scale patterns and outlier activity.
This paper proposes a method based on Granger causality to measure the level of contagion between financial institutions and sovereigns.
This paper examines the network of communication practices among hedge fund managers.
This paper looks for optimal explicit constructions and empirical tests in regards to pricing and hedging derivatives with coherent risk measures.
This paper considers the portfolio optimization problem, with conditional value-at-risk as the objective.
Bun, Bouchaud and Potters present a technique that allow cleaning in-sample noise from correlation matrixes
Dynamic hedging is becoming more common among plant operators
Wujiang Lou presents a framework to compute recursive CVA and FVA via Monte Carlo simulation
This paper empirically tests for correlations between fraud and the macroeconomy.
This paper examines and compares alternative ways of solving the problem of determining the density of aggregate losses.
A simulation comparison of quantile approximation techniques for compound distributions popular in operational risk
The objective of this paper is to compare numerical approximation techniques in terms of their practical usefulness and potential applicability in an operational risk context.
This paper proposes a new approach for determining OpVaR using an inhomogeneous counting process based on Panjer recursion as the frequency distribution.
Julien Guyon introduces cross-dependent volatility models and calibrate them to market smiles