The theory of optimal trading under proportional transaction costs has been considered from a variety of perspectives. In this paper, Richard Martin shows that all results can be interpreted using a universal...
A fundamental component in the modeling of a financial risk exposure is the estimation of the probability distribution function that best describes the true data-generation process of independent and extreme...
More Technical papers articles
In many respects, the "London whale" scandal at JPMorgan Chase is similar to other "rogue trading" events, in that a group of traders took large, speculative positions in complex derivative securities that went wrong, resulting in over US$6 billion of...
In this paper, the authors compare credit risk models that are used for loan portfolios, both from a theoretical perspective and via simulation studies.
This paper presents a methodology to calibrate the distribution of losses observed in operational risk events.
Backtesting is an essential component of the implementation and operation of any risk model. As perhaps the most well-known market risk metric, value-at-risk (VaR) has received regulatory, industry and academic backtesting scrutiny.
Credit portfolio models are now widespread across the banking industry. CreditRisk+, originally introduced by Credit Suisse Financial Products in 1997, is one of these models.
This technical paper provides a comprehensive literature review of the convertible bond model, as well as discussing the theory behind it and its validation.
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.
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