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.
This paper formulates a functional optimization problem over a set of regular payoff functions to deal with the joint mitigation of combined price–volume risk using purely financial tools.
This paper presents a rigorously motivated pricing equation for derivatives.
Peter Austing introduces an analytic or semi-analytic valuation of basket options
Rama Cont and Lakshithe Wagalath introduce a liquidation-adjusted VAR
This paper proposes a stochastic model for coupled natural gas spot prices and temperature.
This paper reviews and extends the saddlepoint methods currently available to measure credit risk.
Value-at-risk estimation with the Carr–Geman–Madan–Yor process: an empirical study on foreign exchange rates
This paper investigates the performance of the CGMY distribution in estimating the risk of FX rates.
The authors develop a technique, based on numerical inversion, to compute the prices and Greeks of lookback options driven by Lévy processes.
Testing value-at-risk models in emerging markets during crises: a case study on South Eastern European countries
This paper examines the applicability of a wide range of VaR models in emerging markets, focusing on South Eastern European countries.
Risk management and portfolio optimization for gas- and coal-fired power plants in Germany: a multivariate GARCH approach
This paper investigates the hedging effectiveness of energy derivatives traded at the EEX for the purpose of mitigating the risk exposure of gas- and coal-fired power plants in Germany.
In this paper the authors provide a comprehensive treatment of the discretization effect under general stochastic volatility dynamics.
This paper investigates the optimal design of funds which provide capital protection at a specific maturity.
Research on equity release mortgage risk diversification with financial innovation: reinsurance usage
This paper examines the risk diversification of ERMs via the reinsurance strategy.