The author of this paper proposes a dynamic PD term structure model for multi-period stress testing and expected credit loss estimation.
In this paper, the authors investigate the new mean-reverting RW and its continuous-time limit, introduced by Moosavi and Davison (2016).
In this paper, the authors investigate the diversification benefits of iShares and their rivals (CECFs and American depositary receipts) between April 1996 and December 2004.
This paper analyzes how the yield of government securities may be managed in order to save costs in the face of the risk of a liquidity shock.
The author of this paper develops an analytical form of stressed value-at-risk (analytical SVaR), using conditional value-at-risk (CoVaR).
This paper mathematically formalizes the concept of a temporal path-dependent risk measure in order to capture the risk associated with the temporal dimension of a stochastic process.
Jonas Hirz, Uwe Schmock and Pavel Shevchenko present a summary of actuarial applications of the extended CreditRisk+ model
Barker, Dickinson, Lipton and Virmani propose a credit and liquidity risk model for CCPs
The authors of this paper take us into the world of granular time series data.
In this paper, the authors introduce the principal policy issues affecting CCPs and collateral and then use these disclosures to contextualize some stylized facts that may aid in understanding and addressing the policy issues.
This paper presents a natural extension of the LGM that keeps the affine structure and generates an implied volatility smile.
A pairs trading strategy can give a larger Sharpe ratio with respect to classical methods
Yong (Jimmy) Jin and Lie Wang propose an estimation method for optimal portfolio weights under parameter uncertainty
Andrei Soklakov presents a product design theory that incorporates Bayesian information processing and risk aversion
The authors provide a bound for the error committed when using a Fourier method to price European options, when the underlying follows an exponential Lévy dynamic.
This paper proposes using an optimization mechanism in the currency overlay portfolio construction process.
The authors of this paper derive an optimal trading strategy that benchmarks the closing price in a mean–variance optimization framework.
How risk managers should fix tracking error volatility and value-at-risk constraints in asset management
In this paper, the author determines an optimal value for a set of limits composed of the lower limit on TEV, the upper limit on TEV and the upper limit on VaR.
Interbank network and regulation policies: an analysis through agent-based simulations with adaptive learning
The authors develop an agent-based model to study the impact of a broad range of regulation policies on the banking system.
In this paper, the authors propose the SDR risk measure to consider the degree of dispersion of an extreme loss in addition to its expected value.
The author of this paper explores the reasons for the pending demise of the advanced measurement approach (AMA) to operational risk.
In this paper, the author studies how asymptotic normality does, or does not, hold for common severity distributions in operational risk models.
In this paper, the authors investigate the four most commonly used risk measures – return volatility, beta, value-at-risk and stressed value-at-risk – of a TSM trading strategy.