Technical papers
Risk control
Jürgen Vandenbroucke of the Faculty of Applied Economics at the University of Antwerp and KBC Asset Management elaborates on risk control applied to option-based capital-protected products and rules-based...
Inflation models tend to be poor at capturing the high sensitivity of Limited Price Index (LPI) swap payoffs to year-on-year smiles and correlations, and consequently miss market quotes. Yann Ticot and...
The value of early termination clauses in derivatives depends crucially on the type of close-out value used and on the counterparty risk, and embeds optionality in even the most vanilla swap contracts....
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More Technical papers articles
Cutting Edge introduction: The collateral currency convexity problem
Casual assumptions can be seductive – but wrong. An examination of what is sometimes taken for granted can yield surprising results, as a new article on collateral currency shows. Laurie Carver introduces this month’s technical section
Collateral convexity complexity
The crisis abolished the risk-free rate, and brought the role of credit support annexes to the fore in derivatives pricing. Paul McCloud develops the general pricing framework that allows the convexity effects to be captured
Applied risk management series: Venturing beyond VAR
In this article, Carlos Blanco and José Ramón Aragonés review the historical simulation methodology used to estimate value-at-risk and expected tail loss, while including adjustments to traditional assumptions that can help improve risk forecasts for...
LPI swaps with a smile
Inflation models tend to be poor at capturing the high sensitivity of Limited Price Index (LPI) swap payoffs to year-on-year smiles and correlations, and consequently miss market quotes. Yann Ticot and Xavier Charvet propose a simple framework for pricing...
Defined benefit pension strategy with stochastic volatility
A crucial question in the investment strategy for a defined benefit pension fund is how this strategy will influence the time evolution of the funding level, i.e. the ratio of assets divided by liabilities. Most pension funds split their investment portfolio...
Cutting Edge introduction: CVA for CDSs
Counterparty risk is generally thought of at a portfolio level, but understanding how a particular payout interacts with credit and debit valuation adjustments could help banks make business decisions. Laurie Carver introduces this month’s technical...
Wrong-way risk, credit and funding
The risk of exposure and counterparty default probability both increasing – so-called wrong-way risk – is usually understood in terms of the correlation between the two variables. But this approach focuses more on the centre of the distribution. This...
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Using market and credit risk analytics to strengthen performance
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