This study deliberates upon a proposed delta–gamma sensitivity analysis–extreme value theory (DGSA–EVT) model that focuses on the assessment of risk exposures represented by the value of valu...
Kenyon and Green show how certain technical elements simplify XVA management
This paper presents a simple approximation for the noarbitrage drifts that appear in Libor market model SABR-family term structure models.
More Technical papers articles
This paper deals with the performance of popular option strategies in the Nordic power derivatives market.
This paper investigates the risk engendered by maturity mismatches.
A simple but realistic model to co-simulate the time series of temperature, electricity load and prices is proposed
Quants at UBS show how to speed up the calculation of sensitivities without tearing up legacy code
Marzio Sala and Vincent Thiery show the derivation of the continuous adjoint problem for PDEs
The authors of this paper investigate the risk modeling of commodities. They note that return distributions differ widely across different commodities, both in terms of tail fatness and skewness.
The authors examine GPS-communicated data on liquefied natural gas (LNG) tanker movements between January 2011 and August 2012 to determine the possible drivers of apparently inefficient shipping ro...
The authors of this paper aim to test empirically the performance of several optimization algorithms that exist in the literature and then compare them, in both a single-regime market and a two-regi...
This paper explores the lines of defense of a central counterparty. The author examines the lines of defence ("the waterfall") of a central counterparty (CCP) inter alia in the context of the requir...
This paper first describes T2 by means of classic network measures. Then, it applies novel methods developed in network theory to uncover two additional features of T2: driver nodes and communities.
This paper is concerned with stress testing the Vasicek model by extending the correlation structure for nondefault ratings. Two models are proposed.
The authors of this paper investigate whether the US and UK gas markets are moving toward integration. As well as looking at the cointegration of the Henry Hub and National Balancing Point indexes, ...
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.