Technical papers/Derivatives
Estimating credit contagion in a standard-factor model
State-of-the-art credit risk portfolio models and the new Basel capital Accord consider only symmetric dependencies between borrowers in a portfolio, such as correlations. Recently, asymmetric dependencies...
In two articles published in 2004 and 2005 in Risk, Lorenzo Bergomi assessed the structural limitations of existing models for equity derivatives and introduced a new model based on the direct modelling...
Chris Kenyon introduces normal-based smile models for year-on-year inflation motivated by the observation that market lognormal caplet volatilities of less than 1% imply normality for maturities of up...
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More Technical papers/Derivatives articles
Let's jump together: pricing credit derivatives
Joao Garcia, Serge Goossens and Wim Schoutens introduce a dynamic multivariate jump-driven model for credit spreads. The model parameters come from a calibration on swaptions and a correlation-matching procedure. The authors apply the model to credit...
Gamma loss and prepayment
Peter Jackel presents a model for the dynamics of fractional notional losses and prepayments on asset-backed securities for the valuation and risk management of derivatives, including waterfall structures and other structured debt obligations on bespoke...
Inflation ist normal
Ausgehend von der Beobachtung, dass lognormale Markt-Caplet-Volatilitäten von weniger als 1% Normalität für Fälligkeiten von bis zu 30 Jahren implizieren, führt Chris Kenyon normalbasierte Smile-Modelle für die Inflation im Jahresvergleich ein....
Convexity adjustments in inflation-linked derivatives
Dorje Brody, John Crosby and Hongyun Li value several types of inflation-linked derivatives using a multi-factor version of the Hughston (1998) and Jarrow & Yildirim (2003) model. Expressions for the prices of zero-coupon inflation swaps with delayed...
Improving annuity pricing with address data
Socioeconomic group is an important factor for determining life expectancy, and actuaries have traditionally used pension or benefit size as a proxy for this. This article shows the weaknesses of relying solely on benefit size or amount, and explains...
Combining the SABR and LMM models
Pierre Henry-Labordere analyses a stochastic volatility Libor market model that combines the SABR and Brace-Gatarek-Musiela (BGM) models in a natural way. Using an innovative geometrical method, he explains how to obtain analytical formulas for swaption...
A free lunch and the credit crunch
Monoline insurers act as triple-A guarantors of the senior risks in structured finance. A purchaser of credit insurance or protection from a monoline may argue that they take only a small amount of the counterparty risk that is a common side-effect of...
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Using market and credit risk analytics to strengthen performance
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