Technical papers/Risk Management
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...
This paper focuses on the pricing of variance and volatility swaps in the energy market. An explicit variance swap formula and a closed-form volatility swap formula (using the Brockhaus-Long approximation)...
We quantify the optionality in US natural gas storage leases under a model of optimal storage management. The model utilizes a two-factor tree in which both factors mean-revert; it calibrates to current...
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More Technical papers/Risk Management articles
Practical stochastic modeling of electricity prices
We develop a flexible multifactor stochastic model with three diffusive and three spike regimes, for daily spot and forward electricity. The model captures various stylized features of power prices, including mean reversion and seasonal patterns and short-lived...
Pricing, competition and innovation in retail payment systems: a brief...
This paper looks at competition and innovation in retail payments and their relation to payment pricing and payment efficiency. Payment markets are complex and economic theory cannot always guide us. There is not much consensus on what constitutes an...
The US oil spot market: a deterministic chaotic process or a stochastic...
This paper studies the US crude oil (CO) market and its structural changes. The theory of exhaustible resources and the fundamentals of crude oil supply and demand form the theoretic foundation of our research. The role of a set of recent drivers of oil...
Measuring free riding in large-value payment systems: the case of TARGET2...
This paper addresses the question of how free riding in large-value payment systems should be properly measured. Based on the valuable proposal by Denbee, Garratt and Zimmermann, various measures of free riding in large-value payment systems are investigated....
Network dynamics of TOP payments
We present an application of network theory to the Dutch payment system with specific attention to systemic stability. The network nodes comprise banks active in the Netherlands where links between the nodes are established by payments. Traditional measures...
Making the over-the-counter derivatives markets safe: a fresh look
In the aftermath of the failure of Lehman Brothers, regulators, especially in the United States and Europe, are focusing on reducing the risks in the overall ove-rthe-counter (OTC) derivatives market. We provide an overview of the OTC derivatives market...
Loss given default modeling: a comparative analysis
In this study we investigated several of the most popular loss given default (LGD) models (least-squares method, Tobit, three-tiered Tobit, beta regression, inflated beta regression, censored gamma regression) in order to compare their performance. We...
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