Andrew Green and Chris Kenyon show how the decision to exercise an option is influenced by XVAs
Adolfo Montoro, Tim Becker and Lars Popken propose techniques for systematically capturing and categorising non-modellable risk factors and risk-adequate aggregation
Barker, Dickinson, Lipton and Virmani propose a credit and liquidity risk model for CCPs
Serguei Mechkov initialises Heston model’s parameters using probability distributions
David Frank proposes an adjustment to sample variance for the computation of value-at-risk
Kharen Musaelian, Santhanam Nagarajan and Dario Villani show how to build robust risk metrics for bond returns
Yadong Li, Marco Naldi, Jeffrey Nisen and Yixi Shi propose a new capital allocation method
In a simple model, Vivien Brunel establishes the properties of an operational risk model under the requirement of classification invariance
Rama Cont and Lakshithe Wagalath introduce a liquidation-adjusted VAR
Vivien Brunel proposes a method to classify non-defaulted loans in accordance with IFRS 9
A new method to estimate marginal VAR and marginal ES is presented
Jack Baczynski, Jonathan da Silva and Rosalino Junior present an index for measuring hedging errors
Fissler, Ziegel and Gneiting investigate the role of elicitability in backtesting problems and show how comparative backtests can be implemented for expected shortfall
Torresetti and Le Pera explore the relevance of the diversification benefit from a theoretical and practical viewpoint
Lorenzo Ravagli shows how to exploit a risk premium embedded in the vol of vol in out-of-the-money options
Reghai, Kettani and Messaoud present new technique to calculate CVA using adjoints
Meucci, Santangelo and Deguest introduce a risk decomposition method based on minimum-torsion bets
Fabio Mercurio and Minqiang Li investigate CVAs in the presence of wrong-way risk
Alexander Antonov, Bianchetti and Mihai develop a universal and efficient approach to numerical FVA calculation
The authors present a technique for finding upper bounds on the value of a portfolio in a (possibly high-dimensional) optimal investment problem.
This paper identifies three steps in sourcing risk.
Regulatory and supervisory deference in the context of Australia’s over-the-counter derivative trade reporting and derivative trade repositories regimes
This paper provides an Australian regulatory perspective on the over-the-counter landscape and shows how regulatory deference can play a facilitating role in the cross-border context.
This paper argues that the current international policy measures with respect to central counterparties (CCPs) only partly address the systemic risk posed by CCPs.
Analysis of risk factors in the Korean repo market based on US and European repo market experiences during the global financial crisis
This paper evaluates the Korean repo market in the light of the global financial crisis.