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.
Leo Van Hove investigates a less-cash society from the perspective of a central bank
This paper puts forward an ensemble approach for asset correlations.
Jacky Lee and Luca Capriotti present an arbitrage-free valuation method for counterparty exposure of credit derivates portfolios.
When dealing with nonsmooth functions – such as a combination of a nonsmooth density and a payoff – spectral filters can be applied to deal efficiently with the so-called Gibbs phenomenon. The simplicity and effectiveness of classical filtering techniques...
The article discusses the use of counting processes for retail (mortgage) default modeling.
By means of B-spline interpolation, this paper provides an accurate closed-form representation of the option price under an inverse Fourier transform.
This paper analyzes the theoretical properties and statistical behavior of credit default swap (CDS) premiums over time.
Hermite approximations in credit portfolio modeling with probability of default–loss given default correlation
The authors present an analytic framework for credit portfolio modeling using Hermite expansions.
By introducing the set-valued scenario, this paper proposes a unified robust portfolio selection approach under downside risk measures.
A simple approximation for the no-arbitrage drifts in Libor market model–SABR-family interest-rate models
This paper presents a simple approximation for the noarbitrage drifts that appear in Libor market model SABR-family term structure models.
Commodity value-at-risk modeling: comparing RiskMetrics, historic simulation and quantile regression
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.