Technical papers/Market Risk
Cutting Edge introduction: risky contributions
Original headline:
Value-at-risk is usually calculated via Monte Carlo simulation, making it difficult to see the contributions from different risks. But in some circumstances approximate formulas can be derived that greatly...
Original headline:
The already challenging task of calibrating stochastic volatility models becomes even more complex when rates are random too. But an efficient Monte Carlo approach can be found – by using an esoteric,...
Original headline:
Calibrating implied volatility just got easier – thanks to a classical mathematical device with an illustrious history. Laurie Carver introduces this month’s technical articles by looking at how the...
Worried about regulation?
Read in-depth analysis of top regulatory issues today!
Find the information you need in articles from across Risk.net on Basel III, the Dodd-Frank Act, and Solvency II.
More Technical papers/Market Risk articles
Cutting edge introduction
Original headline:
Copula functions that provide a way of splicing the probability distributions of multiple assets together have taken a lot of flak since the crisis. Laurie Carver introduces this month’s technical articles by looking at the fate of such methods –...
Valuation of with-profit insurance policies with interest rate guarantees...
Published online only
Classical with-profit life insurance products are traditionally backed by a buy-and-hold bond investment strategy. Using book-value accounting for such products tends to lead to a design of the guarantee rate based on an average of long-term interest...
A dynamic model for hard-to-borrow stocks
Published online only
Traders with short positions in stocks that are subject to short-selling restrictions risk being 'bought in', in the sense that their positions may be closed out by the clearing firm at market prices. Marco Avellaneda and Mike Lipkin present a model for...
A dynamic model for hard-to-borrow stocks
Published online only
Traders with short positions in stocks that are subject to short-selling restrictions risk being 'bought in', in the sense that their positions may be closed out by the clearing firm at market prices. Marco Avellaneda and Mike Lipkin present a model for...
Error of VAR by overlapping intervals
Published online only
When overlapping intervals in time series are used, volatility and price changes' percentiles are underestimated. Consequently, value-at-risk is also underestimated. Heng Sun, Izzy Nelken, Guowen Han and Jiping Guo measure the size of this underestimation...
Error of VAR by overlapping intervals
Published online only
When overlapping intervals in time series are used, volatility and price changes' percentiles are underestimated. Consequently, value-at-risk is also underestimated. Heng Sun, Izzy Nelken, Guowen Han and Jiping Guo measure the size of this underestimation...
Component VAR for a non-normal world
Published online only
It has become standard to account for non-normality when estimating portfolio value-at-risk, but there are few methods available to calculate the risk contributions of each component in a non-normal portfolio. Brian Peterson and Kris Boudt present a method...
Forgot your Risk.net password?
Renew your password now!
Make sure you don't miss a day of Risk.net's essential content. Refresh your password today online!
Related conferences
-
Risk South Africa
South Africa, 28th - 2nd Mar 2012
-
OpRisk North America 2012
USA, 20th - 23rd Mar 2012
-
Risk Annual Summit
UK, 20th - 23rd Mar 2012
-
Risk & Return Россия 2012
Russia, 25th Apr 2012
-
Risk and Return Russia
Russia, 25th Apr 2012
Related training
-
Nexus-Risk Training
USA, 26th Oct 2012
-
Marcello Minenna on Derivative Pricing and Model Calibration: Tools and Techniques
UK, 15th - 17th Feb 2012
-
Basel 2.5 to Basel III: Challenges and Objectives for Risk Management
UK, 16th - 17th Feb 2012
-
Basel 2.5 to Basel III: Challenges and Objectives for Risk Management
USA, 23rd - 24th Feb 2012
-
Patrick Hagan on Fixed Income
UK, 23rd - 24th Feb 2012
Updating your subscription status 
Email alerts
Weekly poll
Technology white papers
Related Jobs
