Technical papers/Risk Management
An analytical framework for credit portfolio risk measures
Risky funding with counterparty and liquidity charges
This webinar on September 17th looks at the challenges of GRC, key trends, motives for improvement, future investments, and obstacles that banks and other financial institutions face in trying to improve and integrate their risk management strategy
More Technical papers/Risk Management articles
Capturing credit correlation between counterparty and underlying
Carbon derivatives pricing: an arbitrageable market
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 gu...
Adjoint methods have recently been proposed as an efficient way to calculate risk through Monte Carlo simulation. Luca Capriotti and Mike Giles extend these ideas and show how adjoint algorithmic di...
Traditional pricing and hedging approaches often fail to work properly for complex energy structures due to market incompleteness, liquidity problems or unusual price dynamics. In this article, St...
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.