Technical papers/Technology
Translating overnight and intraday returns to improve daily volatility...
Recent research suggests the information content in overnight and intraday returns, unlike trading volume, improves the statistical accuracy of daily volatility forecasts.
While the private banking industry is in general relatively well equipped on the tax planning side, with tools that can allow private bankers to analyse the situation of high net worth individuals operating...
Attilio Meucci propone una metodologia unificata per l'utilizzo di opinioni non lineari di un numero qualsiasi di utenti in mercati perfettamente generali e non normali e lo svolgimento, tra le altre cose,...
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How banks needs to consider their IT infrastructure
Banks are increasingly using their IT infrastructure to increase their competitive advantage. Learn how this can work in practice.
More Technical papers/Technology articles
Inflation ist normal
Ausgehend von der Beobachtung, dass lognormale Markt-Caplet-Volatilitäten von weniger als 1% Normalität für Fälligkeiten von bis zu 30 Jahren implizieren, führt Chris Kenyon normalbasierte Smile-Modelle für die Inflation im Jahresvergleich ein....
Improving annuity pricing with address data
Socioeconomic group is an important factor for determining life expectancy, and actuaries have traditionally used pension or benefit size as a proxy for this. This article shows the weaknesses of relying solely on benefit size or amount, and explains...
Valuation and risk analysis for Dutch pension schemes
This paper examines fair value liabilities and derives the implied indexation rate as the measure of the benefits provided by the conditional indexation mechanism. Further, it assesses the sensitivity of the fair value liabilities to real and nominal...
Das Kontrahentenrisiko und CCDSs unter Korrelation
Das Kontrahentenrisiko unter Korrelation ist in der Finanzliteratur relativ unerforscht. Im vorliegenden Artikel führen Damiano Brigo und Andrea Pallavicini die bestehenden Analysen über einfache Swap-Portfolios hinaus. Das Ausfallereignis wird im Rahmen...
Copule archimediane implicite nei dati di mercato
La stima delle funzioni di copula implicite è un elemento centrale ai fini della generazione delle distribuzioni delle perdite su portafogli "bespoke" e della valutazione delle relative tranche. Tale processo è reso possibile dalla disponibilità di...
Contributi al rischio di fattori generici definiti dall'utente
In questo articolo Attilio Meucci ricorre all'analisi di regressione per scomporre volatilità, value-at-risk (VaR) ed expected shortfall (ES) in combinazioni o aggregazioni arbitrarie di fattori di rischio, e illustra una semplice ricetta per implementare...
Modelling South African swap spreads
Even though domestic swap spreads are stretched several standard deviations above historical three- and seven-year means, these spreads exhibit a statistically viable upward trend. Nevertheless, some moderation in the 10-year spread is expected over the...
Using market and credit risk analytics to strengthen performance
How are banks improving their risk management techniques?
This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
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Using market and credit risk analytics to strengthen performance
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