Technical papers
A central bank perspective on liquidity management
This paper investigates the main liquidity management infrastructures and their recent development from a central bank perspective. Liquidity and liquidity management are defined and the functions and...
We propose a new quantization algorithm for the approximation of inhomogeneous random walks, which are essential for the valuation of collateralized debt obligation (CDO) tranches in latent factor models....
We analyze the effect of discrete sampling on the valuation of options on the realized variance in the Heston stochastic volatility model. It has been known for some time that, although quadratic variance...
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.
More Technical papers articles
A variance reduction technique using a quantized Brownian motion as...
This paper introduces a new variance reduction technique for diffusion processes where a control variate is constructed using a quantization of the coefficients of the Karhunen-Loève decomposition of the underlying Brownian motion. This method can also...
Estimating multiple option Greeks simultaneously using random parameter...
The derivatives of option prices with respect to underlying parameters are commonly referred to as Greeks, and they measure the sensitivities of option prices to these parameters. When the closed-form solutions for option prices do not exist and the discounted...
Mean reversion in stock prices: implications for long-term investors
This paper discusses the implications of mean reversion in stock prices for long-term investors such as pension funds. We consider a mean-variance-efficient investor and show how mean reversion in stock prices affects such an investor's optimal portfolio...
Alternative indexing methods: point of reference – does it matter?
Most equity investors use the market capitalization-weighted index as their main point of reference when assessing the relative risk characteristics of an investment. In the past, the choice of this index has been made automatically without questioning...
A least discrimination method for portfolio optimization: an alternative...
Black and Litterman recommend that portfolio optimization start with a reference portfolio (eg, a performance benchmark) and inferring the returns forecast that makes this portfolio optimal. Personal views on some asset returns may then be expressed as...
Universal algorithmic trading
The problem of universal sequential investment in stock markets is considered. We construct an algorithmic trading strategy that is asymptotically at least as good as any trading strategy that is not excessively complex and that computes the investment...
Leveraged exchange-traded funds: admissible leverage and risk horizon
This paper provides a quantitative risk analysis of leveraged exchange-traded funds (LETFs) with a focus on the impact of leverage and investment horizon. From the empirical returns of several major LETFs based on the S&P 500 index, the performance of...
How can investment banks use grid technology?
Learn how technology is enhancing risk management
Technology can provide a competitive advantage in banking. How it is applied by Tier 1 and Tier 2 institutions, to the benefit for their risk management systems, is discussed.
Related conferences
-
What’s next for fixed-income ETFs and structured products?
UK, 3rd Jul 2013
-
Quant Congress USA
USA, 17th - 19th Jul 2013
-
Liquidity and Funding Risk
UK, 24th - 25th Sep 2013
-
The OTC Derivatives Markets Conference
UK, 26th Sep 2013
-
Risk USA
USA, 21st - 24th Oct 2013
Related training
-
Nexus-Risk Training
Canada, 21st - 16th Oct 2013
-
Managing Risks in Foreign Exchange
UK, 19th - 20th Jun 2013
-
Selecting and Designing Effective KRIs
USA, 19th - 20th Jun 2013
-
Enterprise Risk Management Techniques and Practices
Singapore, 29th - 30th Jul 2013
-
Enterprise Risk Management Techniques and Practices
USA, 5th - 7th Aug 2013
Updating your subscription status 
Risk IPad Apps
Email alerts
Weekly poll
Using market and credit risk analytics to strengthen performance
This white paper reviews the various steps banks are taking to improve their risk management techniques.
How financial services need to consider their IT infrastructure
The global credit crisis exposed the weaknesses inherent in the risk management and IT infrastructures employed by banks.
- Finding the Right Path to Hedge Accounting
- Don’t get left behind – how financial services need to consider their IT infrastructure
- Rebuilding Customer Trust in Retail Banking
- How customer-centric transformation can lead to an increase in revenue and streamline operations
- Anti-Money Laundering when transaction monitoring is not sufficient
Related Jobs
