Technical papers
Cutting Edge introduction: Tales of tails
It is a cliché that returns are fat-tailed, but that doesn’t make the distributions any easier to work with. However, drawing on the father of their application in finance – and some thermodynamics...
Quadratic Gaussian models are particularly amenable to analytic solutions, and so have become popular for rates modelling. Here, Manlio Trovato, Diana Ribeiro and Hringur Gretarsson extend the approach...
The probability distribution of the number of defaults plays an important role in pricing problems of multiple-name credit derivatives. When the group size gets large, it becomes increasingly difficult...
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More Technical papers articles
Sample tangency portfolio, representativeness and ambiguity: impact...
We provide a model for understanding the impact of sample-size neglect for cases where an investor uses the sample estimator of the covariance matrix in order to obtain a tangency portfolio. By assuming an erroneous hypothesis, we look for a family of...
Pricing to acceptability: with applications to valuation of one’s own...
In this paper, the theory of pricing to acceptability developed for incomplete markets is applied to marking one's own default risk. Following the work of Heckman, it is observed that assets and liabilities are not to be valued identically in financial...
Failure of the saddlepoint method in the presence of double defaults
We show that the saddlepoint approximation method for quantifying the impact of undiversified idiosyncratic risk in a credit portfolio is inappropriate in the presence of double-default effects. Specifically, we prove that an equivalent formula to the...
Calibrating risk preferences with the generalized capital asset pricing...
The generalized capital asset pricing model based on mixed conditional value-at-risk (CVaR) deviation is used for calibrating the risk preferences of investors. Risk preferences are determined by coefficients in the mixed CVaR deviation. The corresponding...
Addendum to “Partial differential equation representations of derivatives...
This addendum corrects an error in the notation of earlier versions of our paper "Partial differential equation representations of derivatives with bilateral counterparty risk and funding costs" that appeared on SSRN in 2010 and in Volume 7, Issue 3 of...
Auto-collateralization as a liquidity-saving mechanism
This paper examines the effects of introducing an auto-collateralization scheme in a simulated securities settlement system. Using artificially generated data, it shows that auto-collateralization can substantially lower liquidity needs without delaying...
Estimating the intraday liquidity risk of financial institutions: a...
The recent financial crisis has shown that liquidity risk is far more important and intricate than regulators had previously acknowledged. The shift from bank-based to market-based financial systems and from deferred net settlement systems to liquidity-demanding...
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