Technical papers
Is collateral becoming scarce? Evidence for the euro area
The global financial crisis has driven several trends in wholesale financial markets that have led to a higher demand for high-quality collateral. More transactions are now secured instead of unsecured...
In 2005 the internal-ratings-based (IRB) approach of Basel II was enhanced by a "treatment of double default effects" to account for credit risk mitigation techniques such as ordinary guarantees or credit...
The loan credit default swap (LCDS) was originally designed as an alternative to the traditional credit default swap (CDS) due to its effectiveness in hedging the underlying loans. However, there do not...
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More Technical papers articles
Collateralized credit default swaps and default dependence: implications...
We study the pricing of a continuously collateralized credit default swap (CDS). We make use of the "survival measure" to derive the pricing formula in a straightforward way. As a result, we find that, even under a perfect collateralization, there exists...
A proof of the optimality of volatility weighting over time
We provide a proof that volatility weighting over time increases the Sharpe ratio or the information ratio. The higher the degree of volatility smoothing achieved by volatility weighting, the higher the risk-adjusted performance. Our results apply to...
The role of diversification risk in financial bubbles
We present an extension of the Johansen-Ledoit-Sornette (JLS) model that includes an additional pricing factor called the "Zipf factor", which describes the diversification risk of the stock market portfolio. Keeping all the dynamical characteristics...
Balanced baskets: a new approach to trading and hedging risks
A basket is a set of instruments that are held together because the set's statistical profile delivers a desired goal, such as hedging or trading, that cannot be achieved through the individual constituents, or even subsets of them. Multiple procedures...
Jointly modeling the prices of American depository receipts, the local...
Options on an American depository receipt reflect the correlations between the local stock and the foreign currency price of the US dollar, while local option surfaces calibrate the marginal laws. After developing a general procedure for pricing all three...
Estimating operational risk capital: the challenges of truncation, the...
In operational risk measurement, the estimation of severity distribution parameters is the main driver of capital estimates, yet this remains a nontrivial challenge for many reasons. Maximum likelihood estimation (MLE) does not adequately meet this...
Asymptotics for operational risk quantified with a spectral risk measure...
The measurement and management of operational risk has become an increasingly important issue as a result of the new capital requirement for operational risk implemented in the New Basel Capital Accord (Basel II). We deal with asymptotic results for operational...
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Using market and credit risk analytics to strengthen performance
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