Focusing on how often a trading strategy ends on the winning side can distract from the question of whether it profits on average. The key is in the return distribution’s skew – and at least for...
Implications for valuation and risk management of spread options
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The origins of CVA
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This paper analyzes the impact of several popular factor models on the calculation of value-at-risk (VaR) for the loss of a credit portfolio with many obligors. The study covers linear and nonlinear factor...
We extend the framework of Leland, who proposed a structural model of rollover debt structure in a Black-Scholes framework.We apply this to the case of a doubleexponential jump-diffusion process, considering...
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.