The authors demonstrate how different credit risk models can be efficiently implemented for scenario analysis and stress testing execution with concrete application examples.
This paper formulates a functional optimization problem over a set of regular payoff functions to deal with the joint mitigation of combined price–volume risk using purely financial tools.
This paper presents a rigorously motivated pricing equation for derivatives.
Peter Austing introduces an analytic or semi-analytic valuation of basket options
Rama Cont and Lakshithe Wagalath introduce a liquidation-adjusted VAR
This paper proposes a stochastic model for coupled natural gas spot prices and temperature.
This paper reviews and extends the saddlepoint methods currently available to measure credit risk.
Value-at-risk estimation with the Carr–Geman–Madan–Yor process: an empirical study on foreign exchange rates
This paper investigates the performance of the CGMY distribution in estimating the risk of FX rates.
The authors develop a technique, based on numerical inversion, to compute the prices and Greeks of lookback options driven by Lévy processes.
Testing value-at-risk models in emerging markets during crises: a case study on South Eastern European countries
This paper examines the applicability of a wide range of VaR models in emerging markets, focusing on South Eastern European countries.
Risk management and portfolio optimization for gas- and coal-fired power plants in Germany: a multivariate GARCH approach
This paper investigates the hedging effectiveness of energy derivatives traded at the EEX for the purpose of mitigating the risk exposure of gas- and coal-fired power plants in Germany.
In this paper the authors provide a comprehensive treatment of the discretization effect under general stochastic volatility dynamics.
This paper investigates the optimal design of funds which provide capital protection at a specific maturity.
Research on equity release mortgage risk diversification with financial innovation: reinsurance usage
This paper examines the risk diversification of ERMs via the reinsurance strategy.
This paper investigates whether there are existing common model features that yield consistently superior results under both VaR and ES risk metrics in the energy commodities markets.
The authors of this paper formalize a methodology to manage short-term FX risk.
The authors propose a novel method for efficiently comparing the performance of different stopping times.
Evaluating the performance of the skewed distributions to forecast value-at-risk in the global financial crisis
This paper models the tail behavior of daily returns and forecasting VaR in order to evaluate the performance of several skewed and symmetric distributions.
How to calculate expected future carbon costs and optimal valuation and hedging decisions, by adjusting Monte Carlo simulations for the UK market
This paper looks at hourly spot prices at the German electricity market and applies extreme value theory (EVT) to investigate the tails of the price change distribution.
Vivien Brunel proposes a method to classify non-defaulted loans in accordance with IFRS 9
This paper analyses whether the double default treatment under Basel II is appropriate to capture the asymmetric relationship between an obligor and its guarantor.
A new method to estimate marginal VAR and marginal ES is presented
This paper studies the problem of optimal trading using general alpha predictors with linear costs and temporary impact.