This paper investigates three Islamic equity indexes, classified by economic hubs (Dow Jones Europe, Asia/Pacific and United States), against their conventional peers from 2003 to 2009.
This study deliberates upon a proposed delta–gamma sensitivity analysis–extreme value theory (DGSA–EVT) model that focuses on the assessment of risk exposures represented by the value of valu...
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This paper investigates the risk engendered by maturity mismatches.
This paper analyzes the theoretical properties and statistical behavior of credit default swap (CDS) premiums over time.
The authors present an analytic framework for credit portfolio modeling using Hermite expansions.
By introducing the set-valued scenario, this paper proposes a unified robust portfolio selection approach under downside risk measures.
Kenyon and Green show how certain technical elements simplify XVA management
This paper presents a simple approximation for the noarbitrage drifts that appear in Libor market model SABR-family term structure models.
A simple but realistic model to co-simulate the time series of temperature, electricity load and prices is proposed
Quants at UBS show how to speed up the calculation of sensitivities without tearing up legacy code
Marzio Sala and Vincent Thiery show the derivation of the continuous adjoint problem for PDEs
The authors of this paper investigate the risk modeling of commodities. They note that return distributions differ widely across different commodities, both in terms of tail fatness and skewness.
The authors examine GPS-communicated data on liquefied natural gas (LNG) tanker movements between January 2011 and August 2012 to determine the possible drivers of apparently inefficient shipping ro...
The authors of this paper aim to test empirically the performance of several optimization algorithms that exist in the literature and then compare them, in both a single-regime market and a two-regi...
This paper explores the lines of defense of a central counterparty. The author examines the lines of defence ("the waterfall") of a central counterparty (CCP) inter alia in the context of the requir...
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.