Technical papers
Asset allocation with conditional value-at-risk budgets
Risk budgets are frequently used to allocate the risk of a portfolio by decomposing the total portfolio risk into the risk contribution of each component position. Many approaches to portfolio allocation...
Counterparty risk is difficult to include systematically in credit default swap pricing. Reviving Merton’s structural approach – and generalising to higher dimensions – makes it tractable. By Alex...
The value of early termination clauses in derivatives depends crucially on the type of close-out value used and on the counterparty risk, and embeds optionality in even the most vanilla swap contracts....
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More Technical papers articles
Robust hedging of withdrawal guarantees
Withdrawal guarantees ensure the periodic deduction of a constant dollar amount from a fund for a fixed number of periods. If the fund is depleted before the last withdrawal, the guarantor has to finance the difference. Andreas Kunz derives a robust hedging...
Cutting Edge introduction: Wrong-way risk and the limits of correlation...
Traditional models for wrong-way risk focus on the correlation between default and exposure – a blunt tool for a tail risk. Alternatives are thin on the ground, but a scenario-based approach may provide some fresh insight. Laurie Carver introduces this...
DVA for assets
Debit valuation adjustments are becoming well understood for derivatives and liabilities – but can affect the asset side of the balance sheet too. Specifically, assets such as so-called goodwill depend on the creditworthiness of the firm. Chris Kenyon...
Robust hedging of withdrawal guarantees
Withdrawal guarantees ensure the periodic deduction of a constant dollar amount from a fund for a fixed number of periods. If the fund is depleted before the last withdrawal, the guarantor has to finance the difference. Andreas Kunz derives a robust hedging...
Wrong-way risk, credit and funding
The risk of exposure and counterparty default probability both increasing – so-called wrong-way risk – is usually understood in terms of the correlation between the two variables. But this approach is focused more on the centre of the distribution,...
Non-linear momentum strategies
Trading strategies that follow trends, or market momentum, result in positively skewed distribution of trading returns. Strategies that are linear in the factors driving the momentum have been studied before, but Richard Martin and Ali Bana extend this...
Cutting Edge introduction: Goodwill for DVA
The debit valuation adjustment is a controversial concept when applied to derivatives liabilities, but it has won accountants round. Further thought shows it could be applied more broadly – even to purely positive assets. Laurie Carver introduces this...
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