Technical papers
Are real investment decisions based on risk-adjusted performance measures...
We show that the use of risk-adjusted performance measures (RAPMs), such as the return on risk-adjusted capital (RORAC) or the risk-adjusted return on risk-adjusted capital (RARORAC), as decision criteria...
We demonstrate the importance of attributing active risk and return to the same underlying sources. We define and compare absolute and relative sources for securities, sectors and factors. We provide detailed...
The issue of payment card fraud has received a great deal of attention from the authorities. A large amount of card fraud can be attributed to the phenomenon of counterfeit debit cards. Debit cards are...
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How banks needs to consider their IT infrastructure
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More Technical papers articles
Intraday patterns and timing of TARGET2 interbank payments
This paper analyzes daily patterns in the settlement of payments in the European TARGET2 settlement system using a unique transaction-level data set. For the first time, we provide insights into the intraday patterns of bank-to-bank payments (a subset...
A dual consent approach for payments
This paper looks at payments where, due to a lack of trust between buyer and seller, it is beneficial to involve a guarantor for payments. We argue that this guarantor should obtain consent from both the buyer and the bank of the buyer (a dual consent...
A central bank perspective on liquidity management
This paper investigates the main liquidity management infrastructures and their recent development from a central bank perspective. Liquidity and liquidity management are defined and the functions and benefits of real-time gross settlement and payment-versus-payment...
Dual quantization for random walks with application to credit derivatives...
We propose a new quantization algorithm for the approximation of inhomogeneous random walks, which are essential for the valuation of collateralized debt obligation (CDO) tranches in latent factor models. This approach is based on a dual quantization...
Pricing options on realized variance in the Heston model with jumps...
We analyze the effect of discrete sampling on the valuation of options on the realized variance in the Heston stochastic volatility model. It has been known for some time that, although quadratic variance can serve as an approximation to discrete variance...
A variance reduction technique using a quantized Brownian motion as...
This paper introduces a new variance reduction technique for diffusion processes where a control variate is constructed using a quantization of the coefficients of the Karhunen-Loève decomposition of the underlying Brownian motion. This method can also...
Estimating multiple option Greeks simultaneously using random parameter...
The derivatives of option prices with respect to underlying parameters are commonly referred to as Greeks, and they measure the sensitivities of option prices to these parameters. When the closed-form solutions for option prices do not exist and the discounted...
Using market and credit risk analytics to strengthen performance
How are banks improving their risk management techniques?
This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
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Using market and credit risk analytics to strengthen performance
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How financial services need to consider their IT infrastructure
The global credit crisis exposed the weaknesses inherent in the risk management and IT infrastructures employed by banks.
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