Original research Approximating independent loss distributions with an adjusted binomial distribution 12 Jan 2012
Original research Modelling sector correlations with CreditRisk+: The common background vector model 12 Jan 2012
Original research Pricing barrier and average options in a stochastic volatility environment. 11 Jan 2012
Original research Minimal partial proxy simulation schemes for generic and robust Monte Carlo Greeks. 11 Jan 2012
Original research A simple discretization scheme for nonnegative diffusion processes with applications to option pricing. 11 Jan 2012
Original research On the use of t-copulas for economic capital calculations Research Papers 23 Sep 2011
Original research Addressing the issue of conservatism in probability of default estimates: a validation tool Research Papers 23 Sep 2011
Original research Value-at-risk forecasts: a comparison analysis of extreme-value versus classical approaches Research Papers 23 Sep 2011
Original research On the choice of liquidity horizon for incremental risk charges: are the incentives of banks and regulators aligned? Research Papers 23 Sep 2011
Original research A copula-based simulation model for supply portfolio risk Research Papers 23 Sep 2011
Original research Determining the total loss distribution from the moments of the exponential of the compound loss Research Papers 23 Sep 2011
Original research Ordered contribution allocations: theoretical properties and applications 21 Sep 2011
Original research Estimating future transition probabilities when the value of side information decays, with applications to credit modeling 21 Sep 2011
Original research Time dynamic and hierarchical dependence modeling of a supervisory portfolio of banks: a multivariate nonparametric approach 21 Sep 2011
Original research Partial differential equation representations of derivatives with bilateral counterparty risk and funding costs 20 Sep 2011
Original research An empirical comparative analysis of foreign exchange smile calibration procedures Research Papers 16 Sep 2011