Journals
Approximations of value-at-risk as an extreme quantile of a random sum of heavy-tailed random variables
The authors of this paper study the approximation of extreme quantiles of random sums of heavy-tailed random variables. More specifically, sub-exponential random variables.
Nonmaturity deposits and banks’ exposure to interest rate risk: issues arising from the Basel regulatory framework
The authors of this paper address the shortcomings of a major assumption in the Basel accords regarding interest-risk exposure and propose two models to incorporate optionality features that are often ignored.
The impact of model risk on capital reserves: a quantitative analysis
This paper analyzes and quantifies the idea of model risk in the environment of internal model building.
Better risk and performance estimates with factor-model Monte Carlo
This paper presents a solution to a common problem in asset and portfolio risk, when a manager has such a short history of asset returns that risk and performance measure estimates are unreliable.
A novel partial integrodifferential equation-based framework for pricing interest rate derivatives under jump-extended short-rate models
Interest rate derivatives under jump-extended short-rate models have commonly been valued using lattice methods. This paper proposes a much faster and more accurate valuation method based on partial integrodifferential equations.
Improved estimation methods for value-at-risk, expected shortfall and risk contributions with high precision
This paper proposes a technique based on the saddlepoint approximation to quickly and accurately estimate common portfolio risk measures and their associated marginal component contributions.
An efficient numerical partial differential equation approach for pricing foreign exchange interest rate hybrid derivatives
This paper discuss efficient pricing methods via a partial differential equation (PDE) approach for long-dated foreign exchange (FX) interest rate hybrids under a three-factor multicurrency pricing model with FX volatility skew.
The damped Crank–Nicolson time-marching scheme for the adaptive solution of the Black–Scholes equation
This paper deals with error estimators and mesh adaptation for a space-time finite element discretization of the basic Black-Scholes equation. An interesting modern numerical mathematical technique for a fundamental pricing equation in finance is…