Original research Integrating multiple commodities in a model of stochastic price dynamics Research Papers 30 Sep 2009
Original research Electricity futures prices: some evidence on forecast power at NordPool Research Papers 30 Sep 2009
Original research Double-t copula pricing of structured credit products: practical aspects of a trustworthy implementation 29 Sep 2009
Original research Computational techniques for basic affine models of portfolio credit risk 24 Sep 2009
Original research Measure of financial risk using conditional extreme value copulas with EVT margins Research Papers 23 Jun 2009
Original research Interaction of market and credit risk: an analysis of inter-risk correlation and risk aggregation 23 Jun 2009
Original research Pricing and performance of mutual funds: lookback versus interest rate guarantees 23 Jun 2009
Original research Risk evaluation in financial risk management: prediction limits and backtesting 20 Jun 2009
Original research Comparison of tail performance of the Champernowne transformed kernel density estimator, the generalized Pareto distribution and the g-and-h distribution 19 Jun 2009
Original research Dynamic operational risk: modeling dependence and combining different sources of information Research Papers 19 Jun 2009