Original research BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives 23 Dec 2008
Original research Gaussian and Poisson approximation: applications to CDOs tranche pricing 23 Dec 2008
Original research The relationship between default and economic cycle across countries for retail portfolios 10 Nov 2008
Original research Forecasting industry sector default rates through dynamic factor models 10 Nov 2008
Original research The accuracy of credit scoring receiver operating characteristic in the presence of macroeconomic shocks 10 Nov 2008
Original research Recalibrating credit risk models – a theoretical perspective with practical implications 10 Nov 2008
Original research A semiparametric factor model for electricity forward curve dynamics Research Papers 01 Oct 2008
Original research Price dynamics of natural gas components: empirical evidence Research Papers 01 Oct 2008
Original research The comovements along the forward curve of natural gas futures: a structural view Research Papers 01 Oct 2008
Original research Maturity adjustments under asymptotic single risk factor models: a comparative analysis 30 Sep 2008
Original research Representing the CGMY and Meixner Lévy processes as time changed Brownian motions 29 Sep 2008
Original research Pricing kth-to-default swaps under default contagion: the matrix analytic approach 29 Sep 2008
Original research A practical guide to measure operational risk using subjective data through copulas and scenario analysis 26 Sep 2008
Original research Operational risk and insurance: a ruin-probabilistic reserving approach 26 Sep 2008