Original research The singular points binominal method for pricing American path-dependent options 19 Sep 2010
Original research The valuation of correlation-dependent credit derivatives using a structural model 17 Sep 2010
Original research An implied multi-factor model for bespoke collateralized debt obligation tranches and other portfolio credit derivatives 17 Sep 2010
Original research Pricing and hedging collateralized loan obligations with implied factor models 17 Sep 2010
Forum The measurement of capital for operational risk in Taiwanese commercial banks Research Papers 25 Jun 2010
Forum The credit crisis and operational risk - implications for practitioners and regulators Research Papers 25 Jun 2010
Forum A practical application of extreme value theory to operational risk in banks Research Papers 25 Jun 2010
Original research A statistical modeling approach to building an expert credit risk rating system 25 Jun 2010
Original research Realized hedge ratio properties, performance and implications for risk management: evidence from the Spanish IBEX 35 spot and futures markets 24 Jun 2010
Original research Stress testing of retail mortgages: a study based on non-stationary Markov chains and t-copula simulation 23 Jun 2010