Journals

• 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

Crude oil volatility shocks and stock market returns

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

Break on through to the single side

• 30 Sep 2008

• Original research

Valuing LCDS cancelability

• 30 Sep 2008

• Original research

Maturity adjustments under asymptotic single risk factor models: a comparative analysis

• 30 Sep 2008

• Original research

Development and validation of credit scoring models

• 30 Sep 2008

• Original research

A swaption volatility model using Markov regime switching

• 29 Sep 2008

• Original research

Multi-asset option pricing using a parallel Fourier-based technique

• 29 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

• Original research

A mixing model for operational risk

• 26 Sep 2008

• Original research

An assessment of the internal rating-based approach in Basel II

• 25 Sep 2008

• Original research

Stress-testing retail loan portfolios with dual-time dynamics

• 25 Sep 2008

• Original research

Modeling and evaluating the credit risk of mortgage loans: a primer

• 25 Sep 2008

• Original research

Estimating and validating long-run probability of default with respect to Basel II requirements

• 25 Sep 2008

• Original research

Overcoming dimensional dependence of worst case scenarios and maximum loss

• 22 Sep 2008

• Original research

Empirical likelihood for value-at-risk and expected shortfall

• 22 Sep 2008

• Original research

A conditional approach for risk estimation

• 22 Sep 2008