Original research

• Original research

The effect of variant sample sizes and default rates on validation metrics for probability of default models

• 13 Jan 2012

• Original research

The fallacy of an overly simplified asymptotic single-risk-factor model

• 13 Jan 2012

• Original research

Fully flexible extreme views

• 13 Jan 2012

• Original research

A practical guide to volatility forecasting through calm and storm

• 13 Jan 2012

• Original research

Monte Carlo market Greeks in the displaced diffusion Libor market model

• 13 Jan 2012

• Original research

Factor-risk-constrained mean-variance portfolio selection: formulation and global optimization solution approach

• 13 Jan 2012

• Original research

An efficient threshold choice for the computation of operational risk capital

• 13 Jan 2012

• Original research

Computing the value-at-risk of aggregate severities

• 13 Jan 2012

• Original research

Uncertainty modeling framework in operational risk

• 13 Jan 2012

• Original research

Risk-adequate pricing of retail power contracts

• 12 Jan 2012

• Original research

Gas storage valuation using a multifactor price process

• 12 Jan 2012

• Original research

On the optimal exercise of swing options in electricity markets

• 12 Jan 2012

• Original research

Credit default model for a dynamically changing economy

• 12 Jan 2012

• Original research

Approximating independent loss distributions with an adjusted binomial distribution

• 12 Jan 2012

• Original research

Modelling sector correlations with CreditRisk+: The common background vector model

• 12 Jan 2012

• Original research

Pricing barrier and average options in a stochastic volatility environment.

• 11 Jan 2012

• Original research

Pricing convertible bonds with call protection

• 11 Jan 2012

• Original research

Minimal partial proxy simulation schemes for generic and robust Monte Carlo Greeks.

• 11 Jan 2012

• Original research

A simple discretization scheme for nonnegative diffusion processes with applications to option pricing.

• 11 Jan 2012

• Original research

On the use of t-copulas for economic capital calculations

Research Papers

• 23 Sep 2011

• Original research

Addressing the issue of conservatism in probability of default estimates: a validation tool

Research Papers

• 23 Sep 2011

• Original research

Value-at-risk forecasts: a comparison analysis of extreme-value versus classical approaches

Research Papers

• 23 Sep 2011

• Original research

On the choice of liquidity horizon for incremental risk charges: are the incentives of banks and regulators aligned?

Research Papers

• 23 Sep 2011

• Original research

A copula-based simulation model for supply portfolio risk

Research Papers

• 23 Sep 2011