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Original research

Original research

Corporate risk management in European energy markets

Research Papers

26 Mar 2010

Original research

Intra-daily smoothing splines for time-varying regression models of hourly electricity load

Research Papers

26 Mar 2010

Original research

Credit migration risk modeling

19 Mar 2010

Original research

From actual to risk-neutral default probabilities: Merton and beyond

19 Mar 2010

Original research

Extracting systematic factors in a continuous-time credit migration model

19 Mar 2010

Original research

Penalty methods for continuous-time portfolio selection with proportional transaction costs

17 Mar 2010

Original research

A high-order front-tracking finite difference method for pricing American options under jump-diffusion models

17 Mar 2010

Original research

Pricing and hedging gap risk

17 Mar 2010

Original research

Latin hypercube sampling with dependence and applications in finance

17 Mar 2010

Original research

Estimating operational risk capital for correlated, rare events

16 Dec 2009

Journal of Operational Risk

Original research

Challenges and pitfalls in measuring operational risk from loss data

Research Papers

16 Dec 2009

Original research

A modified Panjer algorithm for operational risk capital calculations

16 Dec 2009

Journal of Risk Model Validation

Original research

Stress-testing probability of default and migration rate with respect to Basel II requirements

Research Papers

14 Dec 2009

Journal of Risk Model Validation

Original research

A regime-switching approach to model-based stress testing

Research Papers

14 Dec 2009

Journal of Risk Model Validation

Original research

Discriminatory power and predictions of defaults of structural credit risk models

Research Papers

14 Dec 2009

Journal of Risk Model Validation

Original research

Rating philosophy and dynamic properties of internal rating systems: a general framework and an application to backtesting

Research Papers

14 Dec 2009

Original research

Hedging: scaling and the investor horizon

11 Dec 2009

Original research

Russian gas to western Europe: a game-theoretic analysis

Research Papers

10 Dec 2009

Original research

Intra-day risk premia in European electricity forward markets

Research Papers

10 Dec 2009

Original research

Modeling conditional correlations for risk diversification in crude oil markets

Research Papers

10 Dec 2009

Original research

Granularity in a qualitative factor model

10 Dec 2009

Original research

Selecting credit portfolios for collateralized loan obligation transactions: a heuristic algorithm

10 Dec 2009

Original research

Modeling credit exposure for collateralized counterparties

10 Dec 2009

Original research

An improved multivariate Markov chain model for credit risk

10 Dec 2009

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