Original research Better anti-procyclicality? From a critical assessment of anti-procyclicality tools to regulatory recommendations 05 Feb 2024
Original research Multi-factor default correlation model estimation: enhancement with bootstrapping 29 Jan 2024
Original research The impact of the Fundamental Review of the Trading Book: evaluation on a stylized portfolio 23 Jan 2024
Original research Conditional and unconditional intraday value-at-risk models: an application to high-frequency tick-by-tick exchange-traded fund data 04 Dec 2023