Technical paper

• Original research

Modeling and model validation of the impact of the economy on the credit risk of credit card portfolios

• 15 Dec 2010

• Original research

Managing capital buffers in the Pillar II framework: designing an effective ICAAP/ORSA to manage procyclicality and to reconcile short-term and long-term views of capital

• 15 Dec 2010

• Original research

Testing retail lending models for missing cross-terms

• 15 Dec 2010

• Original research

Validation of credit default probabilities using multiple-testing procedures

• 15 Dec 2010

• Original research

High-conviction equity portfolio optimization

• 15 Dec 2010

• Original research

Modeling extreme returns and asymmetric dependence structures of hedge fund strategies using extreme value theory and copula theory

• 15 Dec 2010

• Original research

Long–short portfolio optimization in the presence of discrete asset choice constraints and two risk measures

• 15 Dec 2010

• Original research

Evaluation of credit portfolio models: test statistics for density-based tests

• 15 Dec 2010

• Original research

Operational Risk Quantification : A Risk Flow Approach

• 14 Dec 2010

• Original research

Recursions and Fast Fourier Transforms for Certain Bivariate Compound Distributions

• 14 Dec 2010

• Original research

Modeling Operational Loss Severity Distributions from Consortium Data

• 14 Dec 2010

• Original research

The Calculation of Minimum Regulatory Capital using Single-Loss Approximations

• 14 Dec 2010

• Original research

Model specification analysis in the methanol markets

Research Papers

• 13 Dec 2010

• Original research

Evaluation of static hedging strategies for hydropower producers in the Nordic market

• 13 Dec 2010

• Original research

LNGScheduler: a rich model for coordinating vessel routing, inventories and trade in the liquefied natural gas supply chain

Research Papers

• 13 Dec 2010

• Original research

Oil price formation through unstable, inelastic demand and cartel imperatives

• 13 Dec 2010

• Original research

A new robust importance-sampling method for measuring value-at-risk and expected shortfall allocations for credit portfolios

• 07 Dec 2010

• Original research

Analytical pricing of basket default swaps in a dynamic Hull-White framework

• 07 Dec 2010

• Original research

Pricing counterparty risk at the trade level and credit valuation adjustment allocations

Research Papers

• 07 Dec 2010

• Original research

Credit models and the crisis: default cluster dynamics and the generalized Poisson loss model

• 07 Dec 2010