Technical paper

• Original research

Efficiency and transmission in European energy markets: a seminon-parametric approach

Research Papers

• 27 Jun 2008

• Original research

Performance of statistical arbitrage in petroleum futures markets

Regulation Update

• 27 Jun 2008

• Original research

The Swedish inflation fan charts: an evaluation of the Riksbank's inflation density forecasts

• 25 Jun 2008

• Original research

Risk prediction: a DWARF-like approach

• 25 Jun 2008

• Original research

Discriminatory power: an obsolete validation criterion?

• 25 Jun 2008

• Original research

A framework for stress-testing banks' credit risk

• 25 Jun 2008

• Original research

Correlation and asset correlation in the structural portfolio model

• 24 Jun 2008

• Original research

Asset correlations and credit portfolio risk: an empirical analysis

• 24 Jun 2008

• Original research

On recovery and intensity's correlation: a new class of credit risk models

• 24 Jun 2008

• Original research

A note on the survival probability in CreditGrades

• 24 Jun 2008

• Original research

Modeling and measuring multivariate operational risk with Lévy copulas

• 23 Jun 2008

• Original research

Should risk managers rely on the maximum likelihood estimation method while quantifying operational risk?

• 23 Jun 2008

• Original research

Transform approach for operational risk modeling: value-at-risk and tail conditional expectation

• 23 Jun 2008

• Original research

Aggregating operational risk across matrix structured loss data

• 23 Jun 2008

• Original research

Pricing options on realized variance in the Heston model with jumps in returns and volatility

• 19 Jun 2008

• Original research

Robust active portfolio management

• 19 Jun 2008

• Original research

An adaptive procedure for estimating coherent risk measures based on generalized scenarios

• 19 Jun 2008

• Original research

Optimal portfolio management in mar taxation

• 19 Jun 2008

• Original research

How much structure is best? A comparison of market model, factor model and unstructured equity covariance matrices

• 18 Jun 2008

• Original research

A parallel time stepping approach using meshfree approximations for pricing options with non-smooth payoffs

• 18 Jun 2008

• Original research

Mean–variance optimality of a retirement lump sum conversion strategy: implementation in Australia

• 18 Jun 2008

• Original research

Comparative analysis of total risk-based performance measures

• 18 Jun 2008

• Original research

Estimating foreign currency exposure in the Canadian Department of National Defence

• 18 Jun 2008