Impact-adjusted valuation and the criticality of leverage Impact-adjusted valuation and the criticality of leverage 03 Jan 2013
Risk management Modeling dependence of extreme events in energy markets using tail copulas 18 Dec 2012
Credit risk Optimal structuring of collateralized debt obligation contracts: an optimization approach 18 Dec 2012
Risk management Estimating a Lévy multifactor market model for electricity futures markets by using independent component analysis 18 Dec 2012
Risk management Computation of Greeks in multifactor models with applications to power and commodity markets 18 Dec 2012
Original research Modeling macroeconomic effects and expert judgments in operational risk: a Bayesian approach 18 Dec 2012
Original research Scientific stochastic volatility models for the European energy market: forecasting and extracting conditional volatility 18 Dec 2012
Original research Assessing the performance of generalized autoregressive conditional heteroskedasticity-based value-at-risk models: a case of frontier markets 18 Dec 2012
Original research Capturing value-at-risk in futures markets: a revised filtered historical simulation approach 18 Dec 2012
Original research Risk sharing and individual life-cycle investing in funded collective pensions 18 Dec 2012
Original research Backtesting value-at-risk: a comparison between filtered bootstrap and historical simulation 18 Dec 2012
Original research Are real investment decisions based on risk-adjusted performance measures consistent with maximizing shareholder value? 18 Dec 2012
Original research The importance of attributing active risk to benchmark-relative sources 18 Dec 2012