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Technical paper

Journal of Operational Risk

Original research

Modeling macroeconomic effects and expert judgments in operational risk: a Bayesian approach

18 Dec 2012

Journal of Risk Model Validation

Original research

Scientific stochastic volatility models for the European energy market: forecasting and extracting conditional volatility

18 Dec 2012

Journal of Risk Model Validation

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

A variational derivation of risk-adjusted performance measures

18 Dec 2012

Journal of Risk Model Validation

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

Journal of Risk Model Validation

Original research

Backtesting value-at-risk: a comparison between filtered bootstrap and historical simulation

18 Dec 2012

Risk management

The Sharpe ratio efficient frontier

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

Risk management

The impact of microchips on payment card fraud

18 Dec 2012

Risk management

Intraday patterns and timing of TARGET2 interbank payments

18 Dec 2012

Risk management

A dual consent approach for payments

18 Dec 2012

Risk management

A central bank perspective on liquidity management

18 Dec 2012

Risk management

Dual quantization for random walks with application to credit derivatives

18 Dec 2012

Risk management

Pricing options on realized variance in the Heston model with jumps in returns and volatility Part II. An approximate distribution of discrete variance

18 Dec 2012

Risk management

A variance reduction technique using a quantized Brownian motion as a control variate

18 Dec 2012

Risk management

Estimating multiple option Greeks simultaneously using random parameter regression

18 Dec 2012

Structured products

Mean reversion in stock prices: implications for long-term investors

18 Dec 2012

Structured products

Alternative indexing methods: point of reference – does it matter?

18 Dec 2012

Structured products

A least discrimination method for portfolio optimization: an alternative to the Black–Litterman approach

18 Dec 2012

Structured products

Universal algorithmic trading

18 Dec 2012

Structured products

Leveraged exchange-traded funds: admissible leverage and risk horizon

18 Dec 2012

Pricing European energy commodity swaptions

Risk management

Cutting edge: Jamshidian decomposition for pricing European energy commodity swaptions

Cutting edge: Jamshidian decomposition for pricing European energy commodity swaptions

14 Dec 2012

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