Technical paper

• Equity markets

The beta stochastic volatility model

The beta stochastic volatility model

• 05 Oct 2012

• Risk management

Fat tails via utility-based entropy

Fat tails via utility-based entropy

• 05 Oct 2012

• Market risk

Cutting Edge introduction: Tales of tails

Tales of tails

• 05 Oct 2012

• Inflation markets

Quadratic Gaussian inflation

Quadratic Gaussian inflation

• 03 Oct 2012

• Credit risk

Recursive formulas for the default probability distribution with applications in Markov chain-based intensity models

• 27 Sep 2012

• Original research

Sample tangency portfolio, representativeness and ambiguity: impact of the law of small numbers

• 27 Sep 2012

• Original research

Pricing to acceptability: with applications to valuation of one’s own credit risk

• 27 Sep 2012

• Original research

Failure of the saddlepoint method in the presence of double defaults

• 27 Sep 2012

• Original research

Calibrating risk preferences with the generalized capital asset pricing model based on mixed conditional value-at-risk deviation

• 27 Sep 2012

• Credit risk

Addendum to “Partial differential equation representations of derivatives with bilateral counterparty risk and funding costs”

• 27 Sep 2012

• Central banks

Auto-collateralization as a liquidity-saving mechanism

• 27 Sep 2012

• Central banks

Estimating the intraday liquidity risk of financial institutions: a Monte Carlo simulation approach

• 27 Sep 2012

• Central banks

(In)efficient investment in financial market infrastructure: the role of governance structures

• 27 Sep 2012

• Central banks

Is collateral becoming scarce? Evidence for the euro area

• 27 Sep 2012

• Credit risk

An asset drop model as an alternative to the treatment of double defaults within the Basel framework

• 27 Sep 2012

• Credit risk

A survey of loan credit default swap pricing models

• 27 Sep 2012

• Credit risk

Collateralized credit default swaps and default dependence: implications for the central counterparties

• 27 Sep 2012

• Structured products

A proof of the optimality of volatility weighting over time

• 27 Sep 2012

• Structured products

The role of diversification risk in financial bubbles

• 27 Sep 2012

• Structured products

Balanced baskets: a new approach to trading and hedging risks

• 27 Sep 2012

• Structured products

Jointly modeling the prices of American depository receipts, the local stock and the US dollar

• 27 Sep 2012

• Original research

Estimating operational risk capital: the challenges of truncation, the hazards of maximum likelihood estimation, and the promise of robust statistics

• 27 Sep 2012

• Original research

Asymptotics for operational risk quantified with a spectral risk measure

• 27 Sep 2012

• Forum

Systemic operational risk: smoke and mirrors

• 27 Sep 2012