Technical paper
Copulas and credit models
Copulas and credit models
Adjusting value-at-risk for market liquidity
Adjusting value-at-risk for market liquidity
Cooking with collateral
Cooking with collateral
Momentum trading: ’skews me
Momentum trading: ’skews me
Market reaction to price changes and fat-tailed returns
Market reaction to price changes and fat-tailed returns
Optimal design of algo-alpha trading strategies
Optimal design of algo-alpha trading strategies
Cutting Edge introduction: The origins of the standardised CVA charge
The origins of CVA
Cutting CVA's complexity
Cutting CVA's complexity
Non-linear mixture of asset return models
Non-linear mixture of asset return models
Model foundations of the Basel III standardised CVA charge
Model foundations of the Basel III standardised CVA charge
