Skip to main content

Technical paper

Journal of Risk Model Validation

Original research

The performance of value-at-risk models during the crisis

28 Mar 2010

Original research

Evaluation of parameter risk via first order approximation of distortion risk measures

28 Mar 2010

Original research

Capital charges for operational risk in the Indian banking sector: alternative measures

28 Mar 2010

Original research

A model for managing online fraud risk using transaction validation

28 Mar 2010

Original research

Combining operational loss data with expert opinions through advanced credibility theory

28 Mar 2010

Original research

Measuring concentration risk for regulatory purposes

27 Mar 2010

Original research

Dynamic asset allocation with jump risk

27 Mar 2010

Original research

On the aggregation of risk

27 Mar 2010

Original research

Stochastic kriging for efficient nested simulation of expected shortfall

27 Mar 2010

Original research

Impact of VPP on the day-ahead market in France

Research Papers

26 Mar 2010

Original research

Modeling and forecasting electricity consumption by functional data analysis

Research Papers

26 Mar 2010

Original research

Modeling Nord Pool's NO1 area price

Research Papers

26 Mar 2010

Original research

Corporate risk management in European energy markets

Research Papers

26 Mar 2010

Original research

Intra-daily smoothing splines for time-varying regression models of hourly electricity load

Research Papers

26 Mar 2010

Original research

Credit migration risk modeling

19 Mar 2010

Original research

From actual to risk-neutral default probabilities: Merton and beyond

19 Mar 2010

Credit risk

An empirical implementation of CreditGrades

19 Mar 2010

Original research

Extracting systematic factors in a continuous-time credit migration model

19 Mar 2010

Original research

Penalty methods for continuous-time portfolio selection with proportional transaction costs

17 Mar 2010

Original research

A high-order front-tracking finite difference method for pricing American options under jump-diffusion models

17 Mar 2010

Original research

Pricing and hedging gap risk

17 Mar 2010

Original research

Latin hypercube sampling with dependence and applications in finance

17 Mar 2010

Markets

Funding beyond discounting: collateral agreements and derivatives pricing

16 Mar 2010

Solvency II

Solvency II credit risk charge: How severe?

05 Mar 2010

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

.

Alternatively you can request an individual account here