Technical paper
Taking an asset-liability management approach to private wealth management
While the private banking industry is in general relatively well equipped on the tax planning side, with tools that can allow private bankers to analyse the situation of high net worth individuals operating offshore or in multiple tax jurisdictions, the…
Putting the smile back on the face of derivatives
Cross-asset quadratic Gaussian models have been limited in the scale of their implementation by the difficulty in ensuring the correct drift conditions to omit arbitrage. Here, Paul McCloud shows how to exploit the symmetries of the functional form to…
Modest means
Credit loss models typically calibrate default separate from loss given default. Here, Jon Frye calibrates simultaneously, using credit loss data. This produces a surprising test result: the credit loss models do not significantly outperform a…
Has there been excessive speculation in the US oil futures markets?
What can we (carefully) conclude from new CFTC data?
A regime-switching approach to model-based stress testing
Research Papers
Russian gas to western Europe: a game-theoretic analysis
Research Papers
Intra-day risk premia in European electricity forward markets
Research Papers