Technical paper
Cutting Edge intro: maths versus machine
Banks can use maths - rather than special chips - to boost computing speed
Optimal trading under proportional transaction costs
The theory of optimal trading under proportional transaction costs has been considered from a variety of perspectives. In this paper, Richard Martin shows that all results can be interpreted using a universal law through trading algorithm design
Adjoint credit risk management
Adjoint algorithmic differentiation is one of the principal innovations in risk management in recent times. Luca Capriotti and Jacky Lee show how this technique can be used to compute real-time risk for credit products, even those valued with fast semi…
Comparative analysis of credit risk models for loan portfolios
In this paper, the authors compare credit risk models that are used for loan portfolios, both from a theoretical perspective and via simulation studies.
Asset correlation in residential mortgage-backed security reference portfolios
This paper contributes to the literature about estimating asset correlation in two ways. First, we compare the performance of different estimation approaches in a simulation study.
Estimation of risk measures for large credit portfolios
In this paper, saddle point techniques are used in the computation of risk measures for large mark-to-market credit portfolios with stochastic recovery and correlation between obligors depending on the state of the economy.
A credit value adjustment scheme for bank loan portfolios
In this study the authors develop an analytical scheme that integrates a large spectrum of typical bank loans and credits, accommodates common bank loan portfolio chronological interdependencies and allows the necessary credit value adjustments (CVAs)…
Asset correlation of retail loans in the context of the new Basel Capital Accord
The approach to the measurement of credit risk recommended by the new Basel Capital Accord (Basel II) gives a wide choice of basic risk estimators. However, the rules for estimating asset correlations are defined in an ambiguous manner.
A bill of goods: central counterparties and systemic risk
Volume 2, Issue 4 (2014)
Correspondent Banking in Euro: bank clustering via self-organizing maps
Volume 2, Issue 4 (2014)
Competition in bank-provided payment services
Relative competition in payment services assessed by new frontier-based method
Selection versus averaging of logistic credit risk models
Volume 16, Issue 5 (2014)