Technical paper

• Operational risk

Quantile distance estimation for operational risk: a practical application

• 27 Jun 2013

• Original research

Real estate investment trust return dynamics and value-at-risk under alternative classes of model specifications

• 27 Jun 2013

• Operational risk

Measuring the operational risk of Chinese commercial banks using the semilinear credibility model

• 27 Jun 2013

• Original research

An alternative explanation for the variation in reported estimates of risk aversion

• 27 Jun 2013

• Operational risk

Measuring risk with ordinal variables

• 27 Jun 2013

• Original research

Public visibility and risk-related disclosures in Portuguese credit institutions

• 27 Jun 2013

• Operational risk

Alternative approaches to generalized Pareto distribution shape parameter estimation through expert opinions

• 27 Jun 2013

• Original research

Deriving the minimal amount of risk capital for property-liability insurance companies utilizing asset liability management

• 27 Jun 2013

• Original research

An algorithmic model for retail credit portfolio segmentation

• 27 Jun 2013

• Original research

An integrated stress testing framework via Markov switching simulation

• 27 Jun 2013

• Original research

Modeling value-at-risk for international portfolios in different jump-diffusion processes

• 27 Jun 2013

• Original research

Probability of default validation: introducing the likelihood-ratio test and power considerations

• 27 Jun 2013

• Risk management

Card versus cash: empirical evidence of the impact of payment card interchange fees on end users’ choice of payment methods

• 27 Jun 2013

• Risk management

Central banks and foreign collateral

• 27 Jun 2013

• Risk management

Tourist Test interchange fees for card payments: down or out?

• 27 Jun 2013

• Risk management

To link or not to link? Netting and exposures between central counterparties

• 27 Jun 2013

• Risk management

The effects of settlement methods on liquidity needs in Japan: an empirical study based on funds-transfer data from BOJ-NET

• 27 Jun 2013

• Interest rate markets

A quadratic volatility Cheyette model

A quadratic volatility Cheyette model

• 25 Jun 2013

• Equity markets

Smile in the low moments

Smile in the low moments

• 25 Jun 2013

• Interest rate markets

Lois: credit and liquidity

The spread between Libor and overnight index swap rates used to be negligible – until the crisis. Its behaviour since can be explained theoretically and empirically by a model driven by typical lenders’ liquidity and typical borrowers’ credit risk. By…

• 19 Jun 2013

• Market risk

Cutting Edge introduction: Continuity error

Continuity error

• 31 May 2013

• Energy

Cutting edge: Minimising risk when hedging crude oil options

Jumps count

• 29 May 2013

• Interest rate markets

SABR goes normal

SABR goes normal

• 28 May 2013

• Markets

Lois: credit and liquidity

Lois: credit and liquidity

• 28 May 2013