Technical paper

• Credit risk

Getting CVA up and running

Getting CVA up and running

• 27 Oct 2011

• Markets

In the balance

Christoph Burgard and Mats Kjaer discuss the relationship of the funding cost adjustment to the balance sheet

• 24 Oct 2011

• Markets

Filling the gaps

Filling the gaps

• 20 Oct 2011

• Market risk

Right Laplace, right time

Right Laplace, right time

• 03 Oct 2011

• Structured products

Market-consistent equity risk premiums

Market-consistent equity risk premiums

• 29 Sep 2011

• Risk management

A new breed of copulas for risk and portfolio management

A new breed of copulas for risk and portfolio management

• 28 Sep 2011

• Equity markets

Filling the gaps

Filling the gaps

• 23 Sep 2011

• Original research

On the use of t-copulas for economic capital calculations

Research Papers

• 23 Sep 2011

• Original research

Addressing the issue of conservatism in probability of default estimates: a validation tool

Research Papers

• 23 Sep 2011

• Original research

Value-at-risk forecasts: a comparison analysis of extreme-value versus classical approaches

Research Papers

• 23 Sep 2011

• Original research

On the choice of liquidity horizon for incremental risk charges: are the incentives of banks and regulators aligned?

Research Papers

• 23 Sep 2011

• Original research

A copula-based simulation model for supply portfolio risk

Research Papers

• 23 Sep 2011

• Forum

The role of systemic people risk in the global financial crisis

Research Papers

• 23 Sep 2011

• Forum

A framework for the analysis of reputational risk

Research Papers

• 23 Sep 2011

• Original research

Determining the total loss distribution from the moments of the exponential of the compound loss

Research Papers

• 23 Sep 2011

• Original research

Ordered contribution allocations: theoretical properties and applications

• 21 Sep 2011

• Original research

Markets, profits, capital, leverage and return

• 21 Sep 2011

• Original research

Estimating future transition probabilities when the value of side information decays, with applications to credit modeling

• 21 Sep 2011

• Original research

Time dynamic and hierarchical dependence modeling of a supervisory portfolio of banks: a multivariate nonparametric approach

• 21 Sep 2011

• Original research

Simulation and estimation of loss given default

• 20 Sep 2011

• Original research

Partial differential equation representations of derivatives with bilateral counterparty risk and funding costs

• 20 Sep 2011

• Original research

Is credit risk really higher in Islamic banks?

• 20 Sep 2011

• Original research

Credit default swap trees

• 20 Sep 2011

• Markets

Spread options, Farkas's lemma and linear programming

Spread options, Farkas's lemma and linear programming

• 16 Sep 2011