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Markets

Cutting edge introduction

Be discrete

01 Jul 2011

Markets

Random grids

Random grids

23 Jun 2011

Markets

Repricing the cross smile: an analytic joint density

Repricing the cross smile: an analytic joint density

22 Jun 2011

Pensions

Extrapolating mortality projections by age

22 Jun 2011

Risk management

Marking systemic portfolio risk with the Merton model

Marking systemic portfolio risk with the Merton model

21 Jun 2011

Journal of Risk Model Validation

Original research

A practical anatomy of IRC modelling

Research Papers

17 Jun 2011

Journal of Risk Model Validation

Original research

Empirical performance of loss given default prediction models

Research Papers

17 Jun 2011

Journal of Risk Model Validation

Original research

Measures of predictive success for rating functions

Research Papers

17 Jun 2011

Journal of Risk Model Validation

Original research

Integrating macroeconomic risk factors in credit portfolio models

Research Papers

17 Jun 2011

Original research

Using Tukey's g and h family of distributions to calculate value-at-risk and conditional value-at-risk

17 Jun 2011

Original research

Risk-minimization hedging under nonoptimal exercising

17 Jun 2011

Original research

Assessing the influence of spot price predictability on electricity futures hedging

17 Jun 2011

Original research

A value-at-risk analysis of credit default swaps

17 Jun 2011

Journal of Operational Risk

Original research

Robust estimation of operational risk

Research Papers

17 Jun 2011

Journal of Operational Risk

Original research

Can the single-loss approximation method compete with the standard monte carlo simulation technique?

Research Papers

17 Jun 2011

Journal of Operational Risk

Forum

The disclosure of operational risk in tunisian insurance companies

Research Papers

17 Jun 2011

Journal of Operational Risk

Forum

Information technology at the forefront of operational risk: banks are at a greater risk

Research Papers

17 Jun 2011

Original research

Transfer risk under Basel Pillar 1

16 Jun 2011

Original research

A brief note on implied historical loss given default

16 Jun 2011

Original research

Benchmarking the incremental risk charge

16 Jun 2011

Original research

Evaluating the performance of Static versus Dynamic models of credit default: evidence from long-term Small Business Administration-guarenteed loans

16 Jun 2011

Original research

Fast simplified approaches to Asian option pricing

Research Papers

16 Jun 2011

Original research

Fast and accurate Greeks for the LIBOR Market Model

16 Jun 2011

Original research

Adaptive and high-order methods for valuing American options

16 Jun 2011

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