Technical paper
General short-rate analytics
Alexandre Antonov and Michael Spector present an analytical approximation of zero-coupon bonds and swaption prices for general short-rate models. The approximation is based on regular and singular expansions with respect to low volatility and contains a…
Investors tracking maturity-enhanced commodity indexes face liquidity risk
Speculative commodity indexes
Real-time counterparty credit risk management in Monte Carlo
Real-time counterparty credit risk management in Monte Carlo
From spot volatilities to implied volatilities
From spot volatilities to implied volatilities
Cross-sectional variance shown to be good proxy for Idiosyncratic volatility and expected returns
Idiosyncratic volatility and expected returns
General short-rate analytics
General short-rate analytics
An analytical framework for credit portfolio risk measures
An analytical framework for credit portfolio risk measures
Option pricing and hedging problems cause basis risk
Risky pricing problems
Risky funding with counterparty and liquidity charges
Risky funding with counterparty and liquidity charges
Stressed in Monte Carlo
Stressed in Monte Carlo
Capturing credit correlation between counterparty and underlying
Capturing credit correlation between counterparty and underlying
Reducing approximation errors in LPI swaps
Reducing approximation errors in LPI swaps
Reverse stress tests with bottom-up approaches
Research Papers
Variable selection in default risk models
Research Papers
A dynamical approach to operational risk measurement
Research Papers