Technical paper
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
Accounting and risk management: the need for integration
Research Papers
Volatility interpolation
Volatility interpolation
Risky funding with counterparty and liquidity charges
Risky funding with counterparty and liquidity charges
Cutting edge technical: Carbon derivatives pricing
Carbon derivatives pricing: an arbitrageable market
Event risk modelling for equities
Event risk modelling for equities
