Technical paper
Robust asset allocation under model risk
Financial investors often develop a multitude of models to explain financial securities' dynamics, none of which they can fully trust. Model risk (also referred to as ambiguity) prevents investors from using the classical framework of expected utility…
Being two-faced over counterparty credit risk
A recent trend in quantifying counterparty credit risk for over-the-counter derivatives has involved taking into account the bilateral nature of the risk so that an institution would consider their counterparty risk to be reduced in line with their own…
Alternatives as inflation hedges
Most of modern asset pricing theory and portfolio selection analysis is based on fund separation theorems. These, in a nutshell, advocate that performance and risk are two conflicting objectives that are best managed separately.
Model selection for loss reserves: The Growing Triangle technique
Technical papers
Zur Validierung von Marktrisikomodellen
Der Neueste Stand - Marktrisiko
Rates squared
Vladimir Piterbarg introduces a conveniently parameterised class of multi-factor quadratic Gaussian models, develops calibration formulas, and explains the advantages of this class of models over alternatives currently available for pricing and risk…
Seasonally adjusted prices for inflation-linked bonds
Inflation-linked bond markets are used ever more frequently by policy-makers, economists and commentators to assess the market's opinion about the future path of inflation and real yields. But important effects such as seasonality and carry are often…
Valuation of a natural gas storage facility
Research Papers