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Technical paper

Solvency II

Modelling non-life risk for Solvency II in a reinsurance context

07 Jan 2010

hilary-till-edhec

Hedge funds

Has there been excessive speculation in the US oil futures markets?

What can we (carefully) conclude from new CFTC data?

21 Dec 2009

Forum

As risk management evolves, is operational risk management important?

16 Dec 2009

Original research

Estimating operational risk capital for correlated, rare events

16 Dec 2009

Journal of Operational Risk

Original research

Challenges and pitfalls in measuring operational risk from loss data

Research Papers

16 Dec 2009

Original research

A modified Panjer algorithm for operational risk capital calculations

16 Dec 2009

Journal of Risk Model Validation

Original research

Stress-testing probability of default and migration rate with respect to Basel II requirements

Research Papers

14 Dec 2009

Journal of Risk Model Validation

Original research

A regime-switching approach to model-based stress testing

Research Papers

14 Dec 2009

Journal of Risk Model Validation

Original research

Discriminatory power and predictions of defaults of structural credit risk models

Research Papers

14 Dec 2009

Journal of Risk Model Validation

Original research

Rating philosophy and dynamic properties of internal rating systems: a general framework and an application to backtesting

Research Papers

14 Dec 2009

Risk management

Stochastic programming and stable distributions in asset-liability management

11 Dec 2009

Risk management

Testing hedges under the standard tranched credit pricing model

11 Dec 2009

Measurement of large hedgers and large speculators' risk in major US futures markets

Research Papers

11 Dec 2009

Original research

Hedging: scaling and the investor horizon

11 Dec 2009

Original research

Russian gas to western Europe: a game-theoretic analysis

Research Papers

10 Dec 2009

Original research

Intra-day risk premia in European electricity forward markets

Research Papers

10 Dec 2009

Original research

Modeling conditional correlations for risk diversification in crude oil markets

Research Papers

10 Dec 2009

Risk management

Structural interactions of European carbon trading and energy prices

Research Papers

10 Dec 2009

Original research

Granularity in a qualitative factor model

10 Dec 2009

Original research

Selecting credit portfolios for collateralized loan obligation transactions: a heuristic algorithm

10 Dec 2009

Original research

Modeling credit exposure for collateralized counterparties

10 Dec 2009

Original research

An improved multivariate Markov chain model for credit risk

10 Dec 2009

Original research

Computing tails of compound distributions using direct numerical integration

09 Dec 2009

Original research

Calibration of local volatility using the local and implied instantaneous variance

09 Dec 2009

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