Technical paper
Expected shortfall - una coda in due parti
APPROFONDIMENTI. RISCHIO DEL PORTAFOGLIO CREDITI
Risk contributions from generic user-defined factors
In this article, Attilio Meucci draws on regression analysis to decompose volatility, value-at-risk and expected shortfall into arbitrary combinations or aggregations of risk factors, and presents a simple recipe to implement this approach in practice
Modelling inflation
Lars Kjaergaard models inflation using a three-factor Gaussian method. This gives a simple description of derivatives linked to inflation and interest rates, and allows for fast evaluation. He then shows how the model can be calibrated
Modelling CDO tranches with dependent loss given default
Guido Giese presents an analytic methodology for pricing collateralised debt obligations tranches including stochastic and dependent loss given default
Modelling pensioner longevity
Technical papers
Markovian projection for volatility calibration
Vladimir Piterbarg looks at the Markovian projection method, a way of obtaining closed-form approximations of European-style option prices on various underlyings that, in principle, is applicable to any (diffusive) model. The aim is to distil the essence…
Calibration of CDO tranches with the dynamical GPL model
Consistent calibration of a credit index and its tranches across maturities with a single arbitrage-free model is a difficult problem. Here, Damiano Brigo, Andrea Pallavicini and Roberto Torresetti show that a simple loss dynamics based on the…
Realised volatility and variance: options via swaps
Volatility Options
Purchase timing
Managing purchase timing risk is a constant issue for wholesale power buyers. Pavel Diko reviews products that reduce this risk, proposes a lookback option that can eliminate it completely and outlines a hedging strategy for the option writer
Equity risk at the horizon
Technical papers