Technical paper
Hedging weather exposure
Volumetric weather risk is usually levered by the commodity price, resulting in cross-commodity exposure known as a quanto. Hedging such exposure with quanto instruments is costly. Victor Dvortsov suggests a simple strategy that allows efficient hedging…
Calibrating inflation
Cutting Edge: Inflation Models
Caja Segovia
Quant Analysis
Aviva
Quant Analysis
West Bromwich
Quant Analysis
Banco Cooperativo Espanol
Quant Analysis
Computation methods - Smoking adjoints: fast Monte Carlo Greeks
Monte Carlo calculation of price sensitivities for hedging is often very time- consuming. Michael Giles and Paul Glasserman develop an adjoint method to accelerate the calculation. The method is particularly effective in estimating sensitivities to a…
At the flick of a switch
Jesper Andreasen and Martin Dahlgren present a regime-switching model for electricity derivatives that incorporates spiky spot-price dynamics and allows for closed-form pricing of forwards, options and swaptions
Bradford & Bingley
Quant Analysis
BCC Caravaggio
Quant Analysis
BNP Paribas
Quant Analysis
Credit Mutuel
Quant Analysis
Operational risk - Operational VAR: a closed-form approximation
Klaus Bocker and Claudia Kluppelberg investigate a simple loss-distribution model for operational risk. They show that, when loss data is heavy-tailed (which in practice it is), a simple closed-form approximation for operational value-at-risk (VAR) can…
A practical operational risk scenario analysis quantification
Thomas Alderweireld, João Garcia and Luc Léonard define an operational risk scenario analysis and its quantification technique, leading to the determination of the loss distribution characteristics. The method is based on simple questions put to…
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Quant analysis