Technical paper
MVA transfer pricing
Wujiang Lou extends liability-side pricing theory to initial margin
A simulation comparison of aggregation periods for estimating correlations within operational loss data
This paper investigates the differences in the values of correlations based on different aggregation periods of time series loss data.
How to turn uncertainties of operational risk capital into opportunities from a risk management perspective
Going beyond the regulatory requirements to operational risk measurement, the authors of this paper aim to provide relevant business applications to a bank.
The cost of cash and debit cards in Austria
This paper analyzes the cost of cash and debit cards in Austria both in terms of unit costs and scaled to the gross domestic product.
Wait a minute: the efficacy of discounting versus nonpecuniary payment steering
This paper investigates to what extent it is possible to steer consumers away from using credit card.
Not all payments are created equal: segmenting the payment landscape
This paper provides a broad perspective by taking into account payments globally in a comprehensive way: from card payments to real-time gross settlement
The econometrics of Bayesian graphical models: a review with financial application
This paper provides a review of graphical modeling and describes potential applications in econometrics and finance.
Using Shapley’s asymmetric power index to measure banks’ contributions to systemic risk
The authors address the problem of how to capture the contributions of bank failures to systemic risk.
Dynamic visualization of large financial networks
This paper presents animated visualizations of transaction flows in the Dutch TARGET2 payment system.
Finite difference methods for estimating marginal risk contributions in asset management
This paper studies the use of finite difference methods for estimating risk contributions.
The excess returns of “quality” stocks: a behavioral anomaly
This paper investigates the causes of the quality anomaly by exploring two potential explanations - the “risk view” and the “behavioral view”.
A point-in-time–through-the-cycle approach to rating assignment and probability of default calibration
This paper proposes a methodology for constructing TTC rating grades and assessing the resulting degree of PIT-ness.
Comparing risk measures when aggregating market risk and credit risk using different copulas
The authors of this paper simulate realistic total bank return distributions by means of a top-down copula approach for different parameter settings.
The application of credit risk models to macroeconomic scenario analysis and stress testing
The authors demonstrate how different credit risk models can be efficiently implemented for scenario analysis and stress testing execution with concrete application examples.
Static mitigation of volumetric risk
This paper formulates a functional optimization problem over a set of regular payoff functions to deal with the joint mitigation of combined price–volume risk using purely financial tools.
A bond consistent derivative fair value
This paper presents a rigorously motivated pricing equation for derivatives.
Deconstructing correlation
Peter Austing introduces an analytic or semi-analytic valuation of basket options
Risk management for whales
Rama Cont and Lakshithe Wagalath introduce a liquidation-adjusted VAR
Managing temperature-driven volume risks
This paper proposes a stochastic model for coupled natural gas spot prices and temperature.
Extended saddlepoint methods for credit risk measurement
This paper reviews and extends the saddlepoint methods currently available to measure credit risk.
Value-at-risk estimation with the Carr–Geman–Madan–Yor process: an empirical study on foreign exchange rates
This paper investigates the performance of the CGMY distribution in estimating the risk of FX rates.
Transform-based evaluation of prices and Greeks of lookback options driven by Lévy processes
The authors develop a technique, based on numerical inversion, to compute the prices and Greeks of lookback options driven by Lévy processes.
Testing value-at-risk models in emerging markets during crises: a case study on South Eastern European countries
This paper examines the applicability of a wide range of VaR models in emerging markets, focusing on South Eastern European countries.
Risk management and portfolio optimization for gas- and coal-fired power plants in Germany: a multivariate GARCH approach
This paper investigates the hedging effectiveness of energy derivatives traded at the EEX for the purpose of mitigating the risk exposure of gas- and coal-fired power plants in Germany.