Technical paper
Correlation skew via stochastic correlation and jumps
Valer Zetocha introduces a correlation model based on the Jacobi process with jumps
Facilitating appropriate compensation of electric energy and reserve through standardized contracts with swing
This study focuses on standardized energy and reserve contracts with swing (flexibility) in their contractual terms.
Approximation of the price dynamics of heating degree day and cooling degree day temperature futures
This paper proposes an approximation that makes the price dynamics of HDD and CDD temperature futures linearly dependent on the underlying temperature.
Calculation of a term structure power price equilibrium with ramping constraints
This paper proposes a tractable quadratic programming formulation for calculating the equilibrium term structure of electricity prices.
Default risk of money-market fund portfolios
This paper proposes a semi-analytic approach to quantify the default risk associated with Money-Market Fund (MMF) portfolios.
Isolating a risk premium on the volatility of volatility
Lorenzo Ravagli shows how to exploit a risk premium embedded in the vol of vol in out-of-the-money options
Does bonus deferral reduce risk-taking?
This paper characterizes continuous-time risk-taking.
Loss distributions: computational efficiency in an extended framework
This paper contributes to the literature for mixture models by leveraging an efficient algorithm for computing the density function of the loss distribution and extending the model in two key areas: constructing the systemic variable from a continuous…
CVA with Greeks and AAD
Reghai, Kettani and Messaoud present new technique to calculate CVA using adjoints
Modeling operational risk capital: the inconvenient truth
This paper shows that it is an "inconvenient truth" that the largest losses by banks are not firm specific.
Electricity futures prices: time-varying sensitivity to fundamentals
This paper looks at the time-varying relation between electricity futures prices and fundamentals.
An analytical value-at-risk approach for a credit portfolio with liquidity horizon and portfolio rebalancing
The authors provide a two-period analytical value-at-risk approach for credit portfolios with a liquidity horizon and a constant level of risk.
Stop-outs under serial correlation and the triple penance rule
This paper provides a theoretical justification as to why investment firms typically set less strict stop-out rules for PMs with higher Sharpe ratios.
Random matrix theory applied to correlations in operational risk
This paper focuses on the distribution of correlations among aggregate operational risk losses.
What is the best risk measure in practice? A comparison of standard measures
This paper revisits the properties of risk measures and checks VaR, ES and expectiles with regard to whether or not they enjoy these properties.
Importance sampling for jump processes and applications to finance
Adaptive importance sampling techniques are widely known for the Gaussian setting of Brownian-driven diffusions. In this paper, the authors extend them to jump processes.
Application of the convolution operator for scenario integration with loss data in operational risk modeling
This paper addresses the uncertainty in scenario analysis and produces a combined loss distribution.
Nonnegative risk components
This paper proposes two methods for attributing the risk of a portfolio or system to its components.
SLADI: a semi-Lagrangian alternating-direction implicit method for the numerical solution of advection–diffusion problems with application to electricity storage valuations
In this paper, an efficient and novel methodology for numerically solving advection–diffusion problems is presented.
A comparison of alternative mixing models for external data in operational risk
This paper studies alternative mixing models for external data for a particular risk class.
Risk budgeting and diversification based on optimised uncorrelated factors
Meucci, Santangelo and Deguest introduce a risk decomposition method based on minimum-torsion bets
Jumping with default: wrong-way risk modelling for CVA
Fabio Mercurio and Minqiang Li investigate CVAs in the presence of wrong-way risk
Numerical methods for the quadratic hedging problem in Markov models with jumps
In this paper algorithms are developed using the Hamilton–Jacobi–Bellman approach for parabolic partial integrodifferential equations related to the quadratic hedging strategy in incomplete markets.
FVA for general instruments
Alexander Antonov, Bianchetti and Mihai develop a universal and efficient approach to numerical FVA calculation