Technical paper
Central counterparty links and clearing system exposures
Links between central counterparties (CCPs) enable participants to clear positions in any linked CCP without needing to maintain multiple CCP memberships.
Trading strategies via book imbalance
Predicting equity and futures tick by tick price movements
Regulatory-optimal funding
A treasury viewpoint on the funding optimization problem
The simple link from default to LGD
A new approach to incorporating loss given default into models
Classic cutting edge: Swing options and the quest for valuation
Energy Risk presents a classic paper on swing options pricing by Patrick Jaillet, Ehud Ronn and Stathis Tompaidis, which was first published in 1998. It introduced the so-called binomial forest method, which was influential in the development of pricing…
Stochastic modelling of reinsurance credit risk
Stochastic modelling of reinsurance credit risk
Options for collateral options
Options for collateral options
The simple link from default to LGD
The simple link from default to LGD
Cutting Edge introduction: living la vida local
Living la vida local
Local correlation families
Local correlation families
Cutting edge: Modelling dependence of price spikes in Australian electricity markets
The deregulation of Australian electricity markets has brought several challenges, including the possibility of price spikes, which expose market participants to significant risks. As Adebayo Aderounmu and Rodney Wolff outline, these spikes are hard to…