Technical paper

• Markets

Stochastic volatility’s orderly smiles

Stochastic volatility’s orderly smiles

• 02 May 2012

• Commodity markets

Valuation of commodity structures in co-integrated futures markets

Valuation of commodity structures in co-integrated futures markets

• 01 May 2012

• Structured products

Stress testing with fully flexible causal inputs

Stress testing with fully flexible causal inputs

• 01 May 2012

• Interest rate markets

Cutting edge introduction: exploring constant maturity asset swaps

Exploring constant maturity asset swaps

• 05 Apr 2012

• Interest rate markets

CMS: covering all bases

CMS: covering all bases

• 03 Apr 2012

• Structured products

Stress testing with fully flexible causal inputs

Stress testing with fully flexible causal inputs

• 30 Mar 2012

• Interest rate markets

Full implications for CMS convexity

Full implications for CMS convexity

• 29 Mar 2012

• Structured products

Understanding risk-based portfolios

• 28 Mar 2012

• Structured products

Advances in cointegration and subset correlation hedging methods

• 28 Mar 2012

• Structured products

Gauge invariance, geometry and arbitrage

• 28 Mar 2012

• Structured products

Downside risk properties of foreign exchange and equity investment strategies

• 28 Mar 2012

• Original research

The effect of imperfect data on default prediction validation tests

• 28 Mar 2012

• Original research

Quantifying model risk within a CreditRisk+ framework

• 28 Mar 2012

• Markets

Constant maturity asset swap convexity correction

Constant maturity asset swap convexity correction

• 28 Mar 2012

• Original research

On bounds for model calibration uncertainty

• 28 Mar 2012

• Original research

Stress testing a retail loan portfolio: an error correction model approach

• 28 Mar 2012

• Original research

Fitting the generalized Pareto distribution to commercial fire loss severity: evidence from Taiwan

• 28 Mar 2012

• Original research

Value-at-risk and ruin probability

• 28 Mar 2012

• Original research

Scaling portfolio volatility and calculating risk contributions in the presence of serial cross-correlations

• 28 Mar 2012

• Risk management

Accounting for nonnormality in liquidity risk

• 28 Mar 2012

• Forum

Systemic operational risk: the UK payment protection insurance scandal

• 28 Mar 2012

• Original research

A nonparametric approach to analyzing operational risk with an application to insurance fraud

• 28 Mar 2012

• Original research

Combining scenario analysis with loss data in operational risk quantification

• 28 Mar 2012

• Original research

Treatment of the data collection threshold in operational risk: a case study using the lognormal distribution

• 28 Mar 2012