This work generalizes existing one- and two-dimensional pricing formulas with an equal number of barriers to a setting of n dimensions and up to two barriers in the presence of stochastic volatility.
This research develops a framework adopting conditional covariance modeling combined with various de-noising methods to estimate the portfolio VaR and proves the importance of DCC over the sample rolling method widely used in the industry.
Veteran quant argues large groups are better at gauging extreme uncertainty than small teams of experts
Machine learning shows promise in grouping assets better, predicting regime shifts
After a difficult 2018, investors are increasingly wary of risk premia, concerned that factors leading to underperformance might be a recurring problem. Imene Moussa, executive director at UBS, clarifies this issue
In this paper, the authors apply a dynamic extreme value theory (EVT) model based on a nonhomogeneous Poisson process incorporating covariates to estimate frequency, severity and risk measures for operational risk.
Risk Awards 2018: From geometric dispersion to fund derivatives, the French bank combines popular products with risk recycling strategies
Engle’s tool for ranking risky firms is one of many that are dividing industry, academics and regulators
This paper investigates direct and indirect volatility evaluations in the multivariate framework by means of a Monte Carlo simulation
Financial connectedness measure “not usually sharply aligned with systemic risk”, says Darrell Duffie
In this paper, the authors compare credit risk models that are used for loan portfolios, both from a theoretical perspective and via simulation studies.
An easy-to-hedge covariance swap
CMS: covering all bases
Challenging the doom-mongers
Quo vadis, CVA?
Power-reverse dual-currency notes proved a bonanza for dealers when markets were tame, but risk-managing the product has become a drain on resources and cash in recent years. As a result, some firms have decided to exit the market. Mark Pengelly…
The three classic approaches for measuring portfolio value-at-risk do not compare like with like, argues Richard Sage. Here he presents a test portfolio to highlight the differences between calculation methods
In a mark-to-market approach to credit risk capital, ratings or spread volatility has the effect of making longer-maturity loans more capital-intensive. This is incorporated in the current Basel II proposals via a maturity adjustment factor. Arguing that…
With a rich spectrum of maturities and tenors to contend with, the toughest aspect of pricing interest rate options is calibrating models of forward rates to market data. Here, Damiano Brigo and Fabio Mercurio present a scheme for simultaneously…