Gaussian model
Primary-firm-driven portfolio loss
This paper describes a simple model that can be used for risk management.
Bounding Bermudans
Thomas Roos derives model-independent bounds for amortising and accreting Bermudan swaptions
Smile with the Gaussian term structure model
This paper presents a natural extension of the LGM that keeps the affine structure and generates an implied volatility smile.
NetMES: a network based marginal expected shortfall measure
This paper aims to build novel measures of systemic risk that take the multivariate nature of the problem into account by means of network models.
Options for tackling model risk limited, conference hears
Greater use of models means risk "has significantly increased", says HSBC's Bhaskar
Small banks face rate options valuation model change
Negative rates causing pricing model rethink
Time series models for credit default swap premiums
This paper analyzes the theoretical properties and statistical behavior of credit default swap (CDS) premiums over time.
Cutting edge intro: Righting wrong-way risk
Models that describe wrong-way risk should move away from simplistic copula models, critics say.
Risk evaluation of mortgage-loan portfolios in a low interest rate environment
Volume 16, Issue 5 (2014)
Cutting edge intro: CDOs and the risk of risk aversion
New analysis shows CDOs can withstand high levels of correlation – what they can’t cope with, though, is a sudden change in risk appetite
Cutting Edge introduction: Tales of tails
Tales of tails
Quadratic Gaussian inflation
Quadratic Gaussian inflation
Cutting Edge introduction: Computation, computation, computation
Computation, computation, computation
Quadratic Gaussian inflation
Quadratic Gaussian inflation
Portfolio theory vindicated by crisis, says Markowitz
Nobel prize-winner defends his work on portfolio theory, which critics claim has been discredited by the crisis
Risk 25: Cutting edge classics
Don’t say we didn’t warn you
Cutting Edge introduction: Hedging dependence
Hedging dependence
Market reaction to price changes and fat-tailed returns
Market reaction to price changes and fat-tailed returns
On humility
It's nice to see op risk managers becoming more aware of their limitations