Gaussian model
Multifactor granularity adjustments for market and counterparty risks
In this paper, the authors propose several flexible families of models to manage the market and/or the counterparty risk of portfolios of financial assets.
Pricing multivariate barrier reverse convertibles with factor-based subordinators
In this paper, the authors study factor-based subordinated Lévy processes in their variance gamma (VG) and normal inverse Gaussian (NIG) specifications, and focus on their ability to price multivariate exotic derivatives.
Model risk in the Fundamental Review of the Trading Book: the case of the Default Risk Charge
This paper assesses the model risk associated with the copula choice for the calculation of the Default Risk Charge (DRC) measure.
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