Risk
Valuing streams of risky cashflows with risk-value models
Based on risk-value models this paper introduces a multi-period approach to the valuation of streams of risky cash flows.
FRTB: Delivering on the promise of data-driven insights
Content provided by IBM
Asia Risk Congress 2017: The new XVA challenge
Video interview: Fabio Mercurio, Bloomberg
Risk and finance: Working more closely together
Video interview: Thomas Kimner, SAS
Optimal investment and financing with macroeconomic risk and loan guarantees
This paper considers an entrepreneur who has no assets in place but possesses an option to invest in a project incurring a lump-sum investment cost, of which a fraction must be financed by entering into an equity-for-guarantee swap.
Video interview: Pieter Entius, Flow Traders
Pieter Entius, head of trading at Flow Traders, discusses how Eurex Market-on-Close can deliver listed solutions for basis trading
Unified data – Key to IFRS 9 implementation
Regulatory information brief part II – Benchmarks
Maximising effectiveness with tech
Winners' Circle Q&A: Risk Market Technology Awards 2018 | Murex
Digitally adapting to regulatory change
Winners' Circle Q&A: Structured Products Europe Awards 2017 | BNP Paribas
How IFRS 9 can unite risk and accounting
Regulatory information brief part I – Modelling
Basis risk looms for insurers in Libor transition
UK insurers may need to pay more and run basis risk to hedge interest rates after transition
Addressing probationary period within a competing risks survival model for retail mortgage loss given default
This paper presents a novel approach to modeling retail mortgage LGD estimation.
Asia Risk technology rankings 2017 – Vote now
Have your say in this year’s survey of technology vendors
Sponsored video: Eric Berdeaux, Oxial
Eric Berdeaux, chief executive officer of Oxial, shares his thoughts on the digital innovation in operational risk and compliance and what the biggest challenges Oxial clients are facing right now within compliance.
Rethinking risk management in the age of cognitive computing
Content provided by IBM
Insurers press case for new-look risk margin
Firms call for lower cost of capital and link to interest rates in key element of Solvency II
Optimal execution of accelerated share repurchase contracts with fixed notional
This paper studies the pricing and optimal execution strategy of an accelerated share repurchase contract with a fixed notional.
Interconnectedness risk and active portfolio management
This paper studies centrality (interconnectedness risk) measures and their added value in an active portfolio optimization framework.
Do investors price industry risk? Evidence from the cross-section of the oil industry
This paper analyzes the case of commodity-dependent industries by testing in the case of the oil industry and analyzing whether oil exposure relates to the cross-section of returns.
The temporal dimension of risk
This paper mathematically formalizes the concept of a temporal path-dependent risk measure in order to capture the risk associated with the temporal dimension of a stochastic process.
Shortfall deviation risk: an alternative for risk measurement
In this paper, the authors propose the SDR risk measure to consider the degree of dispersion of an extreme loss in addition to its expected value.
Risk reduction in a time series momentum trading strategy
In this paper, the authors investigate the four most commonly used risk measures – return volatility, beta, value-at-risk and stressed value-at-risk – of a TSM trading strategy.
Acceptability bounds for forward starting options using disciplined convex programming
The dual problem of pricing to acceptability is formulated as a disciplined convex program solvable by the software CVXOPT.