Spectral risk measures
Randomization of spectral risk measures and distributional robustness
The authors offer a means to describe a decision maker's risk preferences with a randomized spectral risk measure.
Hybrid finite-difference/pseudospectral methods for the Heston and Heston–Hull–White partial differential equations
In this paper, the authors propose a hybrid spatial finite-difference/pseudospectral discretization for European option-pricing problems under the Heston and Heston–Hull–White models.
Mooted VAR substitute cannot be back-tested, says top quant
Basel Committee should stick with VAR, argues Paul Embrechts of ETH Zürich
Goodbye VAR? Basel to consider other risk metrics
Trading book review will look at replacing value-at-risk, but quants say the obvious alternative - expected shortfall - is not much better