Quants present new technique to calculate CVA using adjoints
This paper shows that it is an "inconvenient truth" that the largest losses by banks are not firm specific.
This paper looks at the time-varying relation between electricity futures prices and fundamentals.
More Technical papers articles
The authors provide a two-period analytical value-at-risk approach for credit portfolios with a liquidity horizon and a constant level of risk.
This paper provides a theoretical justification as to why investment firms typically set less strict stop-out rules for PMs with higher Sharpe ratios.
This paper focuses on the distribution of correlations among aggregate operational risk losses.
This paper revisits the properties of risk measures and checks VaR, ES and expectiles with regard to whether or not they enjoy these properties.
Adaptive importance sampling techniques are widely known for the Gaussian setting of Brownian-driven diffusions. In this paper, the authors extend them to jump processes.
This paper addresses the uncertainty in scenario analysis and produces a combined loss distribution.
In this paper, an efficient and novel methodology for numerically solving advection–diffusion problems is presented.
This paper studies alternative mixing models for external data for a particular risk class.
Meucci, Santangelo and Deguest introduce a risk decomposition method based on minimum-torsion bets
Fabio Mercurio and Minqiang Li investigate CVAs in the presence of wrong-way risk
In this paper algorithms are developed using the Hamilton–Jacobi–Bellman approach for parabolic partial integrodifferential equations related to the quadratic hedging strategy in incomplete mark...
The manner in which wind generation can affect the half-hourly APX price is discussed
This paper uses a maximum likelihood estimation to assess the projected average default rates of debt portfolios.
This paper analyzes asset rankings derived from state-of-the-art POT approaches to estimate VaR.
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.