Technical paper/Risk management/Risk management
Cutting Edge introduction: Computation, computation, computation
Computation, computation, computation
Cutting Edge introduction: Followers of fashion
Focusing on how often a trading strategy ends on the winning side can distract from the question of whether it profits on average. The key is in the return distribution’s skew – and at least for trend-following strategies this can be directly controlled…
Applied risk management series: modelling spreads in energy markets
Implications for valuation and risk management of spread options
Risk 25: Cutting edge classics
Don’t say we didn’t warn you
Cutting Edge introduction: The origins of the standardised CVA charge
The origins of CVA
Cutting CVA's complexity
Cutting CVA's complexity