Technical paper/Risk management/Risk management
Marking systemic portfolio risk with the Merton model
Marking systemic portfolio risk with the Merton model
Perverse capital
Perverse capital
Cutting edge – multi-scale volatility in commodity markets
This paper deals with volatility estimation in commodity markets. Piotr Grzywacz and Krzysztof Wolyniec note that energy commodities have many time (volatility) scales, which has dramatic implications for mean-reversion and volatility estimation. They…
Counterparty risk capital and CVA
Counterparty risk capital and CVA
Weather risk: gauging the exposure
There is now an array of instruments available to hedge weather exposure, but evaluating that exposure is far harder than quantifying standard exposures such as commodity price risk. Garth Renne and Shaun Hatch discuss approaches to analysing wind and…
Cutting edge: Pricing carbon-linked bonds
Within the framework of Phase II of the EU ETS, which has consecutive compliance periods that allow banking and borrowing, Daniel Bloch expresses the dynamics of Certified Emission Reductions as a function of European Union Allowances, and computes the…
Marking systemic portfolio risk with the Merton model
Marking systemic portfolio risk with the Merton model
Real-time counterparty credit risk management in Monte Carlo
Real-time counterparty credit risk management in Monte Carlo
An analytical framework for credit portfolio risk measures
An analytical framework for credit portfolio risk measures
Risky funding with counterparty and liquidity charges
Risky funding with counterparty and liquidity charges
Stressed in Monte Carlo
Stressed in Monte Carlo
Capturing credit correlation between counterparty and underlying
Capturing credit correlation between counterparty and underlying
Cutting edge technical: Carbon derivatives pricing
Carbon derivatives pricing: an arbitrageable market
Event risk modelling for equities
Event risk modelling for equities
Event risk modelling for equities
Event risk modelling for equities
Confidence in controlling risk measures
Insurers increasingly use stochastic simulation approaches for estimating risk capital, but numerical errors are rarely measured. A control variate method can improve the accuracy dramatically without increasing the number of simulations.
Name concentration correction
Credit Risk
Continuing to rebuild
Degrees of influence
Name concentration correction
Name concentration correction
Valuation of with-profit insurance policies with interest rate guarantees
Classical with-profit life insurance products are traditionally backed by a buy-and-hold bond investment strategy. Using book-value accounting for such products tends to lead to a design of the guarantee rate based on an average of long-term interest…
CVA and the equivalent bond
CVA and the equivalent bond