Technical paper/Risk management

• Risk management

The fundamental and speculative components of the oil spot price: a real option value approach

• 27 Jun 2013

• Quantitative finance

Optimal limit order execution in a simple model for market microstructure dynamics

• 27 Jun 2013

• Operational risk

Quantile distance estimation for operational risk: a practical application

• 27 Jun 2013

• Operational risk

Measuring the operational risk of Chinese commercial banks using the semilinear credibility model

• 27 Jun 2013

• Operational risk

Measuring risk with ordinal variables

• 27 Jun 2013

• Operational risk

Alternative approaches to generalized Pareto distribution shape parameter estimation through expert opinions

• 27 Jun 2013

• Risk management

Card versus cash: empirical evidence of the impact of payment card interchange fees on end users’ choice of payment methods

• 27 Jun 2013

• Risk management

Central banks and foreign collateral

• 27 Jun 2013

• Risk management

Tourist Test interchange fees for card payments: down or out?

• 27 Jun 2013

• Risk management

To link or not to link? Netting and exposures between central counterparties

• 27 Jun 2013

• Risk management

The effects of settlement methods on liquidity needs in Japan: an empirical study based on funds-transfer data from BOJ-NET

• 27 Jun 2013

• Market risk

Cutting Edge introduction: Continuity error

Continuity error

• 31 May 2013

• Credit risk

Wrong-way risk, credit and funding

The risk of exposure and counterparty default probability both increasing – so-called wrong-way risk – is usually understood in terms of the correlation between the two variables. But this approach focuses more on the centre of the distribution. This…

• 28 Mar 2013

• Risk management

Variance and volatility swaps in energy markets

• 27 Mar 2013

• Risk management

Quantifying natural gas storage optionality: a two-factor tree model

• 27 Mar 2013

• Risk management

Practical stochastic modeling of electricity prices

• 27 Mar 2013

• Risk management

Pricing, competition and innovation in retail payment systems: a brief overview

• 27 Mar 2013

• Risk management

The US oil spot market: a deterministic chaotic process or a stochastic process?

• 27 Mar 2013

• Risk management

Measuring free riding in large-value payment systems: the case of TARGET2

• 27 Mar 2013

• Risk management

Network dynamics of TOP payments

• 27 Mar 2013

• Risk management

Making the over-the-counter derivatives markets safe: a fresh look

• 27 Mar 2013

• Operational risk

Adding prior knowledge to quantitative operational risk models

• 27 Mar 2013

• Operational risk

Adequate communication about operational risk in the business line

• 27 Mar 2013

• Operational risk

Systemic operational risk: does it exist and, if so, how do we regulate it?

• 27 Mar 2013