Risk magazine/Technical paper
DVA for assets
DVA for assets
Cutting Edge introduction: SABR rattling
SABR rattling
Closing out DVA
Closing out DVA
Expanded forward volatility
Expanded forward volatility
Cutting Edge introduction: The tipping-point for leverage
Borrowing the stake for a bet is as old as the hills – and so is losing it. But how much debt is too much for a given position? A group of quants believe they know. Laurie Carver introduces this month’s technical articles
Cutting edge 2012: From stochastic volatility to shameful scams
From stochastic volatility to shameful scams
Impact-adjusted valuation and the criticality of leverage
Impact-adjusted valuation and the criticality of leverage
The basis goes stochastic
The basis goes stochastic
DVA: a 'shameful scam'
DVA: a ‘shameful scam’
The impossibility of DVA replication
The impossibility of DVA replication
Non-linear momentum strategies
Non-linear momentum strategies
The beta stochastic volatility model
The beta stochastic volatility model
Fat tails via utility-based entropy
Fat tails via utility-based entropy
Cutting Edge introduction: Tales of tails
Tales of tails
Cutting Edge introduction: Computation, computation, computation
Computation, computation, computation
Quadratic Gaussian inflation
Quadratic Gaussian inflation
Adjoint Greeks made easy
Adjoint Greeks made easy
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…
Risk 25: Cutting edge classics
Don’t say we didn’t warn you
Copulas and credit models
Copulas and credit models
Adjusting value-at-risk for market liquidity
Adjusting value-at-risk for market liquidity
Cooking with collateral
Cooking with collateral
Momentum trading: ’skews me
Momentum trading: ’skews me
Cutting Edge introduction: The origins of the standardised CVA charge
The origins of CVA