Technical paper/Gaussian model
Bounding Bermudans
Thomas Roos derives model-independent bounds for amortising and accreting Bermudan swaptions
Smile with the Gaussian term structure model
This paper presents a natural extension of the LGM that keeps the affine structure and generates an implied volatility smile.
NetMES: a network based marginal expected shortfall measure
This paper aims to build novel measures of systemic risk that take the multivariate nature of the problem into account by means of network models.
Time series models for credit default swap premiums
This paper analyzes the theoretical properties and statistical behavior of credit default swap (CDS) premiums over time.
Cutting edge intro: Righting wrong-way risk
Models that describe wrong-way risk should move away from simplistic copula models, critics say.
Risk evaluation of mortgage-loan portfolios in a low interest rate environment
Volume 16, Issue 5 (2014)
Cutting edge intro: CDOs and the risk of risk aversion
New analysis shows CDOs can withstand high levels of correlation – what they can’t cope with, though, is a sudden change in risk appetite
Cutting Edge introduction: Tales of tails
Tales of tails
Quadratic Gaussian inflation
Quadratic Gaussian inflation
Cutting Edge introduction: Computation, computation, computation
Computation, computation, computation
Quadratic Gaussian inflation
Quadratic Gaussian inflation
Risk 25: Cutting edge classics
Don’t say we didn’t warn you
Cutting Edge introduction: Hedging dependence
Hedging dependence
Market reaction to price changes and fat-tailed returns
Market reaction to price changes and fat-tailed returns
Perturbed Gaussian copula: introducing the skew effect in co-dependence
Gaussian copula models are often used in the industry when single-asset information is quoted but little is known about their joint relation. These models may arise from correlated stochastic Brownian processes with deterministic volatility and…
Perturbed Gaussian copula: introducing the skew effect in co-dependence
Perturbed Gaussian copula: introducing the skew effect in co-dependence
A new breed of copulas for risk and portfolio management
A new breed of copulas for risk and portfolio management
Capturing credit correlation between counterparty and underlying
Capturing credit correlation between counterparty and underlying
Post-shock short-rate pricing
Post-shock short-rate pricing