Technical paper/Market risk
Default risk charge: modeling framework for the “Basel” risk measure
This paper presents a comprehensive model framework for DRC that is compliant with the revised Basel regulatory framework.
Comparing risk measures when aggregating market risk and credit risk using different copulas
The authors of this paper simulate realistic total bank return distributions by means of a top-down copula approach for different parameter settings.
Testing value-at-risk models in emerging markets during crises: a case study on South Eastern European countries
This paper examines the applicability of a wide range of VaR models in emerging markets, focusing on South Eastern European countries.
A framework for market, credit and transfer risk aggregation and stress testing
The authors develop a framework that consistently and fully integrates the market, credit and country transfer risks of a general portfolio of financial assets in a multi-period setup.
Downside risk measure performance in the presence of breaks in volatility
This paper proposes a loss function-based framework for the comparative measurement of the sensitivity of quantile downside risk measures to breaks in volatility or distribution.
The impact of model risk on capital reserves: a quantitative analysis
This paper analyzes and quantifies the idea of model risk in the environment of internal model building.
General covariance, the spectrum of Riemannium and a stress test calculation formula
This paper proposes a formula for a market stress test of a portfolio.
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…
Cutting Edge introduction: Hedging dependence
Hedging dependence
Cutting Edge introduction: risky contributions
Risky contributions
Cutting edge introduction
A popular copula