Technical paper/Modelling
A robust set-valued scenario approach for handling modeling risk in portfolio optimization
By introducing the set-valued scenario, this paper proposes a unified robust portfolio selection approach under downside risk measures.
Commodity value-at-risk modeling: comparing RiskMetrics, historic simulation and quantile regression
The authors of this paper investigate the risk modeling of commodities. They note that return distributions differ widely across different commodities, both in terms of tail fatness and skewness.
The global network of payment flows
This paper considers a network of cross-border SWIFT message flows where nodes are the countries in which the sending and receiving banks are domiciled. The authors analyze how the payment flows reflect or predict various aspects of the real economies.
Quant ideas: Do we need realistic models?
Realistic models not necessarily a prerequisite for successful risk management
Anatomy of a model: Valuation of physical assets
Quant ideas paper dissects layers of valuation models for physical assets
Robust valuation and hedging of tolling agreements and physical assets
Flexible, martingale duality-based method provides reliable valuation
Cutting Edge intro: maths versus machine
Banks can use maths - rather than special chips - to boost computing speed
Adjoint Greeks made easy
Adjoint Greeks made easy
Cutting Edge introduction: Computation, computation, computation
Computation, computation, computation
Applied risk management series: modelling spreads in energy markets
Implications for valuation and risk management of spread options
Cutting Edge introduction: requiem for a probabilist
Requiem for a probabilist
A practical anatomy of IRC modelling
Research Papers
Empirical performance of loss given default prediction models
Research Papers
Risky funding with counterparty and liquidity charges
Risky funding with counterparty and liquidity charges
Variable selection in default risk models
Research Papers
Cutting edge technical: Carbon derivatives pricing
Carbon derivatives pricing: an arbitrageable market
Cutting Edge: Pure jump models for energy prices
Université de Lausanne’s Roberto Marfè investigates pure jump processes as modelling blocks for the distributions of energy returns under the pricing measure. An easy-to-implement option-implied approach is outlined, which circumvents most of the…