Technical paper/Risk

• Original research

A unified framework for risk-based investing

This paper aims to help investors better understand the commonalities and differences between risk-based portfolio strategies in the investment industry.

• 25 Sep 2015

• Original research

Which risk–collateral channels affect loan management?

This study examines the empirical relation between loan risk and the economic characteristics of collateral, each of which may be associated with the empirical dominance of different risk-collateral channels implied by economic theory.

• 25 Sep 2015

• Original research

Ordered contribution allocations: theoretical properties and applications

• 21 Sep 2011

• Original research

Markets, profits, capital, leverage and return

• 21 Sep 2011

• Original research

Estimating future transition probabilities when the value of side information decays, with applications to credit modeling

• 21 Sep 2011

• Original research

The German model of risk distribution in supplementary occupational pensions

• 24 Feb 2011

• Original research

Joint and conditional transformed t mixture models with applications to financial and economic data

• 27 Mar 2009

• Original research

The long-term risk caused by the stock market bubble

• 23 Dec 2008

• Original research

Overcoming dimensional dependence of worst case scenarios and maximum loss

• 22 Sep 2008

• Original research

A conditional approach for risk estimation

• 22 Sep 2008

• Original research

How much structure is best? A comparison of market model, factor model and unstructured equity covariance matrices

• 18 Jun 2008

• Original research

Comparative analysis of total risk-based performance measures

• 18 Jun 2008

• Original research

Optimal early withdrawal and valuation of finite-horizon fund protection options

• 19 Sep 2007

• Original research

Minimizing tracking error while restricting the number of assets

• 11 Jul 2006

• Original research

Estimation risk in financial risk management: a correction

• 11 Jul 2006

• Original research

A conditional independence approach for portfolio risk evaluation

• 29 Oct 2004

• Original research

On the usefulness of implied risk-neutral distributions – evidence from the Korean KOSPI 200 Index options market

• 17 Oct 2003

• Original research

Intra-day periodicity and long-run volatility in short sterling futures

• 21 Oct 2002

• Original research

Is implied volatility an informationally efficient and effective predictor of future volatility?

• 01 May 2002

• Original research

Insurance and reinsurance contracts as complex derivatives: Application to multiple peril policies

• 01 Jul 2001

• Original research

Closed-form solutions for option pricing in the presence of volatility smiles: a density-function approach

• 01 Apr 2001

• Original research

Vega risk and the smile

• 01 Jan 2001

• Original research

Risk management and reporting risk in the UK

• 01 Oct 2000