Technical paper/Value-at-risk (VAR)
Adjusting value-at-risk for market liquidity
Adjusting value-at-risk for market liquidity
Cutting Edge introduction: The origins of the standardised CVA charge
The origins of CVA
Analytical risk contributions for non-linear portfolios
Analytical risk contributions for non-linear portfolios
Analytical risk contributions for non-linear portfolios
Analytical risk contributions for non-linear portfolios
Cutting Edge introduction: risky contributions
Risky contributions
Analytical risk contributions for non-linear portfolios
Analytical risk contributions for non-linear portfolios
A historical-parametric hybrid VAR
A historical-parametric hybrid VAR
A historical-parametric hybrid VAR
A historical-parametric hybrid VAR
An analytical framework for credit portfolio risk measures
An analytical framework for credit portfolio risk measures
Stressed in Monte Carlo
Stressed in Monte Carlo