Journals
Calculation of a term structure power price equilibrium with ramping constraints
This paper proposes a tractable quadratic programming formulation for calculating the equilibrium term structure of electricity prices.
Default risk of money-market fund portfolios
This paper proposes a semi-analytic approach to quantify the default risk associated with Money-Market Fund (MMF) portfolios.
Does bonus deferral reduce risk-taking?
This paper characterizes continuous-time risk-taking.
Loss distributions: computational efficiency in an extended framework
This paper contributes to the literature for mixture models by leveraging an efficient algorithm for computing the density function of the loss distribution and extending the model in two key areas: constructing the systemic variable from a continuous…
Modeling operational risk capital: the inconvenient truth
This paper shows that it is an "inconvenient truth" that the largest losses by banks are not firm specific.
Electricity futures prices: time-varying sensitivity to fundamentals
This paper looks at the time-varying relation between electricity futures prices and fundamentals.
An analytical value-at-risk approach for a credit portfolio with liquidity horizon and portfolio rebalancing
The authors provide a two-period analytical value-at-risk approach for credit portfolios with a liquidity horizon and a constant level of risk.
Stop-outs under serial correlation and the triple penance rule
This paper provides a theoretical justification as to why investment firms typically set less strict stop-out rules for PMs with higher Sharpe ratios.
Random matrix theory applied to correlations in operational risk
This paper focuses on the distribution of correlations among aggregate operational risk losses.
What is the best risk measure in practice? A comparison of standard measures
This paper revisits the properties of risk measures and checks VaR, ES and expectiles with regard to whether or not they enjoy these properties.
Importance sampling for jump processes and applications to finance
Adaptive importance sampling techniques are widely known for the Gaussian setting of Brownian-driven diffusions. In this paper, the authors extend them to jump processes.
Application of the convolution operator for scenario integration with loss data in operational risk modeling
This paper addresses the uncertainty in scenario analysis and produces a combined loss distribution.
Nonnegative risk components
This paper proposes two methods for attributing the risk of a portfolio or system to its components.
SLADI: a semi-Lagrangian alternating-direction implicit method for the numerical solution of advection–diffusion problems with application to electricity storage valuations
In this paper, an efficient and novel methodology for numerically solving advection–diffusion problems is presented.
A comparison of alternative mixing models for external data in operational risk
This paper studies alternative mixing models for external data for a particular risk class.
Numerical methods for the quadratic hedging problem in Markov models with jumps
In this paper algorithms are developed using the Hamilton–Jacobi–Bellman approach for parabolic partial integrodifferential equations related to the quadratic hedging strategy in incomplete markets.
Optimal investment: bounds and heuristics
The authors present a technique for finding upper bounds on the value of a portfolio in a (possibly high-dimensional) optimal investment problem.
Bayesian synthesis of portfolio credit risk with missing ratings
This paper uses a maximum likelihood estimation to assess the projected average default rates of debt portfolios.
Extreme value theory, asset ranking and threshold choice: a practical note on VaR estimation
This paper analyzes asset rankings derived from state-of-the-art POT approaches to estimate VaR.
Historical simulation with component weight and ghosted scenarios
This paper puts forward two strategies for improving Historical Simulation in weak areas.
Managing option-trading risk when mental accounting influences prices
This paper explores the implications for risk management of mental accounting of a call option with its underlying.
Real-time prediction and post-mortem analysis of the Shanghai 2015 stock market bubble and crash
This paper assesses the performance of the real-time diagnostic of the bubble regime in Chinese stock markets.
Optimal betting sizes for the game of blackjack
The authors of this paper develop the theory of Kelly and Thorp for determining optimal bet sizes for blackjack by incorporating two practical considerations.