Journals

• Credit risk

Usage and exposures at default of corporate credit lines: an empirical study

• 30 Mar 2014

• Credit risk

Backtesting counterparty risk: how good is your model?

• 30 Mar 2014

• Credit risk

Modeling the credit contagion channel and its consequences via the standard portfolio credit risk model

• 30 Mar 2014

• Credit risk

Dynamic affordability assessment: predicting an applicant’s ability to repay over the life of the loan

• 30 Mar 2014

• Risk management

Quadratic finite element and preconditioning methods for options pricing in the SVCJ model

• 30 Mar 2014

• Original research

Robust Bayesian allocation

• 30 Mar 2014

• Risk management

Monte Carlo pricing in the Schöbel–Zhu model and its extensions

• 30 Mar 2014

• Original research

Optimal diversification

• 30 Mar 2014

• Risk management

Assimilating operational risks in common trading systems

• 30 Mar 2014

• Risk management

TR-BDF2 for fast stable American option pricing

• 30 Mar 2014

• Original research

Are commodity futures a good hedge against inflation?

• 30 Mar 2014

• Risk management

Robust and accurate Monte Carlo simulation of (cross-) Gammas for Bermudan swaptions in the LIBOR market model

• 30 Mar 2014

• Risk management

On the optimal design of operational risk data consortiums

• 30 Mar 2014

• Risk management

The limit of diversification: a lower bound on firm-wide operational risk capital

• 30 Mar 2014

• Original research

Optimal starting times, stopping times and risk measures for algorithmic trading: target close and implementation shortfall

• 30 Mar 2014

• Risk management

Central counterparty links and clearing system exposures

Links between central counterparties (CCPs) enable participants to clear positions in any linked CCP without needing to maintain multiple CCP memberships.

• 30 Mar 2014

• Risk management

Assessing financial market infrastructures’ systemic importance with authority and hub centrality

• 30 Mar 2014

• Risk management

Network indicators for monitoring intraday liquidity in BOK-Wire+

• 30 Mar 2014

• Risk management

Is this bank ill? The diagnosis of doctor TARGET2

• 30 Mar 2014

• Original research

Extreme dependence between China’s oil market and the world oil market: empirical evidence and implications

• 30 Mar 2014

• Original research

Models for short-term forecasting of spike occurrences in Australian electricity markets: a comparative study

• 30 Mar 2014