Journals

• Risk management

An efficient numerical partial differential equation approach for pricing foreign exchange interest rate hybrid derivatives

This paper discuss efficient pricing methods via a partial differential equation (PDE) approach for long-dated foreign exchange (FX) interest rate hybrids under a three-factor multicurrency pricing model with FX volatility skew.

• 06 May 2015

• Risk management

The damped Crank–Nicolson time-marching scheme for the adaptive solution of the Black–Scholes equation

This paper deals with error estimators and mesh adaptation for a space-time finite element discretization of the basic Black-Scholes equation. An interesting modern numerical mathematical technique for a fundamental pricing equation in finance is…

• 30 Apr 2015

• Risk management

Mergers and acquisitions: collar contracts

• 27 Apr 2015

• Risk management

Central bank intervention in large-value payment systems: an experimental approach

• 24 Apr 2015

• Risk management

The signalling properties of the shape of the credit default swap term structure

• 24 Apr 2015

• Risk management

First- and second-order Greeks in the Heston model

• 20 Apr 2015

• Risk management

A simple normal inverse Gaussian-type approach to calculate value-at-risk based on realized moments

• 16 Apr 2015

• Forum

An effective recovery and resolution regime for central counterparties

• 01 Apr 2015

• Risk management

An assessment of the efficiency of operational risk management in Taiwan’s banking industry: an application of the stochastic frontier approach

• 30 Mar 2015

• Risk management

Modeling correlated frequencies with application in operational risk management

• 30 Mar 2015

• Original research

Combining scenario and historical data in the loss distribution approach: a new procedure that incorporates measures of agreement between scenarios and historical data

• 30 Mar 2015

• Risk management

Improved goodness-of-fit measures

• 30 Mar 2015

• Original research

The effect of introducing economic variables into credit scorecards: an example from invoice discounting

• 25 Mar 2015

• Original research

Country risk index and sovereign ratings: do they foresee financial crises?

• 25 Mar 2015

• Original research

The role of the loss function in value-at-risk comparisons

• 25 Mar 2015

• Original research

Backtesting general spectral risk measures with application to expected shortfall

• 25 Mar 2015

• Original research

Applications of weather derivatives in the energy market

• 20 Mar 2015

• Original research

A construction of volatility surfaces for futures markets

• 20 Mar 2015

• Original research

Pricing and hedging quanto options in energy markets

• 20 Mar 2015

• Original research

Crude oil price volatility spillovers into major equity markets

• 20 Mar 2015

• Risk management

The relationship between counterparty default and interest rate volatility and its impact on the credit risk of interest rate derivatives

• 20 Mar 2015

• Risk management

Sovereign risk and the pricing of corporate credit default swaps

• 20 Mar 2015

• Original research

How banks’ capital ratio and size affect the stability of the banking system: a simulation-based study

• 20 Mar 2015

• Original research

Forecasting credit card portfolio losses in the Great Recession: a study in model risk

• 20 Mar 2015