John Hull
Digging deeper into deep hedging
Dynamic techniques and GenAI simulated data can push the limits of deep hedging even further, as derivatives guru John Hull and colleagues explain
Back-testing expected shortfall: mission possible?
Expected shortfall is hard to back-test, critics say – but the search for a solution is underway
Hull and White on the pros and cons of expected shortfall
Expected shortfall may be more conservative than VAR, but there are backtesting and stability concerns
Liquidity & Funding Risk 2013: FVA will be dead in three years, says Hull
Arch-critic of funding valuation adjustment says regulation will make it obsolete – reducing industry's exposure to arbitrage
Banks at risk of FVA arbitrage, say Hull and White
Academics who ignited fierce debate on funding valuation adjustment return with new paper
FVA should be included in derivatives pricing, say survey respondents
Nearly two thirds of survey respondents disagree with Hull and White’s argument that funding valuation adjustment should be ignored
Quant Congress Europe: FVA ends ‘Platonic price’, says Brigo
No going back from FVA, says Imperial College professor – and other speakers at the conference agreed
The FVA debate continues: Hull and White respond to their critics
The FVA debate continues
In defence of FVA – a response to Hull and White
In defence of FVA
Traders close ranks against FVA critics
Traders v. theorists
Putting the fun in funding valuation adjustment
The fun of FVA
Quants weigh up VAR's flawed alternatives
VAR at risk
Goodbye VAR? Basel to consider other risk metrics
Trading book review will look at replacing value-at-risk, but quants say the obvious alternative - expected shortfall - is not much better
Risk awards 2012: now open for submissions
Twenty-seven categories are up for grabs, including new awards for OTC clearing service of the year and OTC trading platform of the year
Risk awards 2011: Deutsche wins house of the year
Deutsche Bank wins derivatives house of the year, while John Hull collects the lifetime achievement award
Risk awards 2011
Risk awards 2011
Lifetime achievement award: John Hull
Risk awards 2011
VAR versus expected shortfall
John Hull discusses the limitations of VAR and the relative advantages of an alternative measure, expected shortfall
Hull and White to collaborate with SunGard
Two of the leading academics in derivatives and risk management research, John Hull and Alan White, are working with the Reech unit of US-based vendor, SunGard, to develop a new structured credit pricing suite.
GFI launches Hull and White credit derivatives calculator
New York-based inter-dealer broker GFI has launched its credit derivatives pricing tool, Fenics Credit. GFI partnered with risk management and derivatives academics John Hull and Alan White to develop the tool.