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Technical paper

Journal of Risk Model Validation

Original research

On the choice of liquidity horizon for incremental risk charges: are the incentives of banks and regulators aligned?

Research Papers

23 Sep 2011

Journal of Operational Risk

Original research

A copula-based simulation model for supply portfolio risk

Research Papers

23 Sep 2011

Journal of Operational Risk

Forum

The role of systemic people risk in the global financial crisis

Research Papers

23 Sep 2011

Journal of Operational Risk

Forum

A framework for the analysis of reputational risk

Research Papers

23 Sep 2011

Journal of Operational Risk

Original research

Determining the total loss distribution from the moments of the exponential of the compound loss

Research Papers

23 Sep 2011

Original research

Ordered contribution allocations: theoretical properties and applications

21 Sep 2011

Original research

Markets, profits, capital, leverage and return

21 Sep 2011

Original research

Estimating future transition probabilities when the value of side information decays, with applications to credit modeling

21 Sep 2011

Original research

Time dynamic and hierarchical dependence modeling of a supervisory portfolio of banks: a multivariate nonparametric approach

21 Sep 2011

Original research

Simulation and estimation of loss given default

20 Sep 2011

Original research

Partial differential equation representations of derivatives with bilateral counterparty risk and funding costs

20 Sep 2011

Original research

Is credit risk really higher in Islamic banks?

20 Sep 2011

Original research

Credit default swap trees

20 Sep 2011

mathematics

Markets

Spread options, Farkas's lemma and linear programming

Spread options, Farkas's lemma and linear programming

16 Sep 2011

Original research

An empirical comparative analysis of foreign exchange smile calibration procedures

Research Papers

16 Sep 2011

Original research

Pricing timer options

16 Sep 2011

Original research

Strange facts about the marginal distributions of processes based on the Ornstein-Uhlenbeck process

16 Sep 2011

Original research

Robust optimization of currency portfolios

Research Papers

16 Sep 2011

Original research

Gasoline price volatility and presidential elections in the United States: a linear model approach

14 Sep 2011

Original research

High-frequency oil-foreign-exchange interdependence

14 Sep 2011

Original research

Modeling and optimizing risk in the strategic gas-purchase planning problem of local distribution companies

14 Sep 2011

Original research

Future spot gas prices in the US and the UK: are movements more influenced by country factors or by global factors?

14 Sep 2011

Markets

Spread options, Farkas's lemma and linear programming

Spread options, Farkas's lemma and linear programming

06 Sep 2011

Markets

Bayesian lessons for payout structuring

Bayesian lessons for payout structuring

06 Sep 2011

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