Technical paper
Hedge fund reporting challenged
Investors in hedge funds are naturally interested in knowing how hedge fund managers allocate their initial investment and whether this allocation yields positive returns or not. Information on past investment returns is of particular interest, as is…
A stochastic model for pricing longevity-linked guarantees
Technical papers
Error of VAR by overlapping intervals
When overlapping intervals in time series are used, volatility and price changes' percentiles are underestimated. Consequently, value-at-risk is also underestimated. Heng Sun, Izzy Nelken, Guowen Han and Jiping Guo measure the size of this underestimation
Scaling conditional tail probability and quantile estimators
John Cotter presents a novel procedure for scaling relatively high-frequency tail probability and quantile estimates for the conditional distribution of returns
Factor models for credit correlation
Stewart Inglis, Alex Lipton and Artur Sepp present an extension of the static factor model for pricing credit correlation products introduced by Lipton (2006) and detailed in Inglis & Lipton (2007)
Accelerated ensemble Monte Carlo simulation
Traditional vanilla methods of Monte Carlo simulation can be extremely time-consuming if accurate estimation of the loss distribution is required. Kevin Thompson and Alistair McLeod show that the ensemble Monte Carlo method, introduced here,…
China's impact on price shocks in the world oil markets
Research Papers