Technical paper

Empirical electricity price modelling

Hanjie Chen and John N. Jiang discuss how system-wide load-capacity ratio and system-wide generation forced outages impact day-ahead electricity spot price and show how to incorporate these two key factors in the price modelling

CMCDS valuation with market models

There is little, if any, literature available on constant-maturity credit default swap (CDS) valuation. Here, Damiano Brigo builds on his no-arbitrage dynamic CDS market model to derive a formula involving a 'convexity adjustment' feature correction,…

A saddle for complex credit portfolio models

Guido Giese applies the saddle-point approximation to analyse tail losses for very general credit portfolios, including correlated defaults, stochastic recovery rates, and dependency between default probabilities and recovery rates. The numerical…

Intensity gamma

Mark Joshi and Alan Stacey develop a new model for correlation of credit defaults based on a financially intuitive concept of business time similar to that in the variance gamma model for stock price evolution

A model of op risk with imperfect controls

Jorge Sobehart considers a model for the loss severity of operational risk events whose distribution is determined by risk control and risk mitigation. In particular, he shows that ineffective risk controls can lead to heavy-tailed distributions of…

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