Technical paper
A standard practice?
Cutting Edge: Solvency risk
Citigroup Funding
Quant Analysis
Post Office
Quant Analysis
ING Bank
Quant Analysis
ABN Amro
Quant Analysis
Beyond Black-Litterman: views on non-normal markets
In normally distributed markets, the Black-Litterman technique allows managers to construct portfolios that account for their views on a set of expected returns. Attilio Meucci extends the technique to generic market distributions and shows an…
A structural approach to EDS pricing
Structural credit models have been used to price bothcredit and equity derivatives, making them a naturalframework to price equity default swaps. Using such aframework, Elena Medova and Robert Smith derivean analytic expression for the EDS spread,…
Wrong way risk modelling
Beyond its potential impact on counterparty risk exposure, the wrong way risk arising in some derivatives transactions raises important modelling challenges. Christian Redon presents two suitable models based on conditional expected exposure. Among…
Hedging weather exposure
Volumetric weather risk is usually levered by the commodity price, resulting in cross-commodity exposure known as a quanto. Hedging such exposure with quanto instruments is costly. Victor Dvortsov suggests a simple strategy that allows efficient hedging…
Calibrating inflation
Cutting Edge: Inflation Models
Caja Segovia
Quant Analysis
Aviva
Quant Analysis
West Bromwich
Quant Analysis
Banco Cooperativo Espanol
Quant Analysis
Computation methods - Smoking adjoints: fast Monte Carlo Greeks
Monte Carlo calculation of price sensitivities for hedging is often very time- consuming. Michael Giles and Paul Glasserman develop an adjoint method to accelerate the calculation. The method is particularly effective in estimating sensitivities to a…
At the flick of a switch
Jesper Andreasen and Martin Dahlgren present a regime-switching model for electricity derivatives that incorporates spiky spot-price dynamics and allows for closed-form pricing of forwards, options and swaptions
Bradford & Bingley
Quant Analysis
BCC Caravaggio
Quant Analysis
BNP Paribas
Quant Analysis
Credit Mutuel
Quant Analysis