Technical paper
Operational risk - Operational VAR: a closed-form approximation
Klaus Bocker and Claudia Kluppelberg investigate a simple loss-distribution model for operational risk. They show that, when loss data is heavy-tailed (which in practice it is), a simple closed-form approximation for operational value-at-risk (VAR) can…
A practical operational risk scenario analysis quantification
Thomas Alderweireld, João Garcia and Luc Léonard define an operational risk scenario analysis and its quantification technique, leading to the determination of the loss distribution characteristics. The method is based on simple questions put to…
Quant analysis by StructuredRetailProducts.com
Quant analysis
Nuclear fusion R&D
In 50 years, nuclear fusion may be a major source of energy, but until then extensive research and development is needed. To justify the current and future R&D expenditure, a cost-benefit analysis designed specially for this sector is required. David…
Kleinwort Benson
Quant Analysis
Sparkasse Hannover
Quant Analysis
Fintro
Quant Analysis
Fortis Bank
Quant Analysis
Cutting edge - Omega portfolio construction with Johnson distributions
The omega risk-adjusted performance measure with Johnson distributions accounts comprehensively and non-discretionarily for the first potentially persistent moments including skewness and kurtosis. The Johnson-omega ratio thus overcomes the shortcomings…
An empirical analysis of equity default swaps (II): multivariate insights
Equity default swaps (EDSs) have attracted much attention recently because of their similarities to credit default swaps on the one hand and American-style digital puts on the other. Particular interest has focused on collateralised debt obligations…
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…
Problems & Solutions: Financially Motivated Model Performance Measures
There are many interesting issues surrounding credit risk that are of both practical and academic interest. The Problems and Solutions section aims to engage readers in active discussion and debate of such issues. Readers are encouraged to post questions…