Technical paper
The price of credit
Masterclass – with JP Morgan
Value under liquidation
Liquidity
A coherent framework for stress testing
In recent months and years, practitioners and regulators have embraced the idea of supplementing value-at-risk estimates with "stress testing". Risk managers are beginning to place an emphasis and expend resources on developing more and better stress…
Jumping smiles
Options
Maturity mismatch
Credit risk
On the edge of completeness
Credit derivatives
In praise of bar data
Forex markets
Uncertain volatility
Market risk
Optional events and jumps
Masterclass – with JP Morgan
Swaptions with a smile
Masterclass – with JP Morgan
The tree of knowledge
Options
Generalising with HJM
Credit risk
Wrong-way exposure
Masterclass – with JP Morgan
Integrating correlations
Credit risk
Rates of skew
Interest rate models