Technical paper
Central counterparties: addressing their too-important-to-fail nature
This paper argues that the current international policy measures with respect to central counterparties (CCPs) only partly address the systemic risk posed by CCPs.
Network-based measures as leading indicators of market instability: the case of the Spanish stock market
This paper identifies links between time series data of stock returns for the purpose of understanding the structure of the market and for identifying early-warning signals of forthcoming market stress.
Analysis of risk factors in the Korean repo market based on US and European repo market experiences during the global financial crisis
This paper evaluates the Korean repo market in the light of the global financial crisis.
Group lending to a borrower network: a partial joint liability model
This paper uses network theory to develop models for credit decisions in group lending schemes.
Banknote printing in a less-cash society: innovate or not?
Leo Van Hove investigates a less-cash society from the perspective of a central bank
Too interconnected to fail: a survey of the interbank networks literature
This paper systematically reviews the theoretical literature on interbank networks.
Cutting Edge introduction: Sticky SABR
Quants develop a hassle-free model that can handle negative interest rates
Credit risk: taking fluctuating asset correlations into account
This paper puts forward an ensemble approach for asset correlations.
Wrong-way risk done right
Jacky Lee and Luca Capriotti present an arbitrage-free valuation method for counterparty exposure of credit derivates portfolios.
On the application of spectral filters in a Fourier option pricing technique
When dealing with nonsmooth functions – such as a combination of a nonsmooth density and a payoff – spectral filters can be applied to deal efficiently with the so-called Gibbs phenomenon. The simplicity and effectiveness of classical filtering…
Counting processes for retail default modeling
The article discusses the use of counting processes for retail (mortgage) default modeling.
The free boundary SABR: natural extension to negative rates
Antonov, Konikov and Spector adapt the popular SABR model to a negative rates environment
Internal transfer price optimisation for integrated energy firms
A framework that demonstrates optimal internal pricing will deviate from ‘arm’s length principle'
A novel Fourier transform B-spline method for option pricing
By means of B-spline interpolation, this paper provides an accurate closed-form representation of the option price under an inverse Fourier transform.
Commodity risk hedging through risk sharing: reengineering Islamic forwards
This paper studies the possibility of using Islamic forwards, which are commonly known as salam contracts, to hedge commodity risk, while respecting the principle of risk sharing.
Advanced risk profile analysis of Islamic equity investment: evidence from the American, Asian and European markets
This paper investigates three Islamic equity indexes, classified by economic hubs (Dow Jones Europe, Asia/Pacific and United States), against their conventional peers from 2003 to 2009.
Applying the Cornish–Fisher expansion to value-at-risk estimation in Islamic banking
This study deliberates upon a proposed delta–gamma sensitivity analysis–extreme value theory (DGSA–EVT) model that focuses on the assessment of risk exposures represented by the value of value-at-risk (VaR) in three incomegenerating channels: one in…
Recursive profit-and-loss sharing
This paper develops a new financial product that allows the profit-and-loss sharing (PLS) principle to be enforced recursively in practice.
The management of refinancing risk in Islamic banks
This paper investigates the risk engendered by maturity mismatches.
Time series models for credit default swap premiums
This paper analyzes the theoretical properties and statistical behavior of credit default swap (CDS) premiums over time.
Hermite approximations in credit portfolio modeling with probability of default–loss given default correlation
The authors present an analytic framework for credit portfolio modeling using Hermite expansions.
A robust set-valued scenario approach for handling modeling risk in portfolio optimization
By introducing the set-valued scenario, this paper proposes a unified robust portfolio selection approach under downside risk measures.
Cutting Edge introduction: Law-abiding FVA
HSBC quant develops an FVA model that preserves the law of one price
Efficient XVA management: pricing, hedging and allocation
Kenyon and Green show how certain technical elements simplify XVA management