Technical paper articles on risk management, derivatives and complex finance - Risk.net

Asset liability management

Portfolio construction and systematic trading with factor entropy pooling

Construction of large portfolios consistent with investors' views and stress test scenarios is a challenging task, considering the volume of information to be processed. Attilio Meucci, David Ardia and Marcello Colasante introduce a technique that…

16 Apr 2014

Original research

Modeling portfolio risk by risk discriminatory trees and random forests

30 Mar 2014

Original research

A proposed framework for backtesting loss given default models

30 Mar 2014

Original research

Credit scoring optimization using the area under the curve

30 Mar 2014

Original research

A statistical repertoire for quantitative loss given default validation: overview, illustration, pitfalls and extensions

30 Mar 2014

Credit risk

Usage and exposures at default of corporate credit lines: an empirical study

30 Mar 2014

Credit risk

Backtesting counterparty risk: how good is your model?

30 Mar 2014

Credit risk

Modeling the credit contagion channel and its consequences via the standard portfolio credit risk model

30 Mar 2014

Credit risk

Dynamic affordability assessment: predicting an applicant’s ability to repay over the life of the loan

30 Mar 2014

Risk management

Quadratic finite element and preconditioning methods for options pricing in the SVCJ model

30 Mar 2014

Original research

Robust Bayesian allocation

30 Mar 2014

Risk management

Monte Carlo pricing in the Schöbel–Zhu model and its extensions

30 Mar 2014

Original research

Optimal diversification

30 Mar 2014

Risk management

Assimilating operational risks in common trading systems

30 Mar 2014

Risk management

TR-BDF2 for fast stable American option pricing

30 Mar 2014

Original research

Are commodity futures a good hedge against inflation?

30 Mar 2014

Risk management

LIBOR manipulation: operational risks resulting from brokers’ misbehavior

30 Mar 2014

Risk management

Robust and accurate Monte Carlo simulation of (cross-) Gammas for Bermudan swaptions in the LIBOR market model

30 Mar 2014

Risk management

On the optimal design of operational risk data consortiums

30 Mar 2014

Risk management

The limit of diversification: a lower bound on firm-wide operational risk capital

30 Mar 2014

Original research

Optimal starting times, stopping times and risk measures for algorithmic trading: target close and implementation shortfall

30 Mar 2014

Risk management

Central counterparty links and clearing system exposures

Links between central counterparties (CCPs) enable participants to clear positions in any linked CCP without needing to maintain multiple CCP memberships.

30 Mar 2014

Risk management

Assessing financial market infrastructures’ systemic importance with authority and hub centrality

30 Mar 2014

Risk management

Network indicators for monitoring intraday liquidity in BOK-Wire+

30 Mar 2014

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