Technical paper
Multi-factor forward curve models for energy risk management
Applied risk management series – article two
Repricing the cross smile: an analytic joint density
Repricing the cross smile: an analytic joint density
Cutting Edge introduction: viva cross-vegas
Viva cross-vegas
Analytical risk contributions for non-linear portfolios
Analytical risk contributions for non-linear portfolios
Analytical risk contributions for non-linear portfolios
Analytical risk contributions for non-linear portfolios
Cutting edge: Valuation of spread commodity structures
Valuation of spread commodity structures in co-integrated futures markets
CMS: covering all bases
CMS: covering all bases
Downgrade termination costs
Downgrade termination costs
Cutting Edge introduction: risky contributions
Risky contributions
Perturbed Gaussian copula: introducing the skew effect in co-dependence
Gaussian copula models are often used in the industry when single-asset information is quoted but little is known about their joint relation. These models may arise from correlated stochastic Brownian processes with deterministic volatility and…
Conversion of upfront CVA into running CVA
Conversion of upfront CVA into running CVA
Hybrid correlation matrices
Hybrid correlation matrices
Analytical risk contributions for non-linear portfolios
Analytical risk contributions for non-linear portfolios