Technical paper
Mean reversion pays, but costs
Mean reversion pays, but costs
Event risk modelling for equities
Event risk modelling for equities
Regulation has not kept pace with innovation in the fund management industry
Non-financial risks examined
Choice of collateral currency
Collateral agreements are becoming popular in the over-the-counter derivatives market. Masaaki Fujii and Akihiko Takahashi demonstrate its significant impact on derivatives pricing with a direct link to the cross-currency market. The importance of…
Confidence in controlling risk measures
Insurers increasingly use stochastic simulation approaches for estimating risk capital, but numerical errors are rarely measured. A control variate method can improve the accuracy dramatically without increasing the number of simulations.
The CMS triangle arbitrage
The CMS triangle arbitrage
Choice of collateral currency
Choice of collateral currency
Name concentration correction
Credit Risk