Technical paper

• Structured products

Stress testing with fully flexible causal inputs

Stress testing with fully flexible causal inputs

• 30 Mar 2012

• Interest rate markets

Full implications for CMS convexity

Full implications for CMS convexity

• 29 Mar 2012

• Structured products

Understanding risk-based portfolios

• 28 Mar 2012

• Structured products

Advances in cointegration and subset correlation hedging methods

• 28 Mar 2012

• Structured products

Gauge invariance, geometry and arbitrage

• 28 Mar 2012

• Structured products

Downside risk properties of foreign exchange and equity investment strategies

• 28 Mar 2012

• Original research

The effect of imperfect data on default prediction validation tests

• 28 Mar 2012

• Original research

Quantifying model risk within a CreditRisk+ framework

• 28 Mar 2012

• Markets

Constant maturity asset swap convexity correction

Constant maturity asset swap convexity correction

• 28 Mar 2012

• Original research

On bounds for model calibration uncertainty

• 28 Mar 2012

• Original research

Stress testing a retail loan portfolio: an error correction model approach

• 28 Mar 2012

• Original research

Fitting the generalized Pareto distribution to commercial fire loss severity: evidence from Taiwan

• 28 Mar 2012

• Original research

Value-at-risk and ruin probability

• 28 Mar 2012

• Original research

Scaling portfolio volatility and calculating risk contributions in the presence of serial cross-correlations

• 28 Mar 2012

• Risk management

Accounting for nonnormality in liquidity risk

• 28 Mar 2012

• Forum

Systemic operational risk: the UK payment protection insurance scandal

• 28 Mar 2012

• Original research

A nonparametric approach to analyzing operational risk with an application to insurance fraud

• 28 Mar 2012

• Original research

Combining scenario analysis with loss data in operational risk quantification

• 28 Mar 2012

• Original research

Treatment of the data collection threshold in operational risk: a case study using the lognormal distribution

• 28 Mar 2012

• Risk management

Compressed-air energy storage power plant investments under uncertain electricity prices: an evaluation of compressed-air energy storage plants in liberalized energy markets

• 28 Mar 2012

• Risk management

Valuation of structured retail electricity contracts with market models

• 28 Mar 2012

• Risk management

Do trading and power operations mix? The case of Constellation Energy Group in 2008

• 28 Mar 2012

• Credit risk

Credit loss and systematic loss given default

• 28 Mar 2012

• Credit risk

New risk analysis tools with accounting changes: adjusted Z-score

• 28 Mar 2012