Technical paper
Being particular about calibration
Following previous work on the calibration of multi-factor local stochastic volatility models to market smiles, Julien Guyon and Pierre Henry-Labordère show how to calibrate exactly any such model. Their approach, based on McKean’s particle method,…
Cutting Edge introduction: clarity needed on credit adjustments
Credit and credibility
Cutting Edge: the year of CVA
The year of CVA
Close-out convention tensions
Close-out convention tensions
A historical-parametric hybrid VAR
A historical-parametric hybrid VAR
Sponsor covenants in risk-based capital
Sponsor covenants in risk-based capital
Funding cost adjustments for derivatives
Funding cost adjustments for derivatives
Cutting edge: valuing and dynamically hedging natural gas storage
Hedging the extrinsic value of a natural gas storage
Cutting Edge introduction: the DVA debate
The DVA debate
Market-consistent equity risk premiums
The capital asset pricing model used to determine excess return for a given risk level and allocate assets typically uses historical data, which can be a poor predictor of risk. By adapting the model to be consistent with market-implied distributions,…
Getting CVA up and running
Getting CVA up and running
In the balance
Christoph Burgard and Mats Kjaer discuss the relationship of the funding cost adjustment to the balance sheet
Filling the gaps
Filling the gaps
Right Laplace, right time
Right Laplace, right time
Market-consistent equity risk premiums
Market-consistent equity risk premiums
A new breed of copulas for risk and portfolio management
A new breed of copulas for risk and portfolio management
Filling the gaps
Filling the gaps
On the use of t-copulas for economic capital calculations
Research Papers