Technical paper/Risk management
Cutting edge: Valuation of spread commodity structures
Valuation of spread commodity structures in co-integrated futures markets
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
Analytical risk contributions for non-linear portfolios
Analytical risk contributions for non-linear portfolios
Cutting Edge introduction: requiem for a probabilist
Requiem for a probabilist
A historical-parametric hybrid VAR
A historical-parametric hybrid VAR
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
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
Right Laplace, right time
Right Laplace, right time
A new breed of copulas for risk and portfolio management
A new breed of copulas for risk and portfolio management
A new breed of copulas for risk and portfolio management
A new breed of copulas for risk and portfolio management
Cutting edge introduction
A popular copula