Technical paper/Risk management
A dynamic model for hard-to-borrow stocks
Traders with short positions in stocks that are subject to short-selling restrictions risk being 'bought in', in the sense that their positions may be closed out by the clearing firm at market prices. Marco Avellaneda and Mike Lipkin present a model for…
Simulations with exact means and covariances
Attilio Meucci presents a simple method to generate scenarios from multivariate elliptical distributions with given sample means and covariances, and shows an application to the risk management of a book of options
Questionable usefulness of restricting short sales
The subprime crisis made investors wary of the shares of financial institutions. The share prices of these institutions have experienced exceptionally steep falls, none more so than those of the summer of 2008.
Investigating parameter risk for Solvency II and ICAS
Technical papers
A dynamic model for hard-to-borrow stocks
Traders with short positions in stocks that are subject to short-selling restrictions risk being 'bought in', in the sense that their positions may be closed out by the clearing firm at market prices. Marco Avellaneda and Mike Lipkin present a model for…
Error of VAR by overlapping intervals
When overlapping intervals in time series are used, volatility and price changes' percentiles are underestimated. Consequently, value-at-risk is also underestimated. Heng Sun, Izzy Nelken, Guowen Han and Jiping Guo measure the size of this underestimation
Scaling conditional tail probability and quantile estimators
John Cotter presents a novel procedure for scaling relatively high-frequency tail probability and quantile estimates for the conditional distribution of returns
Accelerated ensemble Monte Carlo simulation
Traditional vanilla methods of Monte Carlo simulation can be extremely time-consuming if accurate estimation of the loss distribution is required. Kevin Thompson and Alistair McLeod show that the ensemble Monte Carlo method, introduced here,…
China's impact on price shocks in the world oil markets
Research Papers
Vanilla option replication for ALM shortfall risk
Technical papers
Error of VAR by overlapping intervals
When overlapping intervals in time series are used, volatility and price changes' percentiles are underestimated. Consequently, value-at-risk is also underestimated. Heng Sun, Izzy Nelken, Guowen Han and Jiping Guo measure the size of this underestimation
Being two-faced over counterparty credit risk
A recent trend in quantifying counterparty credit risk for over-the-counter derivatives has involved taking into account the bilateral nature of the risk so that an institution would consider their counterparty risk to be reduced in line with their own…
Zur Validierung von Marktrisikomodellen
Der Neueste Stand - Marktrisiko
Opinioni assolutamente flessibili: tra teoria e pratica
Approfondimenti Investment Management
Solvency II Reinsurance - Counterparty default risk
Technical papers
Component VAR for a non-normal world
It has become standard to account for non-normality when estimating portfolio value-at-risk, but there are few methods available to calculate the risk contributions of each component in a non-normal portfolio. Brian Peterson and Kris Boudt present a…
Credit remains the focus
Degree of Influence