Risk magazine/Technical paper
Pricing CDSs’ capital relief
Pricing CDSs’ capital relief
Hedge backtesting for model validation
Hedge backtesting for model validation
Exposure under systemic impact
Exposure under systemic impact
Fast gammas for Bermudan swaptions
Fast gammas for Bermudan swaptions
Cutting Edge introduction: Accuracy or speed?
Accuracy or speed?
Hybrid smiles made fast
Hybrid smiles made fast
SABR spreads its wings
SABR spreads its wings
A quadratic volatility Cheyette model
A quadratic volatility Cheyette model
Smile in the low moments
Smile in the low moments
Cutting Edge introduction: Continuity error
Continuity error
SABR goes normal
SABR goes normal
Lois: credit and liquidity
Lois: credit and liquidity
Cutting Edge introduction: The collateral currency convexity problem
The collateral currency convexity conundrum
Collateral convexity complexity
Collateral convexity complexity
LPI swaps with a smile
LPI swaps with a smile
Cutting Edge introduction: CVA for CDSs
Counterparty risk is generally thought of at a portfolio level, but understanding how a particular payout interacts with credit and debit valuation adjustments could help banks make business decisions. Laurie Carver introduces this month’s technical…
CDSs, CVA and DVA – a structural approach
CDSs, CVA and DVA – a structural approach
Breaking break clauses
Breaking break clauses
Cutting Edge introduction: Wrong-way risk and the limits of correlation
Traditional models for wrong-way risk focus on the correlation between default and exposure – a blunt tool for a tail risk. Alternatives are thin on the ground, but a scenario-based approach may provide some fresh insight. Laurie Carver introduces this…
Robust hedging of withdrawal guarantees
Robust hedging of withdrawal guarantees
Wrong-way risk, credit and funding
Wrong-way risk, credit and funding
Cutting Edge introduction: Goodwill for DVA
Goodwill blunting
Rational shapes of local volatility
Rational shapes of local volatility