Risk magazine/Technical paper
Cutting CVA's complexity
Cutting CVA's complexity
Non-linear mixture of asset return models
Non-linear mixture of asset return models
Model foundations of the Basel III standardised CVA charge
Model foundations of the Basel III standardised CVA charge
Cutting Edge introduction: Hedging dependence
Hedging dependence
An easy-to-hedge covariance swap
An easy-to-hedge covariance swap
Market reaction to price changes and fat-tailed returns
Market reaction to price changes and fat-tailed returns
Optimal design of volatility-driven algo-alpha trading strategies
Optimal design of volatility-driven algo-alpha trading strategies
Cutting edge introduction: perturbing the smile
Perturbing the smile
Quanto adjustments in the presence of stochastic volatility
Quanto adjustments in the presence of stochastic volatility
Stochastic volatility’s orderly smiles
Stochastic volatility’s orderly smiles
Cutting edge introduction: exploring constant maturity asset swaps
Exploring constant maturity asset swaps
Stress testing with fully flexible causal inputs
Stress testing with fully flexible causal inputs
Constant maturity asset swap convexity correction
Constant maturity asset swap convexity correction
Cutting Edge introduction: viva cross-vegas
Viva cross-vegas
CMS: covering all bases
CMS: covering all bases
Downgrade termination costs
Downgrade termination costs
Cutting Edge introduction: risky contributions
Risky contributions
Hybrid correlation matrices
Hybrid correlation matrices
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
Perturbed Gaussian copula: introducing the skew effect in co-dependence
Perturbed Gaussian copula: introducing the skew effect in co-dependence
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