Risk magazine/Technical paper
Close-out convention tensions
Close-out convention tensions
A historical-parametric hybrid VAR
A historical-parametric hybrid VAR
Cutting Edge introduction: the DVA debate
The DVA debate
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
Right Laplace, right time
Right Laplace, right time
Market-consistent equity risk premiums
Market-consistent equity risk premiums
Filling the gaps
Filling the gaps
Bayesian lessons for payout structuring
Bayesian lessons for payout structuring
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
Perverse capital
Perverse capital
Spread options, Farkas's lemma and linear programming
Spread options, Farkas's lemma and linear programming
Counterparty risk capital and CVA
Counterparty risk capital and CVA
Cutting edge introduction
Be discrete
Random grids
Random grids
Repricing the cross smile: an analytic joint density
Repricing the cross smile: an analytic joint density
Marking systemic portfolio risk with the Merton model
Marking systemic portfolio risk with the Merton model
Real-time counterparty credit risk management in Monte Carlo
Real-time counterparty credit risk management in Monte Carlo
From spot volatilities to implied volatilities
From spot volatilities to implied volatilities
General short-rate analytics
General short-rate analytics
An analytical framework for credit portfolio risk measures
An analytical framework for credit portfolio risk measures
Stressed in Monte Carlo
Stressed in Monte Carlo
Capturing credit correlation between counterparty and underlying
Capturing credit correlation between counterparty and underlying