Banking
CVA wrong-way risk: calibration using a quanto CDS basis
Tsz-Kin Chung and Jon Gregory calibrate wrong-way risk with the help of quanto CDS values
Libor replacement: a modelling framework for in-arrears term rates
Andrei Lyashenko and Fabio Mercurio expand rates modelling to the post-Libor world
Capital allocation under the Fundamental Review of the Trading Book
Quants propose an allocation method for internal model capital charges
The fair basis
Wujiang Lou remodels credit arbitrage by introducing funding and capital costs
Skewing quanto with simplicity
George Hong presents an analytical method for pricing quanto options
Revisiting SA-CCR
Berrahoui, Islah and Kenyon propose an alternative to SA-CCR
Roughening Heston
El Euch, Rosenbaum, Gatheral combine a rough volatility model with the classical Heston model
Central counterparty CVA
Matthias Arnsdorf proposes a method to calculate the counterparty risk related to CCP membership
CVA and IM: welcome to the machine
Henry-Labordere proposes a neural networks-based technique to price counterparty risk and initial margin
Keep it real: tail probabilities of compound distributions
Igor Halperin proposes new approach to compute probabilities of heavy-tailed distributions
The interplay between stochastic volatility and correlations in equity autocallables
Study shows issues with pricing autocallables using SLV
Counterparty trading limits revisited: from PFE to PFL
The potential future loss is proposed as a replacement for PFE
The Garch linear SDE: explicit formulas and the pricing of a quanto CDS
A new closed-form approximation is applied to quanto CDS pricing
Local stochastic volatility: shaken, not stirred
Dominique Bang introduces a novel LSV approach to term distribution modelling
Knocking out corridor variance
Amine Ahallal and Olaf Torne add a knock-out barrier to the standard corridor variance swap
The revised P&L attribution test and the suitability of new proposed thresholds
Montoro, Spinaci and Georgi assess the effectiveness of the FRTB’s P&L attribution test
Efficient Simm-MVA calculations for callable exotics
Algorithmic differentiation are used to simulate sensitivities to calculate MVA
Equity modelling with local stochastic volatility and stochastic discrete dividends
SocGen quants calibrate local stochastic volatility models with stochastic dividends
The swap market model with local stochastic volatility
An easy to calibrate and accurate swap market model is proposed
Discrete time stochastic volatility
Quant proposes faster model to price arbitrage-free swaptions
Rogue traders versus value-at-risk and expected shortfall
VAR and ES are ineffective to deter rogue trading
The present of futures
Fabio Mercurio introduces a new multi-curve model for pricing futures convexity adjustments
Foreign exchange correlation swap: problem solver or troublemaker?
A correlation structure is an important element in pricing products such as correlation swaps