Original research

• Original research

A review of the key issues in operational risk capital modeling

• 27 Sep 2010

• Original research

A spot price model for natural gas considering temperature as an exogenous factor and applications

Reseach Papers

• 20 Sep 2010

• Original research

The valuation of power futures based on optimal dispatch

Reseach Papers

• 20 Sep 2010

• Original research

Pricing electricity derivatives on an hourly basis

Reseach Papers

• 20 Sep 2010

• Original research

Valuation of commodity-based swing options

Reseach Papers

• 20 Sep 2010

• Original research

A behavioural finance-based tick-by-tick model for price and volume

• 19 Sep 2010

• Original research

The singular points binominal method for pricing American path-dependent options

• 19 Sep 2010

• Original research

Portfolio selection with marginal risk control

• 19 Sep 2010

• Original research

Correlation matrix with block structure and efficient sampling methods

• 19 Sep 2010

• Original research

The valuation of correlation-dependent credit derivatives using a structural model

• 17 Sep 2010

• Original research

An implied multi-factor model for bespoke collateralized debt obligation tranches and other portfolio credit derivatives

• 17 Sep 2010

• Original research

Pricing and hedging collateralized loan obligations with implied factor models

• 17 Sep 2010

• Original research

Credit rating accuracy and incentives

• 17 Sep 2010

• Original research

Tests of the performance of structural models in bankruptcy prediction

• 25 Jun 2010

• Original research

A statistical modeling approach to building an expert credit risk rating system

• 25 Jun 2010

• Original research

The value of non-financial information in SME risk management

• 25 Jun 2010

• Original research

Corporate bond defaults are consistent with conditional independence

• 25 Jun 2010

• Original research

Kernel quantile based estimation of expected shortfall

• 24 Jun 2010

• Original research

Rating targeting and dynamic economic capital

• 24 Jun 2010

• Original research

Optimal portfolio choice using the maximum Sharpe ratio

• 24 Jun 2010

• Original research

Realized hedge ratio properties, performance and implications for risk management: evidence from the Spanish IBEX 35 spot and futures markets

• 24 Jun 2010

• Original research

Area under the curve maximization method in credit scoring

• 23 Jun 2010

• Original research

Stress testing of retail mortgages: a study based on non-stationary Markov chains and t-copula simulation

• 23 Jun 2010