Quantitative analysis
Optional events and jumps
Masterclass – with JP Morgan
Swaptions with a smile
Masterclass – with JP Morgan
The tree of knowledge
Options
Generalising with HJM
Credit risk
Wrong-way exposure
Masterclass – with JP Morgan
Integrating correlations
Credit risk
Rates of skew
Interest rate models
Applying HJM to credit risk
Credit risk
If the skew fits
Volatility
Regimes of volatility
Options markets
The maturity offset problem
Regulation
Reconcilable differences
H Ugur Koyluoglu and Andrew Hickman explore the common ground between the new credit risk models and the implications for risk management and regulatory capital reform.
Modeling and measuring operational risk
Recent operational risk events such as occurred at Barings, Daiwa, Sumitomo, and other institutions show the importance of measuring and controlling such operational risk. In this paper the authors present a quantitative operational risk measurement…
VaR-x: Fat tails in financial risk management
To ensure a competent regulatory framework with respect to value-at-risk (VaR) for establishing a bank's capital adequacy requirements, as promoted by the Basel Committee on Banking Supervision, the parametric approach for estimating VaR needs to…
Pricing with a smile
Bruno Dupire shows how the Black-Scholes model can be extended tomake it compatible with observed market volatility smiles, allowingconsistent pricing and hedging of exotic options