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This Virtual Library is contributed by risk professionals from around the world. You can contribute submitting materials or contents to virtuallibrary@globalriskguard.com. Global Risk Guard invites its readers to submit both original and previously published papers. Written copyright permission must be secured for previously published papers.
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 Asset Management
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 Intertemporal Asset Pricing Theory, Darrell Due, Stanford University, July 2002.
Bayesian Analysis for Simulation Input and Output, Stephen E. Chick, Proceedings of 1997 Winter simulation Conference.
Consistent Return Estimates in the Asset Allocation Process - The Black-Litterman Approach, Dr. Werner Koch, CEFA, COMINVEST, PM Hedge Fund, October 2008.
Portfolio Theory Diversification, Marcel Rindisbacher, October 29, 2002.
Controlled Markov Chains with Risk-Sensitive Exponential Average Cost Criterion, Agustin Brau and Emmanuel Fernandez-Gaucherand, Proceedings of the 36th Conference on Decision and Control, December 1997.
Cross-sectional Forecasts of the Equity Premium, Christopher Polk, Samuel Thompson, and Tuomo Vuolteenaho1 April 13, 2004.
Efficient Frontier Bounds Under Stochastic Covariances, Alexander Philipov, December 17, 2003.
The Game-Theoretic Capital Asset Pricing Model, Glenn Shafer, Rutgers Business School, February 11, 2002.
Benchmarks, Tracking, Active Management, and Performance, Heinz Zimmermann, Swiss Institute of Banking and Finance, University of St. Gallen, 9 November, 2000.
Risk-Adjusted Performance Analysis, Andreas Steiner, Zurich, May 2001.
Estimating Equity Risk Premiums, Aswath Damodaran, Stern School of Business.
A Comparison of Some New Measures of Skewness, G. Brys, M. Hubert, and A. Struyf, Department of Mathematics and Computer Science, University of Antwerp (UIA), Belgium
The Relation between Tracking Error and Tactical Asset Allocation, Manuel Ammann, Heinz Zimmermann, Swiss Institute of Banking and Finance, University of St. Gallen, April 1999, Revised March 2000
Diversification, Antonios Sangvinatsos.
Honey, I Shrunk the Sample Covariance Matrix, Olivier Ledoit and Michael Wolf, 2004.
Global Portfolio Optimization, Black, Fischer; Litterman, Robert, Financial Analysts Journal, Sep/Oct 1992
The Intuition Behind Black-Litterman Model Portfolios, Guangliang He, Robert Litterman, Goldman Sachs, Investment Management Division, December 1999
Global Asset Allocation With Equities, Bonds, and Currencies, Fischer Black, Robert Litterman, Goldman Sachs, Fixed Income Research, October 1991.
A Step-by-Step Guide to the Black-Litterman Model, Incorporating user-specified confidence levels, Thomas M. Idzorek, April 26, 2005
On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model, Louis K. C. Chan, Jason Karceski, Josef Lakonishok, The Review of Financial Studies, Vol. 12, No. 5, Winter 1999
A Multivariate Model of Strategic Asset Allocation, John Y. Campbell, Yeung Lewis Chang, Luis M. Viceira, February 2002.
Appendix to A Multivariate Model of Strategic Asset Allocation, John Y. Campbell, Yeung Lewis Chang, Luis M. Viceira, February 2002.
Foreign Currency For Long Term Investors, John Y. Campbell, Luis M. Viceira, Joshua S. White, February 2002.
Strategic Asset Allocation in a Continuous-Time VAR, Model, John Y. Campbell, George Chacko, Jorge Rodriguez, Luis M. Viceira
Testing for Structural Change in the Predictability of Asset Returns, Luis M. Viceira, April 1997.
Stock Return Predictability and Model Uncertainty, Doron Avramov, January 12, 2000.
Predicting Financial Crashes Using Discrete Scale Invariance, Anders Johansen, Didier Sornette and Olivier Ledoit, November 9, 2000
Long-Horizon Mean-Variance Analysis: A User Guide, John Y. Campbell, and Luis M. Viceira, September 2004
The Risk and Return from Factors, Louis K. C. Chan, Jason Karceski, Josef Lakonishok, The Journal of Financial and Quantitative Analysis, Vol. 33, No. 2, June 1998.
Portfolio Choice Problems, Michael W. Brandt, Fuqua School of Business, Duke University and NBER, August 2004
Portfolio Resampling: Review and Critique, Bernd Scherer, 2002, AIMR
Resampled Efficiency vs. Bayes: Implications for Asset Management, Richard Michaud and Robert Michaud, New Frontier Advisors, LLC Boston, February 2004
Improved Estimation of the Covariance Matrix of Stock Returns with an Application to Portfolio Selection, Olivier Ledoit, Michael Wolf, September 2002
Bayesian estimation.
Bayesian Approach to statistics.
The Bayesian Approach to Statistical Modeling, Rob Nowak, Clayton Scott, 2003/08/01.
Understanding the Bayesian Approach: A Nondogmatic Perspective, Kathryn Blackmond Laskey, Department of Systems Engineering, George Mason University, October 10, 1997.
A Bayesian approach to Markov modelling in cost-effectiveness analyses: application to taxane use in advanced breast cancer, Nicola J. Cooper, Keith R. Abrams, Alex J. Sutton, David Turner and Paul C. Lambert, University of Leicester, UK, November 2002.
A Bayesian Approach to Uncertainty Aversion, Yoram Halevy, Vincent Feltkamp, June 8, 2004.
A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models, Chang-Jin Kim and Charles R. Nelson, August 25, 1998.
Portfolio Selection Using Bayesian Analysis and Gibbs Sampling, Alex Greyserman, Douglas H. Jones, William E. Strawderman
Bayesian Optimal Portfolio Selection: the Black-Litterman Approach, George A Christodoulakis, Faculty of Finance, Sir John Cass Business School, City University, London, Notes for Quantitative Asset Pricing, November 2002
Bayes-Stein Estimation for Portfolio Analysis, Philippe Jorion, The Journal of Financial and Quantitative Analysis, Vol. 21, No. 3, September 1986.
The Second Fundamental Theorem of Asset Pricing: A New Approach, Robert J. Battig, Robert A. Jarrow, The Review of Financial Studies, Vol. 12, No. 5, Winter 1999. |
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Credit Derivatives
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Understanding Credit Derivatives: Market Overview, Volume One, Structured Credit Research, Bnp Paribas.
Understanding Credit Derivatives: CDS Basics, Volume Two, Structured Credit Research, Bnp Paribas.
Understanding Credit Derivatives: CDS Pricing, Volume Four, Structured Credit Research, Bnp Paribas
Understanding Credit Derivatives: First- To-Default Baskets, Volume Five, Structured Credit Research, Bnp Paribas.
Analysis of Credit Default Swaps: Market, Applications and Legal Issues, Massimo Telesca, November 2003.
Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data, Didier Cossin, Tomas Hricko, May 2001.
Pricing credit derivatives with uncertain default probabilities, Vivien BRUNEL, Direction de la Recherche et de l’Innovation, January 10, 2001.
Credit Derivatives
Moody's Approach to Rating ith-to-Default Basket Credit-Linked Notes, Henry Tabe, April 17, 2002.
Pillar Funding Series 2003-1, Stefan Augustin, May 29, 2003.
Moody's Approach To Rating Synthetic CDOs, Yuri Yoshizawa, July 29, 2003.
Credit derivatives: effects on the stability of financial markets, Deutsche Bank Research, June 9, 2004. |
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Credit Risk
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Understanding the Recovery Rates on Defaulted Securities, Acharya, Viral V., Sreedar T. Bharath, Anand Srinivasan, 2003.
Credit Risk Modelling: Current Practices and Applications, Basle Committee on Banking Supervision, Basel, April 1999.
Modeling Default Risk, Crosbie P.J. (1999), KMV Corporation, San Francisco.
The Link between Default and Recovery Rates: Implications for Credit Risk Models and Procyclicality, Altman E., Resti A., Sironi A., International Association of Swaps and Derivatives Dealers (ISDA), London, 2001 (Appendix I.A).
Credit Risk Rating at Large U.S. Banks, Treacy W.F. Carey M.S., Federal Reserve Bullettin, November 1998 (also published in Journal of Banking & Finance, n.24 2000).
International Convergence of Capital Measurement and Capital Standards - A Revised Framework, Basel Committee on Banking Supervision, November 2005.
Creditrisk+, a Credit Risk Management Framework, Credit Suisse Financial Products (1997), Credit Suisse Financial Products, London.
Creditmetrics - Technical Document - The Benchmark for Understanding Credit Risk, Gupton G., Finger C.C., Bhatia M. (1997), J.P.Morgan & Co. Inc, New York.
Information Production in Credit Relationships: On the Role of Internal Ratings in Commercial Banking, Brunner A. Krahnen J.P. Weber M., WP 2000/10 Center for Financial Studies, Frankfurt University. |
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Derivatives
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Liffe Options a guide to trading strategies, 2002
Option Pricing Based on the Generalized Lambda Distribution, Charles J. Corrado, Department of Accounting and Finance, The University of Auckland, New Zealand, May 22, 2000
Using Simulation for Option Pricing, John M. Charnes, The University of Kansas School of Business, December 13, 2000
Using Simulation for Option Pricing: A Synthesis, John Charnes, U. Kansas School of Business, 12 December 2000
Estimating Security Price Derivatives Using Simulation, Mark Broadie, Paul Glasserman, Management Science, Vol. 42, No. 2, 1996
Black-Scholes Model for European vanilla options
Delta
Pricing and Hedging of Derivatives: an Introduction with a Focus on Continuous-Time Models, Rudiger Frey, Lecture Notes, Summer 2000.
Smile at uncertainty, Brigo, Mercurio and Rapisarda, 2004.
Recent Advances in Numerical Methods for Pricing Derivative Securities, Mark Broadie, Jrme Detemple, May 1996.
An Introduction to Stochastic Calculus (Hull ch.9), Wang, Yijen
General Restrictions on Prices of Financial Derivatives Written on Underlying Diffusion, Yaacov Z. Bergman, January 1998.
Parametric versus Nonparametric Estimation of Diffusion Processes—A Monte Carlo Comparison, George J. Jiang and John L. Knight, May, 1997
Retrospective Exact Simulation of Diffusion Sample Paths with Applications, Alexandros Beskos, Omiros Papaspiliopoulos, Gareth O. Roberts, July 21, 2004
Estimation of Diffusion Parameters for Discretely Observed Diffusion Processes, Helle Sorensen, January 2001
Discretely Observed Diffusions: Approximation of the Continuous-Time Score Function, Helle Sorensen, September 1999
Parametric Inference for Diffusion Processes Observed at Discrete Points in Time: a Survey, H. Sørensen, September 2002
Practical Issues in Forecasting Volatility, Ser-Huang Poon and Clive Granger, 2005.
Stochastic Volatility Model, April, 2001
Estimation Methods for Stochastic Volatility Models: a Survey, Carmen Broto and Esther Ruiz, Departamento de Estadı´stica, Universidad Carlos III de Madrid, JOURNAL OF ECONOMIC SURVEYS Vol. 18, 2004.
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options, Steve L. Heston, The Review of Financial Studies, Vol. 6, No. 2, 1993.
Simulated Likelihood Approximations for Stochastic Volatility Models, Helle Sorensen, September 19, 2000
A Closed-Form GARCH Option Valuation Model, Steve L. Heston, Saikat Nandi, The Review of Financial Studies, Vol. 13, No. 3, Autumn 2000.
Option Pricing when the Variance Changes Randomly: Theory, Estimation and an Application, Luis O. Scott, The Journal of Financial and Quantitative Analysis, Vol. 22, No. 4, December 1987.
Hedging Volatility Risk, Menachem Brenner, Ernest Y. Ou, Jin E. Zhang, April 2004
Pricing and Hedging with Smiles, Bruno Dupire, Paribas Capital Markets, Swaps and Options Research Team, April 1993
Stochastic Volatility Forecasting and Risk Management, Perry Sadorsky, Applied Financial Economics, 2005
Currency Option Pricing II, Masa Watanabe, Rice University
Exact Pricing of Asian Options: An Application of Spectral Theory, Vadim Linetsky, November 10, 2001
Static Hedging of Asian Options under Levy Models: The Comonotonicity Approach, HansjÄorg Albrecher, Jan Dhaene, Marc Goovaertsz, Wim Schoutensx, December 18, 2003
On the Equivalence of Floating and Fixed-Strike Asian Options, VICKY HENDERSON, RAFAL WOJAKOWSKI, Applied Probability Trust, 5 September 2001
Pricing Barrier Option Using Finite Difference Method and MonteCarlo Simulation, Yoon W. Kwon, Suzanne A. Lewis, May 9, 2000
Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options, Peter Carr and Michael Schroder
Symmetries and Pricing of Exotic Options in Levy Models, ERNST EBERLEIN AND ANTONIS PAPAPANTOLEON
Static Hedging of Exotic Options, Peter Carr, Katrina Ellis, Vishal Gupta, The Journal of Finance, Volume 53, Issue 3, June 1998
Static Hedging of Exotic Options, Peter Carr, Presentation for Course at Columbia University, February 10, 1999
A Perfect Calibration ! Now What ? Model Risk for Exotic and Moment Derivatives, Wim Schoutens, Erwin Simonsy, Jurgen Tistaertz, Cambridge, 3rd of December 2004
Pricing Forward Start Options under the CEV Model With Applications in Financial Engineering
Forward Smile and Derivative Pricing, George Hong, UBS, July 18, 2004
Forward Start Options
The Pricing of Cliquets, Amith Maharaj, Advanced Mathematics of Finance, Honours Project, December 9 2002
On the Pricing of Forward Starting Options under Stochastic Volatility, Susanne Kruse, Fraunhofer ITWM, Institute for Industrial Mathematics, Department of Financial Mathematics, Kaiserslautern, German, May 12, 2003.
Analysis of the Stability of the Linear Boundary Condition for the Black-Scholes Equation, H. WINDCLIFF, P.A. FORSYTH, AND K.R. VETZAL, October 24, 2003
The Minimum Maximum of a Continuous Martingale with Given Initial and Terminal Laws, DAVID G. HOBSON1 AND J. L. PEDERSEN, University of Bath and ETH Zürich, The Annals of Probability, Vol. 30, No. 2, 2002
Pricing and Hedging Equity Indexed Annuities with Variance-Gamma Deviates, Sebastian Jaimungal, Department of Statistics, University of Toronto, 4 November 2004
Finite Difference Methods and jumps Processes Arising in the Pricing of Contingent Claims: A Synthesis, Michael J. Brennan, Eduardo S. Scwartz, The Journal of Financial and Quantitative Analysis, Volume 13, Issue 3, September 1978
The Evaluation of American Options with the Method of Lines, G. H. Meyer, J. van der Hoek, September 1994
Variational Inequalities and the Pricing of American Options, Patrick Jaillet, Damien Lamberton, Bernard Lapeyre
Pricing American Stock Options by Linear Programming, M.A.H. Dempster, J. P. Humpton, October 1996
Valuing American Put Options Using Gaussian Quadrature, Michael A. Sullivan, The Review of Financial Studies, Vol. 13, No. 1, 2000
The Valuation of American Put Otions, Michael J. Brennan, Eduardo S. Schwartz, The Journal of Finance, Volume 32, Issue 2, September 16-18, 1977.
A Comparison of Numerical Techniques for American Option Pricing, Sean Randell. |
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Econometrics
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Operator Methods for Continuous-Time Markov Processes,Yacine Ait-Sahalia, L.P. Hansen and J. Scheinkman (August 2004).
Parametric and Nonparametric Volatility Measurement, Torben G. Andersen, T. Bollerslev and F. X. Diebold (July 2002).
Nonstationary Continuous-Time Processes, Federico M. Bandi and P.C.B. Phillips (May 2002).
Estimating Functions for Discretely Sampled Diffusion-Type Models, Bo M. Bibby, M. Jacobsen and M. Sorensen (July 2004).
Heterogeneity and Portfolio Choice: Theory and Evidence, Stephanie Curcuru, J. Heaton, D. Lucas and D. Moore (September 2004).
Analysis of High Frequency Data, Robert F. Engle and J.R. Russell (October 2002).
Simulated Score Methods and Indirect Inference for Continuous-time Models, A. Ronald Gallant and G. Tauchen (March 2002).
The Econometrics of Option Pricing, Rene Garcia, E. Ghysels and E. Renault (August 2003).
Value at Risk, Christian Gourieroux and J. Jasiak (August 2001).
Inference for Stochastic Processes, Jean Jacod.
The Analysis of the Cross Section of Security Returns, Ravi Jagannathan, G. Skoulakis and Z. Wang (October 2002).
MCMC Methods for Continuous-Time Financial Econometrics, Michael Johannes and N. Polson (December 2003).
Measuring and Modeling Variation in the Risk-Return Tradeoff, Martin Lettau and S. C. Ludvigson (December 2003).
Stock Market Trading Volume, Andrew W. Lo and J. Wang (September 2001).
Option Pricing Bounds and Statistical Uncertainty, Per A. Mykland (September 2003).
Exotic Options and Levy Processes, Laurent Nguyen-Ngoc and M. Yor (January 2002).
Affine Term Structure Models, Monika Piazzesi (March 2004).
Forecasting with ARMA Models, D.S.G. Pollok, A short course of time-series analysis.
ARMA Modeling in practice, Joint Research Center, Europian Commission.
Fiscal forecasting: The track record of the IMF, OECD and EC, MICHAEL ARTIS, MASSIMILIANO MARCELLINO, Econometrics Journal (2001), volume 0, pp. 1–17.
Forecasting with Box-Jenkins Models, Dedman Loaner Pool, SMU, January 2005
Forecasting Italian Inflation with Large Datasets and Many Models, Carlo Favero, Ottavio Ricchi and Cristian Tegami, Working Paper n. 269, September 2004
Instability and non-linearity in the EMU, Massimiliano Marcellino, IEP-Università Bocconi, IGIER and CEPR, Working Paper n.211, March 2002
Forecasting Chilean Industrial Production and Sales with Automated Procedures, Rmulo Chumacero, Banco Central de Chile, Documentos de Trabajo , Central Bank of Chile, Working Papers, N 260, Mayo 2004.
Further Results on MSFE Encompassing, Massimiliano Marcellino, I.G.I.E.R, Università Bocconi and Europian University Institute, October 1998
Applications of Advanced Regression Analysis for Trading and Investment, CHRISTIAN L. DUNIS AND MARK WILLIAMS, Applied Quantitative Methods for Trading and Investment. Edited by C.L. Dunis, J. Laws and P. Naım, 2003 John Wiley & Sons, Ltd
Partial Autocorrelation Function (PACF), Hyuna Yang, hyuna@stat.wisc.edu
Properties of Macroeconomic Forecast Errors, DAVID I. HARVEY, PAUL NEWBOLD, Centre for International, Financial and Economics Research, Department of Economics, Loughborough University
An Exercise with its solution
Nonlinear Univariate Time Series, Seppo PynnÄonen, Department of Mathematics and Statistics, University of Vaasa, 2003.
Linear Multivariate Time Series, Seppo PynnÄonen, Department of Mathematics and Statistics, University of Vaasa, 2003.
Applied Econometrics using MATLAB, James P. LeSage, Department of Economics, University of Toledo, October 1999.
Prediction in ARMA Models with GARCH in Mean Effects, Menelaos Karanasos, University of York.
A Beginner’s Notes on Bayesian Econometrics, Pierre-Carl Michaud, CentER, Tilburg University, September 6, 2002.
Naive Trading Rules in Financial Markets and Wiener-Kolmogorov Prediction Theory: A Study of Technical Analysis, Salih N. Neftci, The Journal of Business, Vol. 64, Issue 4, October 1991.
Pattern Modelling in Time-Series Forecasting, Sameer Singh, Cybernetics and Systems-An International Journal, vol. 31, issue 1, 2000. |
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Energy Derivatives
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‘Maximal’ Affine Model of Convenience Yields Implied from Interest Rates and Commodity Futures, Jaime Casassus, Pierre Collin-Dufrense, December 11, 2002
Valuation and Optimal Interruption for Interruptible Electricity Contracts, Ross Baldick. Sergey Kolos. Stathis Tompaidis
Constructing Forward Price Curves in Electricity Markets, Stein-Erik Fletena, Jacob Lemmingb
Valuation of Commodity-Based Swing Options, Patrick Jaillet, Ehud I. Ronn, Stathis Tompaidis, Management Science, December 2003.
Energy Futures Prices: Term Structure Models with Kalman Filter Estimation
An Empirical Examination of Deregulated Electricity Prices, Christopher R. Knittel and Michael R. Roberts, October 30, 2001
A Discrete Valuation of Swing Options, ALI LARI-LAVASSANI, MOHAMADREZA SIMCHI, AND ANTONY WARE
On Transition Probabilities of Regime Switching in Electricity Prices, Takashi Kanamura and Kazuhiko Ohashi, December 20, 2004
A Structural Model for Electricity Prices with Spikes Measurement of Jump Risk and Optimal Policies for Hydropower Plant Operation, Takashi Kanamura, Kazuhiko Ohashi, July 12, 2004
Understanding the Fine Structure of Electricity Prices, Hélyette Geman, Andrea Roncoroni
Security Tokens and Their Derivatives, Kanta Matsuura, February 2001
Pricing Power Derivatives: a Two-Factor Jump-Diffusion Approach, Pablo Villaplana, Universitat Pompeu Fabra, Department of Economics and Business |
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Fixed Income
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Maximum Likelihood Estimation, Scott M. Lynch, February 2003.
Maximum Likelihood Estimation of Latent Affine Processes, David S. Bates, University of Iowa and the National Bureau of Economic Research, March 20, 2004.
Maximum Likelihood Estimation of Structural Credit Spread Models - Deterministic and Stochastic Interest Rates, Jin-Chuan Duan, Genevi`eve Gauthier, Jean-Guy Simonato and Sophia Zaanoun, October 2002
Simulated Likelihood Estimation of Affine Term Structure Models from Panel Data, Michael W. Brandt, Ping He, July 2002
Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate, Jun Yu, Peter C.B. Phillips, July 2001
An Empirical Estimation and Model Selection of the Short-Term Interest Rates, Pouyan Mashayekh Ahangarani, University of Southern California, Economics Department
An Empirical Comparison of Alternative Models of the Short Term Interest Rate, K. C. Chan, G. Andrew Karolyi, Francis A. Longstaff, Antony B. Sanders, The Journal of Finance, Vol. 47, No. 3, July 1992.
Dissertation on “An Empirical Comparison of Alternative Models of the Short-Term Interest Rate”, Siu Tak Kuen, Ken
Term Structure of Interest Rates, Simon Benninga and Zvi Wiener, Mathematica in Education and Research, Vol. 7 No. 2 1998.
Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications, Markus Junker, Alex Szimayer, Niklas Wagner
Estimation of dynamic term structure Models, Greg Duffee, Richard Stanton, May 2004.
Kalman Filtering of Generalized Vasicek Term Structure Model, Simon H. Babbs, K. Ben Nowman, The Journal of Financial and Quantitative Analysis, Vol. 34, No. 1, March 1999.
A Maximum Likelihood Approach to Eestimation of Heath-Jarrow-Morton Models, RAMAPRASAD BHAR, CARL CHIARELLA, AND THUY-DUONG TO
An Implementation of the Ho-Lee Model for Pricing Short Term Interest Rate Options, Filippo Ippolito
A Characterization of Hedging Portfolios for Interest Rate Contingent Claims, Rene Carmona and Michael Tehranchi, Princeton University and The University of Texas at Austin,2000. |
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Fixed Income Derivatives
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Extended Libor Market Models with Stochastic Volatility, Leif Andersen, Rupert Brotherton-Ratcliffe, Gen Re Securities, December 2001
Volatility Skews and Extensions of the Libor Market Model, Leif Andersen and Jesper Andreasen, General Re Financial Products, August 27, 1998
Yield Curve Modelling with Skews and Stochastic Volatility, Leif Andersen and Jesper Andreasen, Bank of America Securities, August 2002
Static and Dynamic Approach to the Cox-Ingersoll-Ross (CIR) Model and Empirical Evaluation of the Market Price of Risk, Luca Torosantucci, Adamo Uboldi
Interest Rate Derivatives Fixed Income Trading Strategies, eurex
Interest Rate Derivatives Fixed Income Trading Strategies – Questions and Case Studies, eurex
Equity and Equity Index Derivatives Trading Strategies – Questions and Case Studies, eurex
Investments Lecture 4: Hedging Interest Rate Risk Exposure Traditional Methods, Philip H. Dybvig, 2000
On Cox processes and credit risky securities, David Lando, Department of Operations Research, University of Copenhagen, March 31, 1998.
Explicit Bond Option and Swaption Formula in Heath-Jarrow-Morton One Factor Model, Marc Henrard.
The Implementation of the Libor Market Model, Massimo Morini, May 12, 2005
Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities, Francis A. Longstaff, December 2002. |
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Hedge Funds
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The Statistical Properties of Hedge Fund Index Returns and Their Implications for Investors, Chris Brooks and Harry M. Kat
Investable Hedge Fund Indices Methodology, Objective and Guiding Principles Index Construction And Maintenance, March 2005.
Portfolio Optimization with Tracking-Error Constraints, Philippe Jorion, 2003. |
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Internal Auditing
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Financial integration across borders and across sectors: implications for regulatory structures, Ingo Walter, Leonard N. Stern School of Business, June, 2002.
Audit Guide – Quality Assurance Review, Habib Bank Limited, October 4, 2003. |
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Market Risk
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An Application of Extreme Value Theory for Measuring Risk, Manfred Gilli, Evis Kellezi, Department of Econometrics, University of Geneva and FAME, February 2003
Extreme Value Theory for Risk Managers, Alexander J. McNeil, Departement Mathematik, ETH Zentrum, Zurich, May 1999
Cost Functions and Model Combination for VaR-Based Asset Allocation Using Neural Networks, NICOLAS CHAPADOS AND YOSHUA BENGIO, Computer Science and Operations Research Department, University of Montreal and CIRANO, May 2000
Artificial Neural Networks: The next intelligence, Amit Khajanchi, University of Sothern California
Artificial Neural Networks for Valuation of Financial Derivatives and Customized Option Embedded Contracts, Christakis Charalambous and Spiros H. Martzoukos, Department of Public and Business Administration and HERMES Center of Excellence on Computational Finance and Economics, University of Cyprus, May 2001
Alternative Neural Network Approach for Option Pricing and Hedging, Andrew Carverhill, Terry H.F. Cheuk
Financial Applications of Copula Functions, Jean-Frederic Jouanin, Gael Riboulet and Thierry Roncalli, Groupe de Recherche Operationnelle, Credit Lyonnais, France
Estimation of Copula-Based Semiparametric Time Series Models, Xiaohong Chen, Yanqin Fan, February 2004
Some Statistical Pitfalls in Copula Modeling for Financial Applications, Jean-David FERMANIAN, Olivier SCAILLET, March 2004
Modelling Dependence with Copulas and Applications to Risk Management, Paul Embrechts, Filip Lindskog and Alexander McNeil, Department of Mathematics, Zurich, September 10, 2001
Goodness of Fit Tests for Copulas, Jean-David FERMANIAN, September 30, 2001.
Risk-Based Performance Management –Making it Work, Peyman Mestchian, SAS EMEA and Gary Cokins, SAS International, Journal of Risk Intelligence |
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Operational Risk
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Sound Practices for the Management and Supervision of Operational Risk, Basel Committee on Banking Supervision, February 2003.
International Convergence of Capital Measurement and Capital Standards: A Revised Framework, Basel Committee on Banking Supervision, June 2004.
Working Paper on the Regulatory Treatment of Operational Risk, Basel Committee on Banking Supervision, September 2001.
Consultative Document: Operational Risk, Supporting Document to the New Basel Capital Accord, Basel Committee on Banking Supervision, January 2001.
Quantitative Impact, Study 3, Instructions, For banks providing data on the Standardised and Internal Ratings Based Approaches, Basel Committee on Banking Supervision, October 2002
Quantitative Impact, Study 3, Technical Guidance, For banks providing data on the Standardised and Internal Ratings Based Approaches, Basel Committee on Banking Supervision, October 2002.
The Quantitative Impact Study for Operational Risk: Overview of Individual Loss Data and Lessons Learned, Basel Committee on Banking Supervision, January 2002.
Operational Risk Data Collection Exercise - 2002, Basel Committee on Banking Supervision, June 2002.
Operational Risk Capital Allocation and Integration of Risks, Elena A. Medova, Centre for Financial Research, The Judge Institute of Management, University of Cambridge UK.
Operational Risk Quantification: Mathematical Solutions for Analyzing Loss Data, Gene lvarez, May 2001.
The modelling of operational risk: experience with the analysis of the data collected by the Basel Committee, by Marco Moscadelli, July 2004.
Implementation of the Capital Accord for Operational Risk, ORIAG Working Paper, January 2003.
Operational Risk Regulatory Approach Discussion Paper, International Swaps and Derivatives Association, September 2000.
Best Practices in Risk Management, Robert M. Mark, May 2002.
Operational Risk: A Discussion of Quantification Techniques, John Jordan, Federal Reserve Bank of Boston, March 10, 2004.
Operational Risk Quantification and Insurance, Capital Allocation for Operational Risk, 14th-16th November 2001, Bahram Mirzai, Swiss Re.
Operational Risk, Advanced Risk Management, IFF, January 2002.
Operational Risk Measurement: Advanced Approaches, Carol Alexander, ISMA Centre, April 2002.
Capital Allocation for Operational Risk Implementation Challenges for Bank Supervisors, Eric Rosengren, Senior Vice President, Federal Reserve Bank of Boston, Joint Operational Risk Conference, November 15, 2001.
Position Paper of the Italian Banking Industry on “Sound Practices for the Management and Supervision of Operational Risk”, ABI, March 2002.
Implementing a Comprehensive LDA Leading Edge Issues in Operational Risk Measurement, Bank of America Corporation Risk Capital & Portfolio Analysis, May 29, 2003.
Incorporating Expert Judgement in Operational Risk Quantification Critical Systems Conference, Norman Fenton, Agena Ltd and Queen Mary, 15 October, 2002.
Quantification of Operational Risk, Alberto Balestra.
Casualty Actuarial Society 2001 Seminar on Understanding the Enterprise Risk Management Process, Samir Shah, San Francisco, April 2-3, 2001. |
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