Working Papers
A gentle introduction to the RM 2006 methodology
Back testing risk methodologies from 1 day to 1 year
Measuring Risk on Credit Indices: On the Use of the Basis
Adaptations of Monte Carlo Simulation Technique To American Option Pricing
Incorporating equity derivatives into the CreditGrades model
Risk Budgeting for Pension Plans
Risk Attribution for Asset Managers
Mark-to-Market, Oversight, and Sensitivity Analysis of CDO's
Financial Crises, Implied Volatility and Stress Testing
Hypothesis Test of Default Correlation and Application to Specific Risk
Calculating VaR through Quadratic Approximations
A Comparison of Stochastic Default Rate Models
Do Implied Volatilities Provide Early Warning of Market Stress?
A Stress Test to Incorporate Correlation Breakdown
On Default Correlation: A Copula Function Approach
Vega Risk and the Smile (PDF Format, 149K)
A Way to Condition Transition Matrix on Wind
Why is the RMCI so Low?
Toward a Better Estimation of Wrong-Way Credit Exposure
Delta-Gamma Four Ways
Semiparametric ARCH Models: An Estimating Function Approach
Value-at-Risk Based on the Volatility, Skewness, and Kurtosis
Improved Cash Flow Map
Sticks and Stones
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