Quantitative analysis
The relativity of volatility
Stress testing
Forward CMS rate adjustment
Constant maturity products
Hedge your Monte Carlo
Option pricing
Jumping in line
Emmanuel Acar and Bapi Maitra
Price and probability
Credit derivatives
A fair value for the skew
Implied volatility
Forward thinking
Forward simulation
The taming of the skew
Implied volatility
Depressing recoveries
Credit risk
Take the long and short route
Investment management
Margining the spread
Liquidity risk
Breaking the silence
Liquidity risk
Getting the pricing right
Credit risk
Static barriers
Exotic options
Getting the pricing right
Credit risk
A mixed-up smile
Implied volatility
Going with the flow
Hedging
The long and the short of it
Investment management
Making the grade
Credit derivatives
Upgrading your passport
Exotic options
A credit risk catwalk
Credit risk models
The liquidity puzzle
Liquidity
Bound to rebalance
Investment management
Stress tests and risk capital
For many financial institutions, "stress tests" are an important input into processes that set risk capital allocations. In the current regulatory environment, two distinct model-based approaches for setting regulatory capital requirements include stress…