Technical paper/Risk

• Original research

Estimating future transition probabilities when the value of side information decays, with applications to credit modeling

• 21 Sep 2011

• Original research

The German model of risk distribution in supplementary occupational pensions

• 24 Feb 2011

• Original research

Joint and conditional transformed t mixture models with applications to financial and economic data

• 27 Mar 2009

• Original research

The long-term risk caused by the stock market bubble

• 23 Dec 2008

• Original research

Overcoming dimensional dependence of worst case scenarios and maximum loss

• 22 Sep 2008

• Original research

A conditional approach for risk estimation

• 22 Sep 2008

• Original research

How much structure is best? A comparison of market model, factor model and unstructured equity covariance matrices

• 18 Jun 2008

• Original research

Comparative analysis of total risk-based performance measures

• 18 Jun 2008

• Original research

Optimal early withdrawal and valuation of finite-horizon fund protection options

• 19 Sep 2007

• Original research

Minimizing tracking error while restricting the number of assets

• 11 Jul 2006

• Original research

Estimation risk in financial risk management: a correction

• 11 Jul 2006

• Original research

A conditional independence approach for portfolio risk evaluation

• 29 Oct 2004

• Original research

On the usefulness of implied risk-neutral distributions – evidence from the Korean KOSPI 200 Index options market

• 17 Oct 2003

• Original research

Intra-day periodicity and long-run volatility in short sterling futures

• 21 Oct 2002

• Original research

Is implied volatility an informationally efficient and effective predictor of future volatility?

• 01 May 2002

• Original research

Insurance and reinsurance contracts as complex derivatives: Application to multiple peril policies

• 01 Jul 2001

• Original research

Closed-form solutions for option pricing in the presence of volatility smiles: a density-function approach

• 01 Apr 2001

• Original research

Vega risk and the smile

• 01 Jan 2001

• Original research

Risk management and reporting risk in the UK

• 01 Oct 2000

• Original research

Risk analysis and the NIG distribution

• 01 Jul 2000

• Original research

Predicting financial crashes using discrete scale invariance

• 01 Jul 1999

• Original research

Measuring risk with the Bodie put when stocks exhibit mean reversion

• 01 Apr 1999