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Risk Analytics and Financial Engineering Research
Valuation of CDO-Squared
A Semi-Analytical Method for VaR and Credit Exposure Analysis
Annals of Operations Research
Optimising Omega
Techniques for Managing Tracking Error
Portfolio Analysis: Advanced Topics in Performance Measurement, Risk and Attribution
Actively Managing Tracking Error
This paper develops several simple diagnostic tools to help fund managers evaluate alternative trading strategies in terms of their potential for reducing tracking error.
Modelling Stochastic Counterparty Credit Exposures for Derivatives Portfolios
Calculating Quantile-Based Risk Analytics with L-Estimators
A Framework for Scenario Generation
Gen Lib: Introduction to Generators
Featured White Paper
Loss in Translation:
New approach for valuing synthetic collateralized debt obligations.
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