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Grid Monte Carlo in Portfolio CVA Valuation

This article proposes and discusses an efficient numerical technique, Grid Monte Carlo (GMC), for the risk-neutral valuation of portfolio CVA.

Dong Qu and Dingqui Zhu
Thu 14 Dec 2023
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An Introduction to the Generalized Marginal Risk

In this paper, the authors present the concept of generalized marginal risk.

David Ardia and Simon Keel
Fri 22 Sep 2023
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Hedging under SABR Model

This article takes a fresh look at the delta and vega risks within the SABR stochastic volatility model Hagan et al. (2002).

Bruce Bartlett
Tue 21 Feb 2023
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A Day in the Life of a Quantitative Portfolio Manager

CQF alumnus, Michael Althof gave a recent talk on ‘A Day in the Life of a Portfolio Manager’ – discover what he had to say about this career.

CQF Institute
Fri 7 Oct 2022
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The Chemistry of Contagious Defaults

In this article, the authors have obtained a dynamical Markovian model of default interactions that describes portfolio’s dynamics endogenously through the mechanism of chemical reactions.

Vlad Putyatin and Svetlana Maslova
Thu 1 Sep 2022
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Swaptions: 1 Price, 10 Deltas, and … 61/2 Gammas*

This article compares simple risk measures (first and second order sensitivity to the underlying yield curve) for simple instruments (swaptions).

Marc Henrard
Thu 1 Sep 2022
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A Markovian Model of Default Interactions: Comments and Extensions

This article analyses Davis and Lo (2001b) enhanced risk model, which is a dynamic version of the popular market model of infectious defaults of Davis and Lo (2001a).

Vladyslav Putyatin, David Prieul, Svetlana Maslova
Thu 1 Sep 2022
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Forecasting the Yield Curve with S-Plus

In this paper, Dario Cziráky, shows how to implement the Nelson-Siegel and Svensson models using non-linear least squares and how to obtain standard errors and confidence intervals for the parameters, which proves to be useful in assessing the goodness-of-fit at specific points in the term structure, such as at the events of non-parallel shifts.

Dario Cziráky
Fri 4 Mar 2022
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Rootless Vol

Kent Osband discusses the Brownian motion in this Wilmott article.

Kent Osband
Tue 1 Feb 2022
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Building Your Wings on the Way Down

Aaron Brown discusses financial risk in this article from Wilmott Magazine.

Aaron Brown
Tue 4 Jan 2022