In its October 2013's consultative paper for a revised market risk framework (FRTB), and subsequent versions published thereafter, the Basel Committee suggests that non-securitization credit positions in the trading book be subject to a separate Default Risk Charge (DRC, formally Incremental...

This paper constructs a model for the evolution of a risky security that is consistent with a set of observed call option prices. It explicitly treats the fact that only a discrete data set can be observed in practice. The framework is general and allows for state dependent volatility and jumps....

[fre] L'enquête Emploi du temps (EDT), dans sa version 1998-1999, a été élaborée par l'Insee avec la collaboration scientifique et financière de la Dares et du Commissariat général du Plan. Quatrième d'une série initiée en 1967, cette enquête s'appuie sur une méthode de collecte...

This paper constructs a model for the evolution of a risky security that is consistent with a set of observed call option prices. It explicitly treats the fact that only a discrete data set can be observed in practice. The framework is general and allows for state dependent volatility and jumps....