Recent history reveals a series of rogue traders, jeopardizing their employers’ assets and reputation. There have been instances of unauthorized acting in concert between traders, their supervisors and/or firms’ decision makers and executives, resulting in collusive rogue trading. We explore...

The payoff of many credit derivatives depends on the level of credit spreads. In particular, credit derivatives with a leverage component are subject to gap risk, a risk associated with the occurrence of jumps in the underlying credit default swap spreads. In the framework of first passage time...