This paper introduces the CORE methodology for managing risk of multi-market central-counterparties. CORE generalizes the classical SPAN method of stress scenarios by incorporating explicitly market liquidity of listed instruments and modeling the liquidity pro file of OTC instruments and the...

We introduce a model-free approach based on {\it excursions} of trading signals for analyzing the risk and return for a broad class of dynamic trading strategies, including pairs trading and other statistical arbitrage strategies. We propose a mathematical framework for the risk analysis of such...

We present a pathwise approach to continuous-time finance, based on causal functional calculus. Our framework does not rely on any probabilistic concept. We introduce a definition of continuous-time self-financing portfolios which does not rely on any integration concept and show that the value...

We undertake a systematic study of the univariate and multivariate properties of CDS spreads using the CDS spread time series of CDX Investment Grade index constituents from 2005 to 2009. We find that CDS spread returns appear to be stationary and exhibit positive autocorrelations,...

We propose a model of a financial market with multiple assets, which takes into account the impact of a large institutional investor rebalancing its positions, so as to maintain a fixed allocation in each asset. We show that feedback effects can lead to significant excess realized correlation...