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Implementing VaR by historical simulation

Nassigh, Aldo; Piazzetta, Andrea; Samaria, Ferdinando - In: New directions in mathematical finance, (pp. 141-151). 2002

Persistent link: https://www.econbiz.de/10001736570

Internal Default Risk Model : Simulation of Default Times And Recovery Rates within the New FRTB Framework

Bertagna, Andrea - 2018

This paper presents a new default risk model for market risk that is consistent with the requirements put forward by the Fundamental Review of the Trading Book. In particular, the model features correlated default times and stochastic recovery rates by exploiting the observed correlation between...

Persistent link: https://www.econbiz.de/10012924427

An internal default risk model : simulation of default times and recovery rates within the new fundamental review of the trading book framework

Bertagna, Andrea; Deliu, Dragos; Lopez, Luca; Nassigh, Aldo - In: Journal of risk 22 (2019/2020) 3, pp. 21-38

Persistent link: https://www.econbiz.de/10013177133

Transaction costs : a new point of view

Baviera, Roberto - In: International journal of theoretical and applied finance 4 (2001) 2, pp. 335-354

Persistent link: https://www.econbiz.de/10001578748

Bond market model

Baviera, Roberto - In: International journal of theoretical and applied finance 9 (2006) 4, pp. 577-596

Persistent link: https://www.econbiz.de/10003347391

The measure of model risk in credit capital requirements

Baviera, Roberto - In: Finance research letters 44 (2022), pp. 1-9

Persistent link: https://www.econbiz.de/10014494868

Optimal strategies for prudent investors

Baviera, Roberto (contributor) - In: International journal of theoretical and applied finance 1 (1998) 4, pp. 473-486

Persistent link: https://www.econbiz.de/10001255559

A note on dual-curve construction : Mr. Crab's bootstrap

Baviera, Roberto; Cassaro, Alessandro - In: Applied mathematical finance 22 (2015) 1/2, pp. 105-132

Persistent link: https://www.econbiz.de/10010505154

A note on CVA and wrong way risk

Baviera, Roberto; Bua, Gaetano La; Pellicioli, Paolo - In: International journal of financial engineering 3 (2016) 2, pp. 1-14

Persistent link: https://www.econbiz.de/10011577115

Stop-loss and leverage in optimal statistical arbitrage with an application to energy market

Baviera, Roberto; Santagostino Baldi, Tommaso - In: Energy economics 79 (2019), pp. 130-143

Persistent link: https://www.econbiz.de/10012172265