The extension of GARCH models to the multivariate setting has been fraught with difficulties. In this paper, we suggest to work with univariate portfolio GARCH models. We show how the multivariate dimension of the portfolio allocation problem may be recovered from the univariate approach. The...

The extension of GARCH models to the multivariate setting has been fraught with difficulties. In this paper, we suggest to work with univariate portfolio GARCH models. We show how the multivariate dimension of the portfolio allocation problem may be recovered from the univariate approach. The...

The extension of GARCH models to the multivariate setting has been fraught with difficulties. In this paper, we suggest to work with univariate portfolio GARCH models. We show how the multivariate dimension of the portfolio allocation problem may be recovered from the univariate approach. The...

In this paper we propose a proxy for the implied volatility of OTC equity derivatives. Our methodology rests on two pillars: (1) we exploit the information embedded in the price of the underlying asset by combining two measures of price volatility (2) we pool the stocks by sector in order to...

This article empirically faces the lively debate over the choice of an appropriate copula function to be used to price and risk monitor some credit derivatives products. We consider the explicit pricing of collateralized debt obligations and basket default swaps, and empirically examine these...

Basel 3 has incorporated valuation adjustment in calculations of regulatory capital for counterparty credit risk, introducing an important element for the pricing and risk management of derivatives portfolios. The use of an advanced or standardized Cva risk capital charge method depends on...