Risk Management

Authors and titles for recent submissions

[ total of 8 entries: 1-8 ]
[ showing up to 25 entries per page: fewer | more ]

Fri, 9 Jan 2009

[1]  arXiv:0901.1099 (cross-list from q-fin.PR) [pdf, other]
Title: Counterparty risk valuation for Energy-Commodities swaps: Impact of volatilities and correlation
Authors: Damiano Brigo, Kyriakos Chourdakis, Imane Bakkar
Subjects: Pricing of Securities (q-fin.PR); Risk Management (q-fin.RM)

Tue, 23 Dec 2008

[2]  arXiv:0812.4210 [ps, pdf, other]
Title: A Stochastic Processes Toolkit for Risk Management
Authors: Damiano Brigo, Antonio Dalessandro, Matthias Neugebauer, Fares Triki
Comments: Updated version accepted for publication in the Journal of Risk Management for Financial Institutions
Subjects: Risk Management (q-fin.RM)

Mon, 22 Dec 2008

[3]  arXiv:0812.3705 [ps, pdf, other]
Title: Bilateral counterparty risk valuation with stochastic dynamical models and application to Credit Default Swaps
Authors: Damiano Brigo, Agostino Capponi
Subjects: Risk Management (q-fin.RM); Pricing of Securities (q-fin.PR)

Mon, 15 Dec 2008

[4]  arXiv:0812.2449 [pdf]
Title: Market bubbles and crashes
Authors: T. Kaizoji, D. Sornette
Comments: 25 pages, long version of a shorter review written for the Encyclopedia of Quantitative Finance (Wiley) this http URL
Subjects: Risk Management (q-fin.RM); General Finance (q-fin.GN)

Thu, 25 Sep 2008

[5]  arXiv:0809.4372 [ps, pdf, other]
Title: Ruin probabilities under general investments and heavy-tailed claims
Authors: Henrik Hult, Filip Lindskog
Subjects: Risk Management (q-fin.RM); Probability (math.PR)
[6]  arXiv:0809.0241 [ps, pdf, other]
Title: Bayesian Analysis of Value-at-Risk with Product Partition Models
Authors: Bormetti Giacomo, Maria Elena De Giuli, Danilo Delpini, Claudia Tarantola
Comments: 36 pages, 6 figures and 4 tables
Subjects: Risk Management (q-fin.RM); Physics and Society (physics.soc-ph); Statistical Finance (q-fin.ST); Applications (stat.AP); Methodology (stat.ME)
[7]  arXiv:0809.1516 (cross-list from math.ST) [ps, pdf, other]
Title: Signal identification by SURE shrinkage of Gaussian paths
Authors: Nicolas Privault, Anthony Réveillac
Comments: Submitted to the Electronic Journal of Statistics (this http URL) by the Institute of Mathematical Statistics (this http URL)
Subjects: Statistics (math.ST); Risk Management (q-fin.RM)
[8]  arXiv:0809.1393 (cross-list from q-fin.CP) [ps, pdf, other]
Title: Graphical models for correlated defaults
Authors: I. Onur Filiz, Xin Guo, Jason Morton, Bernd Sturmfels
Comments: 30 pages, 16 figures
Subjects: Computational Finance (q-fin.CP); Probability (math.PR); Risk Management (q-fin.RM); Statistical Finance (q-fin.ST)
[ total of 8 entries: 1-8 ]
[ showing up to 25 entries per page: fewer | more ]