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mean reversion, jump diffusion, stochastic process, drift, Black-Karasinski
Risk Measurement, Market Risk, Value-at-Risk, Expected Shortfall, Interpolation, Chebyshev
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File name: SSRN-id2943437.pdf
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banking regulation, risk modeling, market risk, Fundamental Review of the TradingBook (FRTB), default risk charge (DRC)
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $42.00 .
File name: eufm12015.pdf
incremental risk, IRC, comprehensive risk, CRM, basel 2.5
Risk Measurement, Market Risk, Value-at-Risk, Expected Shortfall, Machine Learning, Gaussian Process Regression
Banking Regulation, Market Risk, Model Risk, Fundamental Review of the Trading Book, Default Risk Charge
Initial Margin, Clearing, Bilateral Margining, Counterparty Risk, IMM
Banking Regulation; Risk Modeling; Market Risk; Fundamental Review of the Trading Book; Default Risk Charge
Contingent Capital, Convertible Bonds, Pricing, Solvency, Banking Regulation
derivatives, credit, correlation, counterparty risk
Dividends, derivatives, futures, swaps, European market
Reverse Convertible, Discount Certificate, Implied Volatility, Market Microstructure
Options, Copulas, Derivatives, Implied volatility, European market
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