Celestijnenlaan 200 B
Leuven, B-3001
Belgium
KU Leuven - Department of Mathematics
SSRN RANKINGS
in Total Papers Downloads
in Total Papers Citations
Machine learning, Derivatives, Hedging, Implied volatility
contingent capital, CoCo bonds, extension risk, bail-in, additional Tier 1, Tier 2
Comonotonicity, herd behavior, systemic risk, correlation, VIX volatility index
Comonotonicity, systemic risk, correlation, VIX volatility index
G13, G18, G21, C15
Heston model, Starting values, Variance term structure matching
contingent convertibles, CoCo bonds, CET1, Core Equity Tier 1, PONV, Point of Non-Viability
Contingent Capital, Moral Hazard, Financial Regulation
hHeston, hedging, variance swaps, CDS, jump to default
Risk-Neutral, Probability of Default (PD), Credit Risk Premium, Real Economic Value (REV), Coverage Ratio
Wiener-Hopf factorization, Lévy processes, CoCo pricing, Monte-Carlo simulation
ESG, portfolio allocation, investment strategies, ESG ratings, greenhouse gas intensity
Liquidity, bid-ask pricing, conic finance
Contingent capital, conic finance, acceptability, distorted expectations, capital requirements
Optimal Debt, Bid Ask Price, Capital Requirements, Pricing to Acceptability
exceedances, extreme value theory, heavy tails, maxima
Variance Gamma, Local Levy, Barrier Pricing, Sato Process
SETAR, State-price density, Skew Brownian motion, Eigenfunction expansions, Interest rates, Market models
cryptocurrency, bitcoin, modelling, calibration
green bonds, reverse green bonds, sustainable investing
Default Probabilities, Levy Models, CDS pricing
calibration, moment matching, exponential Levy models
Contingent Capital, CoCo, Death Spiral
Contingent Convertibles, Credit Risk, Structural Approach, First Passage Times
Conic Finance, Bid and Ask Prices, Sato Process, Weibull Distribution
Acceptable Risks, Distorted Expectations, Bilateral Gamma Model, Escalator Elevator Metric
Financial Structured Product, CPPI, Asian Option, Optimal investment, Mean Variance, Markowitz, Lévy Process, Exponential tilting, CAPM, Esscher transform
CVA, DVA, conic finance, bid and ask pricing
basket options, characteristic function, implied correlation, Lévy market, Variance-Gamma
Nonlinear Expectations, Concave Distortions, Variance Gamma Process, Conic Finance
LCDX tranches, LCDS, loan-only credit default swap, credit risk, credit derivatives, one-factor model, base correlations, tranche pricing, recursive formula, Levy processes, default risk, prepayment risk, alpha-stable process, variance gamma process
CPPI, Levy, Variance Gamma, CDO, Credit Derivatives
Skew Brownian motion, Bessel processes, local time, spectral theory, perpetuities
comonotone, Sato process, variance gamma, Markov Martingale, variance swap
Levy processes,Credit risk, Default probability, Credit Default Swaps, Fourier-cosine expansion
Acceptable Risks, Probability Distortions, Variance Gamma Model
Entropy Maximization, Variance Gamma, Distorted Expectation, Measure Distortion, Skewness Premia
implied liquidity, conic finance, model sensitivity, pre-and post crisis liquidity
Contingent convertibles, extension rsk, call date
Implied correlation estimate, index option, vanilla option, implied volatility, VIX.
implied correlation estimate, index option, vanilla option, implied volatility, VIX
quantization, characteristic function, conic finance, option pricing, stochastic volatility, implied liquidity
Asset Return Modeling, Selfsimilarity and Scaling, Equilibrium Return Distributions, Equity Bias for Horizons, Long Horizon Risk Free Rates
Implied recovery rate, Absolute priority rule violation, Debt pricing, Recovery risk, Credit derivatives
comonotonic copula, independence, aggregate distribution, concordance order, positive quadrant dependence
comonotonic copula, independence, aggregate distribution, concordance order, positive
Self decomposable, Self Similarity, Sato Process, Bilateral Gamma Model, Multiplicative Mean Preserving Spread, Convex Order
This is a Risk Journals paper. Risk Journals charges $73.00 .
File name: SSRN-id4501082.pdf Size: 526K
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
self-decomposable law, self-similarity, Sato process, bilateral gamma model, multiplicative mean-preserving spread, convex order
contingent convertible bond, skin-in-the-game bond, sustainable finance, ESG, sustainable capital instrument
Capped Volatility Swaps, Pricing, Implied Volatility, Market-implied Moments, Gaussian Process Regression, Tree-based Machine Learning
File name: SSRN-id2790899.pdf Size: 509K
capital requirements, risk-weighted assets
non-additive probability; acceptable risks; nonlinear martingales; nonlinear expectation; measure distortions
comonotonicity, herd behavior, HIX, index options, market fear, model-free measures, VIX.
comonotonicity, herd behavior, HIX, index options, market fear, model-free measures, VIX
cancellation risk, bullet LCDS, LCDX, tranche pricing, marking-to-market, hedging, one-factor models, base correlation, L¿vy copulas, stochastic recovery
Probability Distortion, Measure Distortion, Self Decomposable Law, Variance Gamma Model
Static and Semi Static Hedging, Nonlinear Expectation, Variance Gamma Model, Distorted Expectation
Bilateral Gamma, Power Variation, Support Vector Machine Regression, Acceptability Index
Bilateral Gamma Process, Minmaxvar Distortion, Conic Portfolio Theory
Single sided Levy processes, Structural models, Credit risk, Default probability, Constant Maturity Credit Default Swaps, Monte Carlo methods
Contingent Capital, CoCo bonds, tail risk, climate risk, financial resilience, sustainability
Pricing density, Physical density, Stock models, Bilateral Gamma, Tilted Bilateral Gamma, Calibration, Risk premium, Call options, S\&P500, DAX
Single sided Levy processes, Structural models, Credit risk, Default probability, Credit Default Swaptions, Option pricing
CPPI, Conic Finance, Trading Strategy, distorted expectations
Probability Distortions, Measure Distortions, Gaussian Process Regression, Quantization, Acceptable Risk, Acceptability Index.
Independence, real-world probability measure, risk-neutral probability measure, financial risks, actuarial risks, insurance securitization
G21, G13, C15, C00
Agent-Based Modelling, Physical Risk, Supply Chain Shock Propagation, Ripple Effect, Default Risk
Measure Distortions, Backward Stochastic Partial Integro-Differential Equations, Bilateral Gamma Process, Risk Exposures, Risk Charges
Forward-looking, Bilateral Gamma, Tail Risk, Deep Learning
File name: SSRN-id3829891.pdf Size: 14293K
machine learning; regression trees; derivatives pricing; exotic options; computation time
CoCos, Contingent, Capital, Derivatives
contingent convertibles, CoCo bonds, new issuance
Structured Finance, Asset-Backed Securities, Rating, Default Models, Prepayment Models
Credit risk, CDOs-squared, collateralized debt obligations, correlation, copula, hedging
