Riccardo Rebonato

Royal Bank of Scotland

No Address Available

SCHOLARLY PAPERS

4

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CITATIONS

1

Scholarly Papers (4)

What Interest Rate Models to Use? Buy Side Versus Sell Side

Number of pages: 23 Posted: 12 Dec 2010 Last Revised: 18 Jun 2011
Sanjay K. Nawalkha and Riccardo Rebonato
University of Massachusetts Amherst - Isenberg School of Management and Royal Bank of Scotland
Downloads 897 (20,302)
Citation 1

Abstract:

Interest rate models, affine, quadratic, LMM, SABR, caps, swaptions

What Interest Rate Models to Use? Buy Side Versus Sell Side

Journal Of Investment Management (JOIM), Third Quarter 2011
Posted: 24 Aug 2011
Sanjay K. Nawalkha and Riccardo Rebonato
University of Massachusetts Amherst - Isenberg School of Management and Royal Bank of Scotland

Abstract:

LMM-SABR model, interest rate models, affine models, quadratic models, caps, swaptions

2.

Coherent Asset Allocation and Diversification in the Presence of Stress Events

Journal of Investment Management, 10, 4, 2012
Number of pages: 36 Posted: 28 Apr 2011 Last Revised: 06 May 2013
Riccardo Rebonato and Alexander Denev
Royal Bank of Scotland and IHS Markit
Downloads 322 (53,643)

Abstract:

3.

A Bayesian Approach to Stress Testing and Scenario Analysis

Journal of Investment Management, Third Quarter, 2010
Posted: 26 Oct 2010
Riccardo Rebonato
Royal Bank of Scotland

Abstract:

Stress testing, Bayesian nets, causality, diversification, Linear Programming

4.

Evolving Yield Curves in the Real-World Measures: A Semi-Parametric Approach

Journal of Risk, Vol. 7, No. 3, pp. 29-62, Spring 2005
Posted: 25 Apr 2005
Royal Bank of Scotland, Royal Bank of Scotland, University of Melbourne - Centre for Actuarial Studies, Independent and European Central Bank (ECB) - Risk Management Division

Abstract:

Yield curve, semi-parametric, eigenvalues, eigenvectors