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tail-risk protection, portfolio protection, extreme events, tail distributions, trading strategies
Monte Carlo simulation, variance reduction, Latin hypercube sampling, stratified sampling
Bonuses, excessive risk, screening, competition
model risk, parameter uncertainty, hedge error, value-at-risk, expected shortfall
Stress testing, risk management, correlation, normal variance mixture distribution, multivariate normal distribution, multivariate t-distribution
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stress testing, risk management, correlation, normal variance mixture distribution, multivariate normal distribution, multivariate t‐distribution
gap risk, credit spreads, credit dynamics, first passage time models, stochastic volatility, general Ornstein-Uhlenbeck processes
gap risk, credit spreads, credit dynamics, first passage time models, Levy processes, general Ornstein-Uhlenbeck process
static hedging, Levy processes, additive processes
Correlation Stress Testing, Scenario Selection, Market Risk, Correlation Risk, “London Whale”
financial risk management, credit portfolio modelling, stress testing, elliptic distribution, max-domain
Chinese government bond yields, Chinese offshore market, RMB, Hong Kong
Monte Carlo simulation, variance reduction, Latin hypercube sampling (with dependence), control variates, importance sampling, derivative pricing
Incentive compensation, screening, imperfect labor market competition, vertical differentiation, horizontal differentiation, risk aversion
correlation stress testing, scenario selection, credit risk management, 'London Whale'
Contract design, screening, stochastic control theory
Banking regulation and supervision, financial crisis, China
