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Some practical issues in FX and Equity derivatives:
examines actual problems faced in hedging and managing volatility risk. |
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The main risk of an FX portfolio:
presents an analysis of the main sources of risks for an FX options’ portfolio and suggests a possible approach to calculate the VAR including the smile. |
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The Volatility surface:
a quick review of the market conventions to represent the smile and of interpolation schemes among strikes and maturities. Some general criteria to build a smile are provided. |
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Basel II Second Pillar:
an Analytical VaR with Contagion and Sectorial Risks: This paper deals with the effects of concentration (single name and sectorial)and contagion risk on credit portfolios. Results are obtained for the value at risk of the portfolio loss distribution, in the analytical framework originally developed by Vasicek in 1991. |
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Analytical Credit VaR with Stochastic Probabilities of Default and Recoveries: This paper extends the work Basel II Second Pillar: an Analytical VaR with Contagion and Sectoral Risks by introducing a multi-scenario framework that allows for a richer and more realistic specification, including non-static (stochastic) probabilities of default and losses given default. Though more complex from a computational point of view, the model with scenarios is still tractable analytically, yielding results in closed form expressions.
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| Crevar presentation: This a brief introduction to our solution to calculate and manage the credit VaR of a financial institution. |
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