Chris Kenyon, Andrew Green, Mourad Berrahoui
Potential Future Exposure (PFE) is a standard risk metric for managing business unit counterparty credit risk but there is debate on how it should be calculated. The debate has been whether to use one of many historical ("physical") measures (one per calibration setup), or one of many risk-neutral measures (one per numeraire). However, we argue that limits should be based on the bank's own risk appetite provided that this is consistent with regulatory backtesting and that whichever measure is us...
Quantitative mode stability for the wave equation on the Kerr-Newman spacetime
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Chainalysis: Geography of Cryptocurrency 2023
Periodicity in Cryptocurrency Volatility and Liquidity
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Simulation-based Bayesian inference with ameliorative learned summary statistics -- Part I