With several banks issuing substantial amounts of contingent convertible (“coco”) bonds since 2009 this paper is the first to analyse empirically the suitability of selected pricing models that have been proposed for this kind of instrument. The analysis of coco bond issues by major banks...

While machine learning and its many variants are becoming established tools in quantitative finance, their application in a risk measurement context is less developed. This paper uses a scheme from probability theory and statistics – Gaussian Processes – and applies the corresponding...

This article examines the issuer pricing of structured products during exchange trading in November 2001, comparing daily closing quotes of roughly 170 reverse convertibles and 740 discount certificates to values based on duplication strategies using call options traded on the Eurex (European...

This paper compares a range of alternative approaches to incorporate Initial Margins (IMs) in the modelling of counterparty credit risk exposures. With the rise of Central Counterparties to clear OTC derivatives and the incoming legislation requiring bilateral margining for uncleared derivatives...

Revised standards for capital requirements for market risks in a bank's trading book have been issued as a result of the Fundamental Review of the Trading Book. Under the new standards, default risk needs to be measured and capitalized through a dedicated Default Risk Charge (DRC). While...

The recent Fundamental Review of the Trading Book (FRTB) resulted in revised standards for capital requirements for market risks in a bank's trading book. As part of the ruleset, default risk needs to be measured and capitalized through a dedicated Default Risk Charge (DRC). With the DRC as an...

Computational challenges associated with calculating risk measures are inherent to many applications in financial institutions. An example is the need to revalue portfolios of trading positions hundreds or thousands of times to determine the future distribution of their present values and risk...

This paper is the first to study empirically the pricing of the Euro Stoxx 50 dividend futures, introduced at the Eurex (European Exchange) in mid-2008. These instruments are an easy means of obtaining exposure to the future dividends of the index constituents for hedging and speculation...