This paper studies the performance predictability of external fund rating systems. Most investors use 5 stars rated funds to build their portfolios. The underlying idea is that funds which were the best during the last three years will be better performers than the other funds in the future. It...

Hedge fund replication based on factor models is encountering growing interest. In this paper, we investigate the implications of substituting standard rolling windows regressions, which appear ad-hoc, with more efficient methodologies like the Kalman Filter. We show that the copycats...

In this paper, we use copulas to define multivariate risk - neutral distributions. We can then derive general pricing formulas for multi - asset options and best possible bounds with given volatility smiles. Finally, we then apply the copula framework to define 'forward-looking' indicators of...

In this paper, we review the use of copulas for multivariate survival modelling. In particular, we study properties of survival copulas and discuss the dependence measures associated to this construction. Then, we consider the problem of competing risks. We derive the distribution of the failure...

It is widely recognized that calibration on internal data may not suffice for computing an accurate capital charge against operational risk. However, pooling external and internal data lead to unacceptable capital charges as external data are generally skewed toward large losses. In a previous...

The Loss Distribution Approach has many appealing features since it is expected to be much more risk - sensitive than any other methods taken into consideration by the last proposals by the Basel Committee. Thus this approach is expected to provide significantly lower capital charges for banks...

In this paper, we explore the Loss Distribution Approach (LDA) for computing the capital charge of a bank for operational risk where LDA refers to statistical/actuarial methods for modelling the loss distribution. In this framework, the capital charge is calculated using a Value-at-Risk measure....

In this paper, we consider the use of interest rate contingent claims as indicators for the monetary policy. We analyze two approaches: one based on the term structure of zero bonds and another based on interest-rate option derivatives. We show how traditional tools based on the Black framework...

In this short note, we consider some problems of two - asset options pricing. In particular, we investigate the relationship between options prices and the 'correlation' parameter in the Black - Scholes model. Then, we consider the general case in the framework of the copula construction of risk...

In this paper, we consider Hopscotch methods for solving two - state financial models. We first derive a solution algorithm for two - dimensional partial differential equations with mixed boundary conditions. We then consider a number of financial applications including stochastic volatility...