Sorry, you need to enable JavaScript to visit this website.

Open Filter

Listing Thumbnail

Internal LGD Estimation in Practice

Peter Glößner, Achim Steinbauer, Vesselka Ivanova discuss loss given default (LGD) in this article.

Peter Glößner, Achim Steinbauer, Vesselka Ivanova
Thu 17 Nov 2022
Crash models
Listing Thumbnail

Can anyone solve the smile problem?

In this paper, the authors explore whether the smile problem can be solved and provide a general reflection of the problem. 

Elie Ayache, Philippe Henrotte, Sonia Nassar and Xuewen Wang
Tue 31 May 2022
Crash models, Option pricing
Listing Thumbnail

Stock Market Crashes in 2007 - 2009: Were We Able to Predict Them?

In this article, Sebastien Lleo and William T. Ziemba investigate the stock market crashes in China, Iceland and the US in the 2007 - 2009 period.

Sebastien Lleo and William T. Ziemba
Mon 27 Mar 2017
Crash models
Listing Thumbnail

A Tale of Two Indexes Predicting Equity Market Downturns in China

Sebastien Lleo and William T. Ziemba investigate whether traditional crash predictors, predicts crashes for the Shanghai Stock Exchange Composite Index and the Shenzhen Stock Exchange Composite Index.

Sebastien Lleo and William T. Ziemba
Mon 20 Mar 2017
Crash models, Trading