Internal LGD Estimation in Practice

1st October 2018 admin 0

Driven by a competitive market and motivated by the new Basel Capital Accord (Basel II), banks have put a lot of effort into development and improvement of their methods to assess the  creditworthiness of their […]

Wilmott Inner Circle

The Irony in the Variance Swaps

26th September 2018 admin 0

Irony, according to the Oxford English Dictionary, is (a) a figure of speech in which the intended meaning is the opposite of that expressed by the words used (b) a condition of affairs or events […]

Wilmott Inner Circle

Inefficient Markets

12th September 2018 admin 0

The “crash of ’87” was the most extreme stock market price jump of the twentieth century. The S&P 500 Index fell over 20 per cent in one trading day, measured by the change in closing […]


Finformatics: How to Measure Really Small Things

20th August 2018 admin 0

Traders in financial assets implicitly compare the trading price to the stream of dividends the assets stand to generate. Clearly, a key determinant of value—usually the key determinant— will be the long-term drift or rate […]


A VaR-based Model for the Yield Curve

6th August 2018 Editor 0

An intuitive model for the yield curve, based on the notion of value-at-risk, is presented. It leads to interest rates that hedge against potential losses incurred from holding an underlying risky security until maturity. This […]

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