Internal LGD Estimation in Practice

1st October 2018 Editor 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 […]


Finformatics: How to Measure Really Small Things

20th August 2018 Editor 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 […]

WILMOTT Magazine

Wilmott Magazine: July 2018 issue

26th July 2018 Editor 0

Volume 2018, Issue 96. Pages 1–60   Every issue we bring you original material from some of the best columnists, educators and cutting-edge researchers. Subscribe here. In this issue: Bibliography “Contents,” Wilmott, vol. 2018, iss. 96, […]

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