Elena A. Medova

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Dynamic financial analysis (DFA) is a technique which uses Monte Carlo simulation to investigate the evolution over time of financial models of funds, complex liabilities and entire firms. Although of increasing popularity, the drawback of DFA is the dearth of systematic methods for optimising model parameters for strategic financial planning. This paper(More)
They are circulated for discussion purposes only. Their contents should be considered preliminary and are not to be quoted without the authors' permission. Abstract We discuss the general optimization problem of choosing a copula with minimum entropy relative to a specified copula and a computation-ally intensive procedure to solve its dual. These(More)
The papers are circulated for discussion purposes only. Their contents should be considered preliminary and are not to be quoted without the authors' permission. Abstract: In early 2004, new equity-credit hybrid derivatives that offered a larger spread than vanilla credit default swaps were developed. At the centre of this development was the equity default(More)
Operational risk is defined as a consequence of critical contingencies most of which are quantitative in nature and many questions regarding economic capital allocation for operational risk continue to be open. Existing quantitative models that compute the value at risk for market and credit risk do not take into account operational risk. They also make(More)
The papers are circulated for discussion purposes only. Their contents should be considered preliminary and are not to be quoted without the authors' permission. Abstract. This paper introduces the use of dynamic stochastic optimisation pension fund management. The design of such products involves econometric modelling, economic scenario generation, generic(More)
The papers are circulated for discussion purposes only. Their contents should be considered preliminary and are not to be quoted without the authors' permission. Abstract: Risk management has often consisted of managing different types of risk separately as a consequence of the traditional internal bank organisation by asset class groups. However, the(More)
These papers are produced by Judge Business School, University of Cambridge. They are circulated for discussion purposes only. Their contents should be considered preliminary and are not to be quoted without the authors' permission. Abstract This paper investigates the valuation and hedging of spread options on two commodity prices which in the long run are(More)