Elena A. Medova

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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)
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 swap (EDS), which is the subject of this paper. Structural credit models allow the simultaneous modelling of a firm’s credit quality and equity value, making them a(More)
We discuss the general optimization problem of choosing a copula with minimum entropy relative to a specified copula and a computationally intensive procedure to solve its dual. These techniques are applied to constructing an empirical copula for CDO tranche pricing. The empirical copula is chosen to be as close as possible to the industry standard Gaussian(More)
This paper introduces the use of dynamic stochastic optimisation pension fund management. The design of such products involves econometric modelling, economic scenario generation, generic methods of solving optimization problems and modelling of required risk tolerances. In nearly all the historical backtests using data over roughly the past decade the(More)
This paper investigates the valuation and hedging of spread options on two commodity prices which in the long run are cointegrated. For long term option pricing the spread between the two prices should therefore be modelled directly. This approach offers significant advantages relative to the traditional multi-factor spread option pricing model since the(More)
Crude oil price volatility has a significant impact on the planning decisions and budgets of oil companies. Taking account of such major activities as supply, storage, transformation and transportation together with trading on the commodity markets, we investigate the influence of random prices and demands. Such problems may be formulated as dynamic(More)
  • E A Medova, M I Rietbergen, +4 authors Research Support Manager
  • 2005
This paper presents a three-factor model of the term structure of interest rates, which is Markov and time-homogeneous. We provide a thorough analysis of the estimation procedure using the Kalman filter on EU swap yield data from 1997 to 2002. The model allows for a closed-form bond price formula and can capture the salient features of the whole term(More)