N. Packham

Available identifiers

Publication	Date of Publication	Type
Risk factor aggregation and stress testing	2025-01-06	Paper
Hedging cryptocurrency options	2024-03-19	Paper
Hedging cryptos with Bitcoin futures	2023-06-20	Paper
Tail-risk protection trading strategies	2018-11-19	Paper
Model risk of contingent claims	2018-11-14	Paper
Competition, Bonuses, and Risk-taking in the Banking Industry*	2018-11-02	Paper
Optimal contracts under competition when uncertainty from adverse selection and moral hazard are present	2018-06-14	Paper
Asymptotic behaviour of multivariate default probabilities and default correlations under stress	2016-04-29	Paper
Static hedging under maturity mismatch	2015-08-04	Paper
CORRELATION UNDER STRESS IN NORMAL VARIANCE MIXTURE MODELS	2015-04-24	Paper
Latin hypercube sampling with dependence and applications in finance	2014-04-23	Paper
Credit gap risk in a first passage time model with jumps	2014-03-04	Paper
A Markov approach to credit rating migration conditional on economic states	N/A	Paper

This page was built for person: N. Packham