|
 Quantitative Models
|
 |
[2006-12-15] Operational Risk: Management, Modelling & Basel II – Advanced Measurement Approaches (AMA) |
|
Financial Engineering
|
|
[2010-03-22] Pricing Multi-Asset/ Basket-Referenced Derivatives via Copulas |
|
"Quant Talk" Series
|
|
[Talk 7 // 2010-10-28 // Poomjai Nacaskul] "Operational Risk Model Framework - the (Missing?) Heart of Basel II Advanced Measurement Approach (AMA)" |
|
[Talk 6 // 2010-06-05 // Poomjai Nacaskul] "Which Bank is the 'Central' Bank?" - Network Model of Systemic Risk for Macroprudential Surveillance" |
|
[Talk 5 // 2010-02-26 // Poomjai Nacaskul] "'Gaussian Slug' Copula and Goodness-of-Fit (GoF) Tests on US and Thai Equity Data" |
|
[Talk 4 // 2010-01-22 // Poomjai Nacaskul] "Relative Numeraire Risk (RNR) and Reserves Management" |
|
[Talk 3 // 2008-12-19 // Songklod Rastapana] "1. Volatility Surface Modelling: from Derman-Kani to Heston's and SABR model" และ "2. Volatility Surface Trading: from Options-Hedged Portfolio, to Variance Swaps and VIX Index Strategies" |
|
[Talk 2 // 2007-12-25 // Pathomrat Tokadilok] "Iterative Method for Pricing CDX-Based CDO with a Stepped Default Intensities Calibrated from CDS Data" |
|
[Talk 1 // 2007-10-26 // Songklod Rastapana] "MatLab Implementation of the Derman-Kani Implied-Tree Method for Modelling Volatility Smile 'Locally'" |
Synopses, Selected Papers on Quantitative Models & Financial Engineering |
|
[2009-01-28] Synopsis  Tarashev, N. & Zhu, H. (2008), "Specification and Calibration Errors in Measures of Portfolio Credit Risk: The Case of the ASRF Model", International Journal of Central Banking, vol. 4, no. 2 (June), pp. 129-173 (External link to article) |
|
[2009-02-06] Synopsis Jackel, P. & Rebonato, R. (2000), "Linking Caplet and Swaption Volatilities in a BGM/J Framework: Approximate Solutions" (External link to article) |
|
[2009-02-25] Synopsis Pluto, K. & Tasche, D. (2005), "Estimating Probabilities of Default for Low Default Portfolios" (External link to article) |
|
[2009-03-10] Synopsis Kishimoto, Manabu (2008),"On the Black-Scholes Equation: Various Derivations" (External link to article)
|
|
[2009-03-20] Synopsis Cai, Jun (2004), "Cramer-Lundberg Asymptotics", Encyclopedia of Actuarial Science, John Wiley & Sons (External link to article) |
|
[2009-04-02] Synopsis Chan-Lau, et al. (2009), "Assessing the Systemic Implications of Financial Linkages", Chapter II of the Global Financial Stability Report, IMF Monetary and Capital Markets Department (External link to article)
|
Research/Publication/Presentation |