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Robust and Stable Capital Allocation: Wilmott Magazine Article
Bernd Appasamy, Anne Kleppe, Christian Oehler 285 Views

Capital allocation of credit risk is one of the key concepts of modern value based bank management. In order to conduct business decisions according to some risk-reward relationship the reliability of capital allocation figures on transaction level is most critical. Conventional allocation techniques like volatility contributions or credit value at risk (CVaR) are either non-coherent or fail to achieve the numerical stability needed for bank management decisions

Pricing CMS Spread Options and Digital CMS Spread Options with Smile: Wilmott Magazine Article
Mourad Berrahoui 3854 Views

This document deals with the smile of spread options in the Black framework. The price of spread options is sensitive to the entire smile of both underlyings. The classical approach uses the Black model without smile. For each underlying, the corresponding at-the-money volatility is taken. This approach ignores the effect of the smile and this is even more of a problem when we deal with digital options, as in this case there is a smile effect caused directly by the slope of the smile.

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