Nematrian Reference Library
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Set out below are suggested references for the Page you have come from. Alternatively, select category and sub-category to see a table of references, i.e. external material referred to by Nematrian website, relating to your choice (and in some cases hyperlinks to and/or abstracts or summaries of these references)
References and other external resources for: MarketConsistencyRefs
| Author(s) | Title |
| Abarbanel, H.D.I. and Brown, R., Sidorowich, J.J. and Tsimring, L.S. (1993) | The analysis of observed chaotic data in physical systems |
| Abramowitz, M. and Stegun, I. A. (1970) | Handbook of mathematical functions |
| Acharya, V.V. and Pedersen, L.H. (2005) | Asset pricing with liquidity risk |
| AFIC, BVCA and EVCA (2006) | International Private Equity And Venture Capital Valuation Guidelines, October 2006 edition |
| Amato, J. and Furfine, C. (2003) | Are credit ratings procyclical? |
| Artzner, P., Delbaen, F., Eber, J. and Heath, D. (1999) | Coherent measures of risk |
| ASB (2008) | Discussion Paper: The Financial Reporting of Pensions |
| Avellandeda M., Friedman C., Buff R, Granchamp N., Kruk L. and Newman J. (2001) | Weighted Monte Carlo: A New Technique for Calibrating Asset-Pricing Models |
| Bank of England (2008a) | Exceptional Fine-Tuning OMO |
| Bank of England (2008b) | Markets and operations |
| Bank of England (2008c) | Financial Stability Report, October 2008 |
| Bank of England (2008d) | Markets and operations |
| Baxter, M. and Rennie, A. (1996) | Financial Calculus: An introduction to derivative pricing |
| BCBS (1988) | Basel Committee: International convergence of capital measurement and capital standards |
| BCBS (1996) | Amendment to the capital accord to incorporate market risks |
| BCBS (1998) | Amendment to the Basel Capital Accord of July 1988 |
| BCBS (2006) | Basel II: International Convergence of Capital Measurement and Capital Standards: A Revised Framework – Comprehensive Version |
| BCBS (2008) | Principles for Sound Liquidity Risk Management and Supervision |
| Benford, J. and Nier, E. (2007) | Monitoring cyclicality of Basel II capital requirements |
| Billah, M.B., Hyndman, R.J. & Koehler, A.B. (2003) | Empirical information criteria for time series forecasting model selection |
| Black, F. and Scholes, M. (1973) | The pricing of options and corporate liabilities |
| Bookstaber, R.M. and McDonald, J.B. (1987) | A general distribution for describing security price returns |
| Booth, P.M. and Marcato, G. (2004) | The measurement and modelling of commercial real estate performance |
| Bouchard, J. (2008) | Economics needs a scientific revolution |
| Brunetti, C. and Caldarera, A. (2006) | Asset Prices and Asset Correlations in Illiquid Markets |
| Brunnermeier, M.K. (2009) | Deciphering the Liquidity and Credit Crunch 2007-09 |
| Campbell, S. D. (2006) | A review of backtesting and backtesting procedures |
| CAQ (2007a) | Measurement of Fair Value in Illiquid (or Less Liquid) Markets |
| CAQ (2007b) | Consolidation of Commercial Paper Conduits |
| CAQ (2007c) | Accounting for Underwriting and Loan Commitments |
| Cardinale, M., Katz, G., Kumar, J. and Orszag, J.M. (2006) | Background risk and pensions |
| CEIOPS (2007) | Solvency II QIS3 Technical Specifications Part 1 |
| CEIOPS (2007a) | Solvency II QIS4 Technical Specifications (draft) |
| CEIOPS (2008) | Technical Specifications QIS4 |
| CESR (2008) | Risk management principles for UCITS (Consultation Paper) |
| CFO Forum (2008a) | Market Consistent Embedded Value Principles |
| CFO Forum (2008b) | Market Consistent Embedded Values: Basis For Conclusions |
| Cheung, W. (2007a) | The Black-Litterman Model Explained (II) |
| Cheung, W. (2007b) | The Black-Litterman Model (III): Augmented for Factor-Based Portfolio Construction |
| Christensen, B.J. and Prabhala, N.R. (1998) | The relation between implied and realized volatility |
| Christoffersen, P. (1998) | Evaluating interval forecasts |
| Christoffersen, P. and Pelletier, D. (2004) | Backtesting value-at-risk: a duration-based approach |
| Cowling, C.A., Gordon, T.J. and Speed, C.A. (2004) | Funding defined benefit pension schemes |
| Creedon, S., Forrester, I., Jakhria, P., Kemp, M.H.D, Pelsser, A., Smith, A.D. and Wilson, D.C.E (2008) | Market Consistent Discounting |
| Cremers, M. and Weinbaum, D. (2007) | Deviations from Put-Call Parity and Stock Return Predictability |
| CRMPG-III (2008) | Containing Systemic Risk: The Road to Reform |
| CRO Forum (2008a) | Comments on QIS4 Draft Technical Specification |
| CRO Forum (2008b) | Addressing the pro-cyclical nature of Solvency II |
| Das, S.R., Ericsson, J. and Kalimipalli, M. (2003) | Liquidity and bond markets |
| Davidson, C. (2008) | Measuring liquidity risk |
| Davis, M.H.A, Panas, V.G and Zariphopoulou, T. (1993) | European option pricing with transaction costs |
| Derman, E. and Kani, I. (1998) | Stochastic implied trees: arbitrage pricing with stochastic term and strike structure |
| Deutsche Bank (2007) | Volatility Returns |
| Derman, E. and Kani, I. (1998) | Stochastic implied trees: arbitrage pricing with stochastic term and strike structure |
| Deutsche Bank (2007) | Volatility Returns |
| Dowd, K. (2006) | Backtesting market risk models in a standard normality framework |
| Duffie, D. (1992) | Dynamic asset pricing theory |
| Dupire, B. (1994) | Pricing with a smile |
| Dwyer, D. W. (2007) | The distribution of defaults and Bayesian model validation |
| Economist (2008) | Economics focus: Same as it ever was |
| Edelman, A. and Rao, N.R. (2005) | Random matrix theory |
| Elices & Gimenez (2006) | Weighted Monte Carlo |
| Emrich, S. and Crow, C. (2007) | Quant 2.0? |
| Escaffre, L., Foulquier, P. and Touron, P. (2008) | The Fair Value Controversy: Ignoring the Real Issue |
| European Commission (2007a) | ‘Solvency II’: Frequently Asked Questions (FAQs) |
| European Commission (2007b) | ‘Solvency II’: EU to take global lead in insurance regulation |
| Fabozzi, F.J., Focardi, S.M. and Jonas, C. (2008) | Challenges in Quantitative Equity Management |
| Financial News (2008) | BarCap backs Libor alternative |
| Financial Times (2008a) | Auditors apply extra scrutiny |
| Financial Times (2008b) | An unforgiving eye |
| Financial Times (2008c) | UK banking association looks at boosting Libor dollar products |
| Financial Times (2008d) | SEC aims to curb ratings dependency |
| Financial Times (2008e) | Banking regulator calls for clean slate |
| Financial Times (2008f) | Volkswagen driven to top spot by shock surge in its share price |
| Fisher, M. (2002) | Special Repo Rates: An Introduction |
| Frankland, R., Smith, A.D., Wilkins, T., Varnell, E., Holtham, A., Biffis, E., Eshun, S. and Dullaway, D. (2008) | Modelling extreme market events |
| FSA (2007) | Discussion Paper 07/7: Review of the liquidity requirements for banks and building societies |
| FSA (2008a) | Discussion Paper 08/4: Insurance Risk Management: The Path To Solvency II |
| FSA (2008b) | Consultation Paper 08/22: Strengthening liquidity standards |
| FSA (2008c) | Consultation Paper 08/24: Stress and scenario testing |
| Garcia, J., Goossens, S. and Schoutens, W. (2008) | Let’s jump together: pricing credit derivatives |
| Giamorridis, D. and Ntoula, I. (2007) | A comparison of alternative approaches for determining the downside risk of hedge fund strategies |
| Gordy, M. (2003) | A risk-factor foundation for risk-based capital rules |
| GPPC (2007) | Determining Fair Value of Financial Instruments under IFRS in Current Market Conditions |
| Hayes, B.T. (2007) | August 2007 Quantitative Equity Turbulence: An Unkown Unknown Becomes a Known Unknown |
| Heath, D., Jarrow, R.A. and Morton, A. (1992) | Bond pricing and the term structure of interest rates: a new methodology for contingent claims valuation |
| Heywood, G.C., Marsland, J.R. and Morrison, G.M. (2003) | Practical risk management for equity portfolio managers |
| Hodges, S.D. and Neuberger, A. (1989) | Optimal replication of contingent claims under transaction costs |
| Hosty, G.M., Groves, S.J., Murray, C.A. and Shah, M. (2007) | Pricing and risk capital in the equity release market |
| Hu, Z., Kerkhof, J., McCloud, P. and Wackertapp, J. (2006) | Cutting edges using domain integration |
| Hull, J.C. (2003) | Options, Futures and Other Derivatives |
| Hull, J.C. and White, A. (1998) | Incorporating volatility up-dating into the historical simulation method for VaR |
| Hurlin, C. and Tokpavi, S. (2006) | Backtesting value-at-risk accuracy: a simple new test |
| IAA (2008a) | Measurement of Liabilities for Insurance Contracts: Current Estimate and Risk Margins. Re-exposure draft |
| IAA (2008b) | A Note on Financial Economics |
| IASB (2007a) | Discussion Paper: Preliminary Views on Insurance Contracts. Part 1: Invitation to Comment and main text |
| IASB (2007b) | Discussion Paper: Preliminary Views on Insurance Contracts. Part 2: Appendices |
| IASB (2008) | Reclassification of Financial Assets. Amendments to IAS Financial Instruments: Recognition and Measurement and IFRS 7 Financial Instruments: Disclosure |
| IMA (2004) | Market timing: guidelines for managers of investment funds |
| Jarrow, R., Li, L., Mesler, M. and van Deventer, D. (2007) | The determinants of corporate credit spreads |
| Jaschke, S.R. (2002) | The Cornish-Fisher-Expansion in the Context of Delta-Gamma-Normal Approximations |
| Kashyap, A.K., Rajan, R.G. and Stein, J.C. (2008) | Rethinking Capital Regulation |
| Kemp, M.H.D. (1997) | Actuaries and derivatives |
| Kemp, M.H.D. (2005) | Risk Management in a Fair Valuation World |
| Kemp, M.H.D. (2007) | 130/30 Funds: Extending the alpha generating potential of long-only equity portfolios |
| Kemp, M.H.D. (2008a) | Efficient implementation of global equity ideas |
| Kemp, M.H.D. (2008b) | Enhancing alpha delivery via global equity extended alpha portfolios |
| Kemp, M.H.D. (2008c) | Efficient Alpha Capture in Socially Responsible Investment Portfolios |
| Kemp, M.H.D. (2008d) | Catering for the Fat-tailed Behaviour of Investment Returns: Improving on Skew, Kurtosis and the Cornish-Fisher Adjustment |
| Kemp, M.H.D, Cumberworth, M., Gardner, D., Griffiths, J., Rains, P. and Sandford, C. (2000) | Portfolio Risk Measurement and Reporting: An Overview for Pension Funds |
| Kent, J. and Morgan, E. (2008) | Dynamic Policyholder Behaviour |
| Kuenzi, D.E. (2005) | Variance swaps and non-constant vega |
| Kupiec, P. (1995) | Techniques for verifying the accuracy of risk management models |
| Ledlie, M.C., Corry, D.P., Finkelstein, G.S., Ritchie, A.J., Su, K. and Wilson, D.C.E. (2008) | Variable annuities |
| Lee, C.M.C., Shleifer, A. and Thaler, R.H. (1990) | Anomalies - closed-end mutual funds |
| Leippold, M. (2004) | Don’t rely on VaR |
| Liodakis, M., Dupleich-Ulloa, R. and Mesomeris, S. (2008) | Academic Research Digest |
| Litterman, R. and the Quantitative Resources Group, Goldman Sachs Asset Management (2003) | Modern Investment Management: An Equilibrium Approach |
| Longstaff, F.A. (2005) | Asset pricing in markets with illiquid assets |
| Longuin, F. (1993) | Booms and crashes: application of extreme value theory to the U.S. stock market |
| Lowenstein, R. (2001) | When Genius Failed: The Rise and Fall of Long-Term Capital Management |
| Mackay, C. (1841) | Extraordinary Popular Delusions and The Madness of Crowds |
| Malz, A. (2003) | Liquidity Risk: Current Research and Practice |
| Markowitz, H. (1952) | Portfolio selection |
| Mehta, S.J.B., Abbot, M.G., Addison, D.T., Dodhia, M., Hitchen, C.J., Oddie, A.J., Poulding, M.R. and Riddington, D.M. (1996) | The financial management of unit trust and investment companies |
| Merton, R.C. (1974) | On the pricing of corporate debt: The risk structure of interest rates |
| Neuberger, A. J. (1990) | Option pricing: a non-stochastic approach |
| Novy-Marx, R. (2004) | On the Excess Returns to Illiquidity |
| Overhaus, M., Bermúdez, A., Buehler, H., Ferraris, A., Jordinson, C. and Lamnourar, A. (2007) | Equity Hybrid Derivatives |
| Palin, J. (2002) | Agent based stock-market models: calibration issues and application |
| Palin, J., Silver, N., Slater, A. and Smith, A.D. (2008) | Complexity economics: Application and Relevance to Actuarial Work |
| Patel, C. (2008) | Pensions regulation: A bridge too far? |
| Patel, C. (2008) | Pensions regulation: A bridge too far? |
| PCAOB (2007) | Staff Audit Practice Alert No 2: Matters Related to Auditing Fair Value Measurements of Financial Instruments and the Use of Specialists |
| Peek, J., Reuss, A. and Scheuenstuhl, G. (2008) | Evaluating the Impact of Risk Based Funding Requirements on Pension Funds |
| Pena, V. H., de la, Rivera, R. Ruiz-Mata, J. (2006) | Quality control of risk measures: backtesting VAR models |
| Pengelly, M. (2008) | Sunk by correlation |
| Persaud, A, (2007) | The right direction for credit ratings agencies |
| Press, W. H., Teukolsky, S. A., Vetterling, W. T. and Flannery, B. P. (1992) | Numerical Recipes in C: The Art of Scientific Computing, 2nd ed. |
| Pykhtin, M. and Dev, A. (2002) | Analytical approach to credit risk modelling |
| Ren, Y., Madan, D. and Qian, M.Q. (2007) | Calibrating and pricing with embedded local volatility models |
| Roach (2008) | Add ‘financial stability’ to the Fed’s mandate |
| Rockinger, M. and Jondeau, E. (2002) | Entropy densities with an application to autoregressive conditional skewness and kurtosis |
| Rogers, L.C.G. and Williams, D. (1994) | Diffusions, Markov Processes and Martingales Vol I |
| Rogoff, K. and Reinhart, C. (2008) | Is the 2007 Sub-Prime Financial Crisis So Different? An International Historical Comparison |
| Rösch, D. and Scheule, H. (2007) | Stess-testing credit risk parameters: an application to retail loan portfolios |
| Rowe, D. (2005) | Whither stress testing? |
| Rubinstein(1996) | Implied binomial trees |
| Rule, D. (2008) | Time is nigh to rethink basis of floating rate debt |
| Scherer, B. (2007) | Portfolio Construction and Risk Budgeting |
| Sheldon, T. J. and Smith, A. D. (2004) | Market consistent valuation of life assurance business |
| Smith, A.D. (1995) | Recent developments |
| Smith, A.D. (2008) | Swap spreads - why have they become negative? |
| Soklakov, A. (2008) | Information derivatives |
| Stein, R. M. (2007) | Benchmarking default prediction models: pitfalls and remedies in model validation |
| Taleb, N.N. (2004) | Fooled by Randomness: The Hidden Role of Chance in Life and in the Markets |
| Taleb, N.N. (2007) | The Black Swan |
| Tasche, D. (2007) | Shortfall: a tail of two parts |
| The Times (2008) | Lehman’s demise triggers huge default as Fed bailout fears grow |
| Treacy and Carey (1998) | Credit risk rating at large US banks |
| Turner, A. (2009) | The financial crisis and the future of financial regulation |
| Vasicek, O. (1977) | An equilibrium characterization of the term structure. Journal of Financial Economics, 5, pp. 177-188 |
| Vetzal, K.R. (1994) | A survey of stochastic continuous time models of the term structure of interest rates |
| Webber, L. and Churm, R. (2007) | Decomposing corporate bond spreads |
| Whalley, A.E. and Wilmott, P. (1993) | An asymptotic analysis of the Davis, Panas and Zariphopoulou model for option pricing with transaction costs |
| Wilson, D.C.E. (2008) | (Il)liquidity Premium Estimation |
| Wood, D. (2008) | Correlation: Breaking down |
| Wüthrich, M.V., Bühlmann, H. and Furrer, H. (2007) | Market-Consistent Actuarial Valuation |
| Yetis, A. (2008) | The capital ratio conundrum |
| Zumbach, G. (2006) | Backtesting risk methodologies from one day to one year |
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