3 citations · 3 across the 2 of their papers we have counts for
2 papers
q-fin.RM2020
Analytical scores for stress scenarios
Pierre Cohort, Jacopo Corbetta, Ismail Laachir
In this work, inspired by the Archer-Mouy-Selmi approach, we present two methodologies for scoring the stress test scenarios used by CCPs for sizing their Default Funds. These meth…
q-fin.CP2018★ 3 cited
Robust calibration and arbitrage-free interpolation of SSVI slices
Pierre Cohort, Jacopo Corbetta, Claude Martini +1
We describe a robust calibration algorithm of a set of SSVI slices (i.e. a set of 3 SSVI parameters attached to each option maturity available on the market), which grant…