13 citations · 13 across the 1 of their papers we have counts for
2 papers
q-fin.PR2021
Hedging Cryptocurrency Options
Jovanka Lili Matic, Natalie Packham, Wolfgang Karl Härdle
The cryptocurrency market is volatile, non-stationary and non-continuous. Together with liquid derivatives markets, this poses a unique opportunity to study risk management, especi…
q-fin.RM2018★ 13 cited
A factor-model approach for correlation scenarios and correlation stress-testing
Natalie Packham, Fabian Woebbeking
In 2012, JPMorgan accumulated a USD~6.2 billion loss on a credit derivatives portfolio, the so-called `London Whale', partly as a consequence of de-correlations of non-perfectly co…