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q-fin.RM2018
Vanna-Volga Method for Normal Volatilities
Volodymyr Perederiy
Vanna-Volga is a popular method for the interpolation/extrapolation of volatility smiles. The technique is widely used in the FX markets context, due to its ability to consistently…
q-fin.RM2017
Sparse Structural Approach for Rating Transitions
Volodymyr Perederiy
In banking practice, rating transition matrices have become the standard approach of deriving multi-year probabilities of default (PDs) from one-year PDs, the latter normally being…
q-fin.RM2015★ 1 cited
Endogenous Derivation and Forecast of Lifetime PDs
Volodymyr Perederiy
This paper proposes a simple technical approach for the analytical derivation of Point-in-Time PD (probability of default) forecasts, with minimal data requirements. The inputs req…