10 citations · 11 across the 6 of their papers we have counts for
7 papers
X-Value adjustments: accounting versus economic management perspectives
Alberto Elices
This paper provides a mathematical framework based on the principle of invariance to classify institutions in two paradigms according to the way in which credit, debit and funding…
A heuristic pricing and hedging framework for multi-currency fixed income desks
Eduard Giménez, Alberto Elices, Giovanna Villani
It is well known that traded foreign exchange forwards and cross currency swaps (CCS) cannot be priced applying overnight cash and carry arguments as they imply absence of funding…
The role of the Model Validation function to manage and mitigate model risk
Alberto Elices
This paper describes the current taxonomy of model risk, ways for its mitigation and management and the importance of the model validation function in collaboration with other depa…
Weighted Monte Carlo: Calibrating the Smile and Preserving Martingale Condition
Alberto Elices, Eduard Giménez
Weighted Monte Carlo prices exotic options calibrating the probabilities of previously generated paths by a regular Monte Carlo to fit a set of option premiums. When only vanilla c…
Applying hedging strategies to estimate model risk and provision calculation
Alberto Elices, Eduard Giménez
This paper introduces a relative model risk measure of a product priced with a given model, with respect to another reference model for which the market is assumed to be driven. Th…
Perturbed Copula: Introducing the skew effect in the co-dependence
Alberto Elices, Jean-Pierre Fouque
Gaussian copulas are widely used in the industry to correlate two random variables when there is no prior knowledge about the co-dependence between them. The perturbed Gaussian cop…