• Backtesting Expected Shortfall

In this work we study four test statistics used to backtest the Expected Shortfall (ES), from both a theoretical and practical point of view and eventually give some advice for CCPs in search of a good backtest for ES.

              December 2020

  • Analytical scores for stress scenarios

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 methodologies can be used by risk managers to compare different sets of scenarios and could be particularly useful when evaluating the relevance of adding new scenarios to a pre-existing set.

              July 2020

  • The default loss allocation by a Central Counterparty clearing house (CCP)

This whitepaper provides an insight on the way Central Counterparty clearing houses (CCPs) allocate the losses due to the default of a clearing member (CM) to the surviving members, by investigating the public documents specifying the default rules for four CCPs: SwapClear (LCH Ltd), Eurex IR Derivatives (Eurex), OTCC (HKEx) and ICE Singapore (ICE).

              April 2018

  • Robust calibration and arbitrage-free interpolation of SSVI slices

This whitepaper provides an arbitrage free calibration and interpolation of the Surface Stochastic Volatility Inspired (SSVI) parametrization of the implied volatility surface. Building upon the time-dependent correlation eSSVI model, a quick and robust calibration of volatility slices is designed, which guarantees no Butterfly and no Calendar Spread Arbitrage. Moreover the most natural interpolation/extrapolation scheme of the calibrated parameters is shown to preserve the absence of arbitrage. The calibration accuracy is excellent beyond 6 months and close to the ATM by construction. This is likely to be the quickest and easiest to implement algorithm available to get a volatility surface with no arbitrage.

             March 2018

  • New Frontiers in Model Calibration

Zeliade has a new White Paper on the new trends in the art and science of model calibration

             March 2012

  • Quasi-Explicit Calibration of Gatheral’s SVI model

Implied Volatility models have became very popular. The Zeliade Quant Team has a new calibration algorithm for Gatheral’s SVI model: Quasi-Explicit Calibration of Gatheral’s SVI model.

              February 2012

  • Heston 2010

The Zeliade Quant Team reports on recent advances in the Heston model of stochastic volatility: Heston 2009

             March 2011

  • Model Validation: theory, practice and perspectives

Zeliade has a new White Paper on Model Validation: « Model Validation: theory, practice and perspectives » , co-authored with Patrick Henaff, who leads the Euclide project at Telecom Bretagne and former Head of Quant Commos at Merrill-Lynch.

             May 2011

  • CDOs: How far should we depart from Gaussian copulas ?

The Zeliade Quant Team reports on its research on the mechanisms underlying the subprime crisis. The report highlights the importance of high correlation regimes and systemic risks and contagion, in the context of the liquid index tranches but also for European Prime RMBS and SME securitizations. The results in the report have been presented at the 2008 International Financial Research Forum, Paris, March 27-28.

             May 2009

  • Zeliade Credit Analytics Library : Tranche Pricing Algorithm

This whitepaper provides insights on the Zeliade Tranche Pricing Algorithm, which relies on an enhanced Saddle-Point method, and is both very accurate and exceptionally fast. This allows a full tranched index calibration within a minute on a standard laptop. It also dramatically reduces the time needed for portfolio selection algorithms, hedge and VaR simulation or historical backtests which thus become feasible.

            November 2005

  • Credit Index Calibration : How do Models Perform ?

This whitepaper contains a comparative analysis of calibrations performed on Credit Index tranches (ItraxxS35Y, 22 Mar.2005 to 22 Apr. 2005) with three models:

  • the one-factor Gaussian copula (OGC) model,

  • the Andersen/Sidenius or Random Factor Loadings (RFL) model and

  • an enhanced Random Factor Loadings model. In the remainder of this document, this enhanced RFL model is referred to as the Zeliade model.

             November 2005