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Publications


Articles in Refereed Journals

  1. Meng, F., Saunders, D., and Seco, L., 2018, “The Myth of Hedge Fund Fee Diversification”, Forthcoming, Journal of Alternative Assets, 22 Pages. Download the Appendix here.
  2. Hardy, M., Saunders, D., and Zhu, X., 2018, “Valuation of a Bermudan Defined Benefit Underpin Hybrid Pension Benefit”, Forthcoming, Scandinavian Actuarial Journal, 35 Pages.
  3. Zhu, X., Hardy, M., and Saunders, D., 2018, “Liability Driven Dynamic Hedging Strategies for Cash Balance Pension Plans”, Forthcoming, ASTIN Bulletin, 31 Pages.
  4. Hardy, M., Saunders, D., and Zhang, S., 2018, “Updating Wilkie’s Economic Scenario Generator for U.S. Applications”, Forthcoming, North American Actuarial Journal, 30 Pages.
  5. Saunders, D., Tsui, L.K., and Iyengar, S., 2018, “Lower Tail Independence of Hitting Times of Two-Dimensional Diffusions”, Forthcoming, Probability in the Engineering and Informational Sciences, 21 Pages.
  6. Lin, H., Saunders, D., and Weng, C., “Optimal Investment Strategies for Participating Insurance Contracts”, Insurance: Mathematics and Economics, 73, 137-155.
  7. Hofert, M., Memartoluie, A., Saunders, D., and Wirjanto, T., 2017, “Improved Algorithms for Computing Worst Value-at-Risk”, Statistics and Risk Modeling, 34(1-2), 13-31.
  8. Memartoluie, A., Saunders, D., and Wirjanto, T., 2017, “Wrong-Way Risk Bounds in Counterparty Credit Risk Management”, Journal of Risk Management in Financial Institutions, 10(2), 150-163.
  9. Escobar, M., Krayzler, M., Ramsauer, F., Saunders, D., and Zagst, R., 2016, “Incorporation of Stochastic Policyholder Behavior in Analytical Pricing of GMABs and GMDBs”, Risks, 4(4), 31 Pages.
  10. Rosen, D., and Saunders, D., 2016, “Regress Under Stress: A Simple Least-Squares Method for Integrating Economic Scenarios with Risk Simulations”, Journal of Risk Management in Financial Institutions, 9(4), 391-412.
  11.  Hardy, M., Saunders, D., and Zhu, X., 2014, "Market-Consistent Valuation and Funding of Cash Balance Pensions", North American Actuarial Journal, 18(2), 294–314.
  12. Escobar, M., Mitterreiter, M., Saunders, D., Seco, L., and Zagst, R., 2013, "Market Crises and the 1/N Asset Allocation Strategy", Journal of Investment Strategies. 2(4), 83–107.
  13. Saunders, D., Seco, L., Vogt, C., and Zagst, R., 2013, "A Fund of Hedge Funds under Regime Switching", Journal of Alternative Investments, 15(4), 8–23.
  14. Marshall, C., Hardy, M., and Saunders, D., 2012, "Measuring the Effectiveness of Static Hedging Strategies for a Guaranteed Minimum Income Benefit", North American Actuarial Journal, 16(2), 143–182.
  15.  Rosen, D., and Saunders, D., 2012, "CVA the Wrong Way", Journal of Risk Management in Financial Institutions, 5(3), 252–272.
  16. Hernandez-Cortes, J., Saunders, D., and Seco, L., 2012, "Algorithmic Estimation of Risk Factors in Financial Markets with Stochastic Drift", Computers and Operations Research, 39(4), 820-828.
  17. Chen, X., Cheng, L., Chadam, J., and Saunders, D., 2011, "Existence and Uniqueness of the Solution to the Inverse Boundary Crossing Problem for Diffusions". Annals of Applied Probability, 21(5), 1663-1693.
  18. Nedeljkovic, J., Rosen, D., and Saunders, D., 2010, "Pricing and Hedging CLOs with Implied Factor Models", Journal of Credit Risk, 6(3).
  19. Garcia-Cespedes, J.C., de Juan Herrero, J.A., Rosen, D., and Saunders, D., 2010, "Effective Modelling of Wrong-Way Risk, CCR Capital and Alpha in Basel II", Journal of Risk Model Validation, 4(1), 71-98.
  20. Marshall, C., Hardy, M., and Saunders, D., 2010, "Valuation of a Guaranteed Minimum Income Benefit", North American Actuarial Journal, 14(1), 38-58.
  21.  Rosen, D., and Saunders, D., 2010, "Risk Contributions of Systematic Factors in Portfolio Credit Risk Models", Journal of Banking and Finance, 34(2), 336-349.
  22. Saunders, D., 2009, "Pricing Timer Options under Fast Mean-Reverting Stochastic Volatility". Canadian Applied Mathematics Quarterly, 17(4), 737-753.
  23. Rosen, D., and Saunders, D., 2009, "Valuing CDOs of Bespoke Portfolios with Implied Multi-Factor Models", Journal of Credit Risk, 5(3), 3-36.
  24. Rosen, D., and Saunders, D., 2009, "Analytical Methods for Hedging Systematic Credit Risk with Linear Factor Portfolios", Journal of Economic Dynamics and Control, 33(1), 37-52.
  25. Buckley, I., Saunders., D., and Seco, L., 2008, "Portfolio Optimization when Asset Returns Have the Gaussian Mixture Distribution", European Journal of Operational Research, 185(3), 1434-1461.
  26. Saunders, D., Xiouros, C., and Zenios, S., 2007, "Credit Risk Optimization Using Factor Models", Annals of Operations Research, 152(1), 49-77.
  27. Cheng, L., Chen, X., Chadam, J., and Saunders, D., 2006, "Analysis of an Inverse First Passage Problem from Risk Management”, SIAM Journal on Mathematical Analysis, 38(3), 845-873.
  28. Mausser, H., Saunders, D., and Seco, L., 2006, "Optimising Omega", Risk Magazine, November, 88-92.
  29. Ermentrout, B., and Saunders, D., 2006, "Phase Resetting and Coupling of Noisy Neural Oscillators", Journal of Computational Neuroscience, 20(2), 179-190.
  30. Consiglio, A., Saunders, D., and Zenios, S., 2006, "Asset and Liability Management for Insurance Products with Minimum Guarantees: The UK Case", Journal of Banking and Finance, 30(2), 645-667.
  31. Nerouppos, M., Saunders, D., Xiourous, C., and Zenios, S., 2006, "Risk Management in Emerging Markets: Practical Methodologies and Empirical Tests", Multinational Finance Journal, 10(3/4), 179-221.
  32. Consiglio, A., Saunders, D., and Zenios, S., 2003, "Insurance League: Italy vs. UK", Journal of Risk Finance, Summer, 47-54.
  33. Dembo, R., Rosen, D., and Saunders, D., 2000, "Valuation in Incomplete Markets: An Optimization Approach", Algo Research Quarterly, 3(2), 29–37.


Articles in Refereed Books

  1. Bhaduri, R., Djerroud, B., Meng, F., Saunders, D., Seco, L., and Shakourifar, M., 2018, “Fixed-Income Returns from Hedge Funds with Negative Fee Structures: Valuation and Risk Analysis”, Forthcoming in Innovations in Insurance, Risk, and Asset Management, 17 Pages.
  2. Djerroud, B., Saunders, D., Seco, L., and Shakourifar, M., 2016, “Pricing Shared-Loss Hedge Fund Fee Structures”, in Innovations in Derivatives Markets: Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation, edited by K. Glau, Z. Grbac, M. Scherer, and R. Zagst, pages 369-383.
  3. Rosen, D., and Saunders, D., 2014, "Re-Thinking CVA: Valuations, Counterparty Credit Risk, and Model Risk", in Counterparty Credit Risk Management, edited by E. Canabarro and M. Pykhtin, pages 183–227.
  4. Nedeljkovic, J., Rosen, D., and Saunders, D., 2011, "Valuation of Structured Finance Products with Implied Factor Models", in Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings and Liquidity, edited by T. Bielecki, D. Brigo and F. Patras, John Wiley & Sons.
  5. Rosen, D., and Saunders, D., 2011, "Credit Risk Contributions", in Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings and Liquidity, edited by T. Bielecki, D. Brigo, and F. Patras, John Wiley & Sons.
  6. Rosen, D., and Saunders, D., 2010, "Computing and Stress Testing Counterparty Credit Risk Capital", in Counterparty Credit Risk, edited by E. Canabarro, RiskBooks, pages 245–292.
  7. Rosen, D., and Saunders, D., 2010, "Economic Capital", Encyclopedia of Quantitative Finance, edited by R. Cont, John Wiley & Sons.