This paper focusses on the dynamics of the correlations between commodities and Islamic indexes.
Lundin and Satchell present a non-linear asymmetric dependance method among two assets
The issue’s first paper looks at methodologies to measure spillover risks in European sovereign bond markets in the period 2004-15. Our second paper investigates European bond markets. Our final paper in this issue offers a promising new avenue of investigation...
This paper develops methodologies to measure spillover risks in European sovereign bond markets in the period 2004–15.
Valer Zetocha introduces a correlation model based on the Jacobi process with jumps
This paper provides a theoretical justification as to why investment firms typically set less strict stop-out rules for PMs with higher Sharpe ratios.
This paper focuses on the distribution of correlations among aggregate operational risk losses.
Clients face wider bid/offer spreads, as dealers struggle to find liquid hedges
Jacky Lee and Luca Capriotti present an arbitrage-free valuation method for counterparty exposure of credit derivates portfolios.
Banks round on one-size-fits-all rules for market, credit and op risk
Tail-risk skewness, rather than volatility, is correlated with risk premiums
Managed deals could be next, but market's potential is expected to be limited
Counterparty correlations are no substitute for due diligence, argues Kaminski
Active deals seen as “the next step” after last year’s revival of static CDOs
Two ubiquitous risk analytics are easily and often misunderstood
How much margin is missing in sovereign swaps? The stress test had the answer
EU stress tests showed €34.5 billion notional legacy book
Models that describe wrong-way risk should move away from simplistic copula models, critics say.
Rise in single stock uridashi issuance drives trade
When correlation is low, hedge fund investors are "simply wrong" to use beta