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
Correlation sensitivity in multi-asset structured products explained
Fears relationship between credit indexes and constituents becoming more tenuous
The Basel Committee on Banking Supervision has introduced strict regulatory guidance on how to validate and backtest internal model methods for credit exposure. Fabrizio Anfuso, Dimitrios Karyampas and Andreas Nawroth incorporate these guidelines into...
Trading and pricing correlation for structured products
Research decouples risk components
Regulators require banks to use an internal model to compute a capital charge for operational risk, which is thought to be sensitive to assumptions on dependence between losses that still remain a matter of debate. Vivien Brunel proposes an analytical...
New analysis shows CDOs can withstand high levels of correlation – what they can’t cope with, though, is a sudden change in risk appetite
Idea that bank retreat loosens correlation ‘doesn’t make any sense’
Living la vida local
Equity-linked underlyings moving to Euro Stoxx 50
When volatility and correlations spike together, portfolio managers should simulate realistic stresses and be prepared to deal with the additional risks, warns Investor Analytics
Emphasise the positive
The DGAM Unique Strategies, named best specialist fund of hedge funds over three years at the Americas Awards 2013, seeks real diversification in complex and unusual hedge fund strategies
SABR spreads its wings
Rethinking risk and return
A fall in asset-to-asset correlations could mean a good year for many hedge fund strategies, even though volatility is expected to remain relatively low, according to research from Axioma