Delta risk
Analytical risk contributions for non-linear portfolios
Original headline:
Source: Risk magazine
The value-at-risk of portfolios needs to account for non-linear effects in the loss distribution’s dependence on risk factors. Using the classical Cornish-Fisher expansion, Helmut Lutz and Carsten Wehn...
Published online only
Source: Structured Products
HSBC Global Markets has restructured its derivatives sales in London, aligning its flow sales with equity sales and separating out its exotics business. Amilcare Police, previously head of vanilla and...
Published online only
Source: Operational Risk & Regulation
There is a rich seam to be mined in the provision of tools to calculate counterparty credit risk. Clive Davidson looks at what's on offer so far, and what could be coming on to the market.
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More Delta risk articles
Operational and market risks of a regulated power utility
Published online only
Source: Operational Risk & Regulation
Victor Dvortsov and Ken Dragoon present an analytical method for including market and operational risks when estimating utility portfolio value-at-risk.
I will survive
Published online only
Source: Risk magazine
Jon Gregory and Jean-Paul Laurent apply an analytical conditional dependence framework to the valuation of default baskets and synthetic CDO tranches, matching Monte Carlo results for pricing and showing significant improvement in the calculation of deltas...
Globalisation and equity index exposure
Published online only
Source: Risk magazine
Does the global presence of large multinational companies diminish the diversification effect inequity portfolios? Gary Robinson argues that this is indeed the case, and suggests a remedy
Market risk of variance swaps
Original headline:
Source: Risk magazine
As discussed here in June, variance swaps provide an easily modelled means of tradingvolatility as an asset. Here, Neil Chriss and William Morokoff complete the discussionwith a guide to risk managing these instruments
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