Valuation remains a major focus for banks and regulators. In this Class Notes article, Charles Smithson examines the academic approaches to valuation and applies them to structured credit assets
This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
More Valuation articles
European committee has published the findings of two assessments spurred by the recent market turmoil
Charles Smithson and Neil Pearson discuss the valuation of collateralised debt obligations (CDOs). Following on from their December 2007 article, which focused on CDOs referenced to corporate credits, the authors turn their attention to CDOs of asset-backed...
Constant proportion debt obligations and their AAA ratings have elicited strong feelings throughout the structured credit market since their invention in 2006. In the wake of market gyrations, both their net asset values and their ratings are under threat....
As recent reverses amply demonstrate, risks beyond investment risk can cause even the most sophisticated hedge funds to take a battering. Navroz Patel finds out about leading managers' greatest fears, and how they are tackling thorny issues such as valuation...
Here we describe the optimal operation and valuation of gas storage based on a real option methodology. Using Zeebrugge gas prices as a practical example, Cyriel de Jong and Kasper Walet clarify the optionality in gas storage, analyse its valuation and...
Technology can provide a competitive advantage in banking. How it is applied by Tier 1 and Tier 2 institutions, to the benefit for their risk management systems, is discussed.
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