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Inflation-indexed securities - Inflation with a smile
In the current inflation-indexed markets, most traded options have zero or even negative strikes. This highlights the need for a smile-consistent valuation of caps and floors on inflation rates. To this end, Fabio Mercurio and Nicola Moreni propose a…
Optimal allocation to hedge funds
Lionel Martellini and Mathieu Vaissie argue that it is only by taking into account the exact nature and composition of their existing portfolio that institutional investors can maximise the benefits they can expect from investing in hedge funds. To this…
Tips options in the Jarrow-Yildirim model
Marc Henrard proposes an explicit pricing formula for inflation bond options using the Jarrow-Yildirim model. The formula resembles that for coupon bond options in the Heath-Jarrow-Morton model
Lessons learned
Operational Risk
Limits on far VAR
Hedge Fund Perspective
Trading by models
Hedge funds
Under scrutiny
Equity Derivatives
A new regime
Hedge Funds
Banks get stressed
Stress Testing
Tussle over alpha
Alternative Investments
The ABC of QRM
Book Review
Options reduced
Dealers report that European corporates have reduced their use of options since the introduction of IAS 39 last year. But with greater volatility in the foreign exchange markets expected in the coming year, are companies sufficiently hedged? Gareth Gore…
Seeking risk transfer
Insurance
Life's perilous journey
Guaranteed variable annuity products generate huge profits for US life insurers, but have left firms massively exposed to exotic equity risk. Some companies are now laying off risk via long-dated, highly structured hedges. Not everyone is convinced this…
Risk Awards 2006
Risk Awards Photos
Regulatory arbitrage: back to basics
Risk analysis
Inflating demand
Japan inflation-linked bonds
Federal regulators release QIS4 summary findings
The federal bank and thrift regulatory agencies have published the ‘Summary findings of the fourth quantitative impact study’ (QIS4).
A practical operational risk scenario analysis quantification
Thomas Alderweireld, João Garcia and Luc Léonard define an operational risk scenario analysis and its quantification technique, leading to the determination of the loss distribution characteristics.
Fundamental issues in op risk management
Misconceptions about certain key concepts are causing confusion throughout the industry. By Ali Samad-Khan, Armin Rheinbay and Stephane Le Blevec
Labour of love
Emerging markets have been a recurring theme in Charles Dallara's career. Now, as managing director of the Institute of International Finance, one of his key focuses is to strengthen crisis prevention in emerging market economies. By Alexander Campbell