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Correlation and credit risk

Active development of full credit portfolio modelling continues apace, even though it is not recognised in the proposed Basel II framework. An important issue is the relationship between probability of default and loss-given default. In this last of four…

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Artificial intelligence advances

Artificial intelligence is widely seen as more science fiction than science, a grab bag of 1960s theories that never panned out. But while computers still can’t grasp the difference between concepts such as ‘breadbox’ and ‘Chicago’, artificial…

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FAS 133: routine or ruinous?

The Association of Finance Professionals, a 14,000-strong group of corporate treasurers and finance officials, gave Risk an exclusive look at its just-completed member survey on the implementation and consequences of FAS 133. Two years after the…

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Global derivatives rankings 2002

For Risk’s 11th annual inter-dealer rankings, we have refined our categories and polled hundreds of market participants to reveal which firms are the best in the business. Introduction and rankings compilation by John Ferry, with additional research by…

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