Risk magazine - Volume17/No3
Articles in this issue
Keeping it regional
Profile
The iconoclast of Brooklyn
Profile
Hedge funds’ swift exit
Comment
Two of a kind?
Equity default swaps
Take your positions
Introduction
Take your positions
Introduction
Reputational repair
Mutual funds
Dabbling in hedge funds
Asset allocation
Risk management in a fund of hedge funds
Hedge funds
The road to online options
Electronic forex
Sophistication and integration
Performance and risk
Expressing a view on the dollar
Currency focus
Personal FX
Private banking
Dealing with a dwindling dollar
Corporates
Swap vega in BGM: pitfalls and alternatives
Raoul Pietersz and Antoon PelsserPractitioners who are developing the Libor BGM model for risk management of a swap-based interest rate derivative be warned: for certain volatility functions the estimate of swap vega may be poor. This may occur for time…
Multi-factor adjustment
The author presents an analytical method for calculating portfolio value-at-risk and expected shortfall in the multi-factor Merton framework. This method is essentially an extension of the granularity adjustment technique to a new dimension.
Unifying volatility models
This article introduces a method for building analytically tractable option pricing models that combine state-dependent volatility, stochastic volatility and jumps. The eigenfunction expansion method is used to add jumps and stochastic volatility to…