Risk magazine - Vol 15 / No 9
Articles in this issue
High-frequency trading: how great is the need for speed?
Just how important is speed? Risk managers and traders are weighing the value of high-frequency market data and trading technologies against their costs. Gallagher Polyn examines the debate over using high-frequency data in risk models, and profiles one…
Innovation fuels Italy’s securitisation boom
Tax changes and increasing corporate credit risk have prompted Italian dealers to look for new assets to securitise.
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…
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…
Cranks, academics and practitioners
Emanuel Derman ponders the difficulties in distinguishing among the three
Re-energising Nymex
In his first year as president of Nymex, Bo Collins has launched a series of ground-breaking product initiatives. Now he’s mulling credit mitigation tools for the besieged energy trading industry
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…
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…
Legal risk optimisation
Allen & Overy’s Carolyn Jackson discusses the importance of a quantitative approach to legal risk
