Risk magazine - Volume15/No1
Articles in this issue
Turning ‘risky’ confidence into risk confidence
Sponsor`s statement
Averting future liquidity crises
Case study: JP Morgan Chase
Rules and models
Basel II
A tough nut to crack
The Basel Accord
Approach with caution
Indicators
Emerging markets ramp up
Technology
Flexibility drives EBRD’s risk strategy
ALM in practice
On the path to recovery
Case study: NYBOT
Op risk modelling evolves
Technology
Danger lurks on the rocky road to Basel II
Basel shortcomings
Ready, set ... and wait
Continuous-linked settlement
Pricing default baskets
Nicholas Dunbar, Risk’s technical editor, introduces the first in a new series of technical papers written by quants at Deutsche Bank.“Default correlation has been one of the hottest topics in credit derivatives over the past year. So it is a pleasure to…
A discrete question
How should discrete dividend options be modelled in an equity option pricing framework? As Volf Frishling warns, unthinking use of certain models to solve this problem can lead tosignificant mispricing in some situations
Calibrating Libor
With a rich spectrum of maturities and tenors to contend with, the toughest aspect of pricing interest rate options is calibrating models of forward rates to market data. Here, Damiano Brigo and Fabio Mercurio present a scheme for simultaneously…
