Risk magazine - Volume15/No10
Articles in this issue
The industry’s worst nightmare
Counterparty credit risk is the derivatives industry’s worst nightmare. Ever since the early 1970s, when over-the-counter derivatives began their 30-year march to replace gold as the world’s foremost financial hedging tool, it is a nightmare that has…
Synthetic portfolio credit products: coping with credit event risk
Sponsor's statement
Global credit risk management: a business necessity
Sponsor's statement
The credit implosion
Introduction
Avoiding pro-cyclicality
Basel II and SMEs
The hire ground
Recruitment
CDS: the quest for neutral pricing data
Price data services
Reinventing the market
Cashflow CDOs
Modelling default rate dynamics in the CreditRisk+ framework
Credit portfolio risk
PFE: ahead of its time
Modelling
Realigning exposures
CDO restructuring
The credit risk time bomb
Insurers
Reconstructing volatility
Equity derivatives
Reconstructing volatility
Options on stock baskets have become a mainstay of the equity derivatives business, but pricing and hedging of such products is highly sensitive to implied volatility and correlation assumptions. Here, Marco Avellaneda, Dash Boyer-Olson, Jérôme Busca and…
Copula vulnerability
Counterparty credit risk
A bootstrap back-test
Back-testing
