Risk magazine - Volume15/No11
Articles in this issue
Value-at-risk: down but not out
‘No more VAR.’ This increasingly shrill call is being made by a section of the academic finance community both in journals and at conferences. Now, some practitioners are latching on, offering ‘VAR-free’ portfolio optimisation that is being promoted as…
An overwhelming problem
Introduction
Forex renaissance
Introduction
Managing housing loan risk
Mortgage-backed securities
Under the microscope
Wealth management
Pooling the resources
Securitisation
A question of priorities
Basel Accord
An agency apart
The FSA
Taking stock of SSFs
Single-stock futures
How Merrill got the message
Dealer profile
Fighting credit risk demons
Credit risk
Tied up in FASB’s knots
Corporate equity tools
A cooling environment
Convertible bonds
Reacting to spreads
Credit derivatives
Pinching the systems penny
Trading technology
Travelex: the one-stop currency shop
Corporate profile
IBM: covering all the angles
Corporate Q&A
All power to PRDC notes
Forex structured products
Is there a problem?
Short Selling
A rollercoaster ride
Foreign exchange
Minimising extremes
Portfolio diversification often breaks down in stressed market environments, but the co-movement of asset prices in a tail risk regime may be modelled using a coefficient of tail dependence. Here, Yannick Malevergne and Didier Sornette show how such…
Unsystematic credit risk
Although Basel has shifted its treatment of unsystematic credit risk from the first, capital rules pillar (where it was called the ‘granularity adjustment’) to the second, supervisory pillar of the forthcoming Accord, this issue is of great practical…
