Risk magazine - Volume15/No12
Articles in this issue
Good citations
Degree of influence
Beware of systematic style biases
Hedge funds
Emerging opportunities
CDO investing
Down the corridor
Range accrual notes
The race for a suitable index
Forex benchmarking
Measurement and attribution
Performance systems
Fat-tailed bulls and bears
Behavioural models
Against their will
Cad 3
Bearing fruit
Introduction
Arrogance and aftershocks
Software consolidation
A reality at last
CLS Bank
Knitting together bank risks
Enterprise-wide risk management
Twist and doubts
Trading standards
A moving target
Op risk systems
The power to survive
Energy trading technology
Loan portfolio value
Using a conditional independence framework, Oldrich Vasicek derives a useful limiting form for the portfolio loss distribution with a single systematic factor. He then derives a risk-neutral distribution suitable for traded portfolios, and shows how…
Volatile volatilities
When pricing exotic interest rate derivatives, calibration of model parameters to vanilla cap or swaption prices can be especially time-consuming, especially if stochastic volatility is incorporated into the standard Libor market models or low…
