Risk magazine - Volume15/No2
Articles in this issue
Kicking off a global trend
Liffe-Euronext merger
New contract launches aplenty
Derivatives exchanges
A case of terminal consolidation
Exchange connectivity
A shift in e-trading flows
Energy exchanges
More talk than action
CCP 12
Success is hardly assured
Single stock features
Predictive Merton models
Do default indicators such as agency ratings improve upon the predictive power of KMV’s proprietary default prediction methodology?
The vol smile problem
The author examines a wide range of volatility smile models in the context of the liquidity of the forex options markets
The need for hybrid models
In response to the above article, the authors argue that pure firm-value approaches to default prediction are fundamentally flawed.?
