Risk magazine - Volume15/No3
Articles in this issue
Reading the signals
Forex modelling
Asset managers run for cover
Enterprise-level risk
Squeezing the best from hedge fund diversification
Hedge fund investing
Arb fund reign to continue
Convertible bonds
Globalisation and equity index exposure
Equity diversification
Drivers of dollar swap spreads
Fixed0income strategy
Less is more with tailored credit portfolios
Sponsor`s statement
Convexity hedging and its impact on US swap spreads
Sponsor`s statement
Swap spreads uncovered
Sponsor`s statement
The hazards of credit pricing
Sponsor`s statement
A new generation of credit derivatives
Sponsor`s statement
Managing the exposure challenge
Credit risk reporting
In pursuit of returns
Institutional investors
Credit derivatives platforms turn to structured products
Electronic trading
Pinning down portfolio risk
Fixed-income modelling
Analytical approach to credit risk modelling
Cutting edge: Economic capital
Robeco’s synthetic age
Case study
A long way from success
Electronic trading
Accentuate the positive
Introduction
New evidence of IRB volatility
Default modelling
Marrying portfolios and PCA
Principal components analysis
Filling the inflation gap
Index-linked securities
Changes afoot at rating agencies
Basel II
Fixed or floating?
Corporate debt
Himalaya options
Nothing epitomises the challenges of complex equity derivatives better than the so-called ‘mountain range’ products. In the second article looking at the challenges of this market, Marcus Overhaus analyses a particular product, the Himalayan option,…
Analytical approach to credit risk modelling
The increasing popularity of VAR-based credit portfolio risk models has led to a growing recognition that Monte Carlo techniques are inadequate for economic capital calculations. Here, Michael Pykhtin and Ashish Dev present a new analytical alternative…
Globalisation and equity index exposure
Does the global presence of large multinational companies diminish the diversification effect inequity portfolios? Gary Robinson argues that this is indeed the case, and suggests a remedy
New products, new risks
Structured equity products marketed in Europe present considerable risk management challenges. The author shows the danger of using naive model-based approaches to price and hedge them.
Inside insider trading
Securities regulators need techniques to detect insider trading if it occurs and determine the extent of possible sanctions. Here, the author proposes a new probabilistic methodology particularly suited to illiquid markets.
