Risk magazine - Volume15/No5
Articles in this issue
CDO war moves up a notch
Rating agencies
Private equity firms launch CLOs
New issuers
Credit risk in asset securitisations: an analytical model
Cutting edge: Basel II
Private equity and hedge fund deals in the pipline
Fund-of-fund CDOs
Making sense of CDOs
Analytics systems
Universal Barriers
As our survey in this issue shows, there is an increasing volume of barrier products traded in the forex options market. Here, Alexander Lipton and William McGhee discuss the pricing of barriers under various model frameworks, with particular focus on…
Substitute hedging
Derivatives on assets that are difficult to trade are of growing importance. Pricing suchderivatives requires the use of utility theory and proxy assets for hedging. Here, VickyHenderson and David Hobson review the theory and discuss several topical…
Testing assumptions
In calculating value-at-risk forecasts for trading portfolios, distributional assumptions are asimportant as the choice of risk factors, but it is not easy to determine the source of errorwhen rejected forecasts occur. Here, Jeremy Berkowitz develops a…
