Risk magazine - Volume15/No8
Articles in this issue
Making the right technology decisions
Sponsor's statement
Getting a grip on the market
Energy company profile
Exchanges eye weather
Listed products
Canada opens new pastures
Corporate profile
Brokers break the mould
Market access systems
Aquila’s troubles could break emerging markets risk
New products
How Japan got it covered
Asian market
Corporate software challenge
Enterprise-wide risk
Getting a grip on the market
ENERGY COMPANY PROFILE
Why outsourcing is in
Back office
A change in atmosphere
Trading
European info squall to clear
Data difficulties
ASPs: new hope or false promise?
Risk analytics
A changing operational landscape
Corporate actions
Flaws, flaws and more flaws
FAS 133 software
Calculating portfolio loss
For credit portfolios, analytical methods work best for tail risk, while Monte Carlo is used to model expected loss. However, products such as CDOs require a model for the entire distribution. Sandro Merino and Mark Nyfeler meet the challenge by…
Trees from history
Option pricing
VAR you can rely on
Analytical and simulation-based methods often appear as rivals, but many real world problems are best served by judicious combinations of both approaches. In a first of a pair of computationally themed papers, Rabi De and Tanya Tamarchenko present a…
