Risk magazine - Volume16/No05
Articles in this issue
The smirking gorilla
Interest rates are the 800-pound gorilla of the derivatives industry. Thus, while the US Office of the Comptroller of the Currency reported that US commercial banks had a total credit derivatives notional exposure of $635 billion in the fourth quarter of…
Job moves
People
Cargill: cultivating growth
Agribusiness hedging
The leading stories from RiskNews
RiskNews
Faith in the futures
Profile
Getting the solvency balance right
Solvency II
Is 8% for all seasons?
Risk analysis
Default swaptions: the next frontier
Cover story
Foreign exchange ruled by nerves in 2002
Forex markets
Hungary’s forex dilemma
New angles
Buffett, buy-in and Basel at Isda AGM
New angles
Long-term partners
Hedge funds
Politics and volatility at Risk Europe 2003
New angles
Client control
Comment
The final countdown
Introduction
Best of breed
Introduction
Insecurity and innovation
Introduction
Basel II: a continental rift
Implementation
Solutions or smokescreens?
Structural enhancements
CDO market looks to a broader asset base
Collateral
“We need a better Basel Accord”
Securitisation
Insurance companies’ slow embrace
Credit derivatives
Diversity scoring for market value CDOs
Cutting edge: Risk measurement
Bespoke panacea?
Substitution rights
Worth the trouble?
Collateral managers
Flies in the ointment
Outstanding issues
On the ball
Relegation risk
Cofiri’s risk transformation
Investment banking
The road to partition
Applying the ensemble approach developed in these pages last month, Kevin Thompson and Roland Ordovas calculate risk contributions and show how to measure higher-order default dependence using the method of partitions. The results provide tools allowing…
Real option valuation and equity markets
Many non-financial assets can be viewed as ‘real options’ linked to some underlying variable such as a commodity price. Here, Thomas Dawson and Jennifer Considine show that the stock price of a well-known electricity generating company is significantly…
Black smirks
Fei Zhou presents a simple stochastic volatility extension of the Black interest rate option pricing model widely used by traders. Using a perturbative expansion in volatility of volatility, he derives modified Black formulas that correctly fit the…
