Risk magazine - Volume16/No09
Articles in this issue
Counterparty credit concerns
Regulators are getting interested in derivatives counterparty credit risk. When Federal Reserve chairman Alan Greenspan noted in May that one dealer (and we understand this to be JP Morgan Chase) accounted for a third of the global dollar interest rate…
Scrutiny of the bounty
Introduction
Return of the bear?
Interest rates
The dilemmas of risk disclosure
Disclosure
Hedge fund tricks or treats?
Trading practices
Energising returns
Energy trading
Flushing out the fraudsters
Hedge fund fraud
Deciphering drawdown
Risk measurement
Rate risks redux
Introduction
Smokescreen or saviour?
Pension liabilities
Risk in transition
Asset allocation
What’s in a name-change?
Profile: Capitalia
Signs are good for IAS 39 final preparations
Regulation
VAR: history or simulation?
Greg Lambadiaris, Louiza Papadopoulou, George Skiadopoulos and Yiannis Zoulis assess theperformance of historical and Monte Carlo simulation in calculating VAR, using data from theGreek stock and bond market. They find that while historical simulation…
Analysing counterparty risk
In an attempt to improve on existing regulatory approaches to derivatives counterparty creditrisk, Eduardo Canabarro, Evan Picoult and Tom Wilde present a new method based on expectedpositive exposure (EPE). Using a one-factor conditional independence…
