Risk magazine - Volume16/No09

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…

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…

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