Risk magazine - Volume16/No1
Articles in this issue
The legacy of Dupire
Comments
Real problems
The Risk Awards 2003
The forex toolbox
Review - Books
Pension funds diversify
New angles
Natexis loses in equity derivatives
New angles
The role of correlation
Risk analysis
Software survey 2003
Survey
RiskNews review
The leading stories from RiskNews
An operational risk scorecard approach
Operational risk
Defining forex option value
Options pricing
Technology briefs
Systems
what's new on the web
@risk
What lies beneath?
Credit derivatives
Job moves
People
Quant of the year – Peter Carr
The Risk Awards 2003
Equity derivatives research house of the year – Deutsche Bank
The Risk Awards 2003
Risk manager of the year – Mark Ritter, UBS Warburg
The Risk Awards 2003
Derivatives exchange of the year – Eurex
The Risk Awards 2003
Not all bad news
Comment
Buy-side risk manager of the year - Barclays Global Investors
The Risk Awards 2003
Pounding the pavement
Profile
Lifetime achievement award – Robert Merton
The Risk Awards 2003
Equity derivatives house of the year – UBS Warburg
The Risk Awards 2003
Technology development of the year – CLS Bank
The Risk Awards 2003
Currency derivatives house of the year - ABN Amro
The Risk Awards 2003
Corporate risk manager of the year – Scottish Power
The Risk Awards 2003
Software product of the year – Almonde 4
The Risk Awards 2003
The Risk Awards 2003
The Risk Awards 2003
Mixed signals
Introduction
Testing rating accuracy
Cutting edge: Ratings validation
Canada’s shifting credit scene
Canadian banks
New dawn for loan portfolio management
Credit risk survey
Exchanges in vogue?
Introduction
Pitching to the public
Retail investors
Winds of change blow for the CME
Chicago Mercantile Exchange
Box enters the ring
Boston Options Exchange
At a crossroads
Sydney Futures Exchange
Dealing with discrete dividends
Over the past year, we have published several papers on the issue of options on stocks with discrete dividends. At least three distinct models are used by practitioners, involving trade-offs between accuracy and tractability. Here, Remco Bos, Alexander…
Coarse-grained CDOs
While analytical models of credit portfolio risk using conditional independence have been one of the most promising areas of recent research, they often involve granularity assumptions that are violated in CDO reference portfolios. Here, Michael Pykhtin…
Why be backward?
Originally developed as a tool for calibrating smile models, so-called forward methods can also be used to price options and derive Greeks. Here, Peter Carr and Ali Hirsa apply the technique to the pricing of continuously exercisable American-style put…
