Risk magazine - Volume16/No10
Articles in this issue
Looking for the right copula
It is widely accepted that the probability of a company defaulting on its debt is linked to the value of its assets, which can be inferred (not necessarily in a unique way) from its equity price. The intellectual argument is long established, and…
It’s all Greeks to me
Trends
Inflation trading comes of age
Interest rates
The new breed
Introduction
Fear and moaning in last stages
Introduction
Any last words?
CP3 comments
Capital structure arbitrageurs build a following
Trading strategies
Credit in context
Systems
Survey spotlights doubts on Basel II
Industry response
Modelling venture capital funds
Modelling venture capital funds is a challenge and has become more important due to recentand upcoming securitisation deals, the need for efficient portfolio management, and Basel II.Here, Thomas Meyer and Tom Weidig summarise the issues both industry…
On the dependence of equity and asset returns
Asset returns play an important role in credit risk modelling. Here, Roy Mashal, Marco Naldiand Assaf Zeevi investigate the co-dependence behaviour of asset returns semiparamatrically.They find that the Student-t copula outperforms the normal copula as…
