Risk magazine - Volume16/No11
Articles in this issue
Betting on principal finance
Cover story
When is best practice good enough?
Risk analysis
The Bank One swaps market precedent
Swaps valuations
Barra joins crowded market for Merton models
Credit Risk
Op Risk database reveals fraud costs
New angles
Job moves
People
Understanding the expected loss debate
Commentary
Economic capital – how much do you really need?
Class notes
Tri-party repo push for Europe
New Angles
Darwin on the dealing desk
New Angles
Applied thinking
Profile
Big systems for small start-ups
Technology
Using trees to grow money
Performance analysis
The challenges of diversity
Contents
Capital Structure Arbitrage: the past, present and future
Sponsor's Statement
Latin lovers
Emerging markets
Weighing the cost of illiquidity
Performance analysis
Benchmarking asset correlations
Basel II stipulates that the asset correlation to be used in calibration of obligor risk weights is 20%. Here, Alfred Hamerle, Thilo Liebig and Daniel Rösch use a parametric model to empirically obtain asset correlations from a large database of…
Using the grouped t-copula
Student-t copula models are popular, but can be over-simplistic when used to describe credit portfolios where the risk factors are numerous or dissimilar. Here, Stéphane Daul, Enrico De Giorgi, Filip Lindskog and Alexander McNeil construct a new,…
All your hedges in one basket
Leif Andersen, Jakob Sidenius and Susanta Basu present new techniques for single-tranche CDO sensitivity and hedge ratio calculations. Using factorisation of the copula correlation matrix, discretisation of the conditional loss distribution followed by a…
