Risk magazine - Volume16/No12
Articles in this issue
Mind the gap
Credit Risk
German banks plan op loss data consortium
New Angles
CROs mean more debt, says study
New Angles
SSgA looks to credit volatility
New Angles
Job moves
People
Credit risk catches up
Feature
How to survive a mortgage meltdown
Cover Story
SEC redefines operational risk
New Angles
New vision for equities at Merrill
New Angles
Dealing with hedge fund risk
Contents
When complexity counts
Comment
Singularly focused
Profile
Crunch time for prime brokers
Germany
Wealthy Europe gears up with hedge fund exposure
Wealth management
Take the index high road
Portfolio management
The hedge fund index quagmire
Indexes
Reporting: a better performance measure
Data monitoring
The diligent diversifier
Profile: University of North Carolina
Tips and the iceberg
Government bonds
Expert round table
Industry views
Pension funds go for inflation swaps
End users
A one-way argument?
Contents
Index volatility surface via moment-matching techniques
Peter Lee, Limin Wang and Abdelkerim Karim present a basket construction technique using Gram-Charlier-Edgeworth expansions. They show how to express basket option skews and smiles in terms of its underlying components, and demonstrate how market…
Shadow interest
Using a Vasicek process for the shadow rate, Viatcheslav Gorovoi and Vadim Linetsky develop an analytical solution for pricing zero-coupon bonds using eigenfunction expansions, and show how to calibrate their model to the Japanese bond market. This…
Gordy rises on Basel credit wave
Who are the most influential authors of articles on quantitative finance? Every year, we total up the citations of sources given at the end of papers published in the Cutting Edge section of Risk.
