Risk magazine - Volume16/No2
Articles in this issue
Explaining big events
The expression ‘this month’s once-in-a-million event’ has become a cliché in finance. From the sudden bankruptcy of investment-grade companies to 5% daily moves in foreign exchange markets, we’ve seen them all. Rare events – which for practitioners mean …
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Flow business booms
Credit derivatives survey
FASB rule baffles CDO market
New angles
The Risk 2003 commodity and energy derivatives rankings
2003 Commodity & Energy Rankings
Shaking up hedge funds
Cover story
Top dealers plot revival of ‘Project Red’
New angles
Self-assessments for scorecards
Operational risk
Technology briefs
Systems
Don’t count on buffers
Risk analysis
RiskNews review
RiskNews review
Job moves
People
Credit explosion
Comment
A shares passion
Profile
Italy's latest twist on securitisation
Public finance
Brisker business
Sovereign debt hedging
Hedging the world
The World Bank
The world turns to hedging
Introduction
Fannie and Freddie:
Agency Q&A
Powering up at the AfDB
Systems
Bridging the deficit gap
Municipal derivatives
Extreme forex moves
What is the appropriate statistical description of tail risk in a market portfolio? In the context offoreign exchange, Peter Blum and Michel Dacorogna address this problem using extreme valuetheory. Using 20 years of data, they estimate parameters for an…
From horses to hedging
Financial derivatives rely on liquid underlying markets to work properly, but what happenswhen such underlying markets do not exist, as is the case for indexes such as GDP orunemployment? Here, Ken Baron and Jeffrey Lange suggest a parimutuel auction…
What causes crashes?
Are large market events caused by easily identifiable exogenous shocks such as major newsevents, or can they occur endogenously, without apparent external cause, as an inherent propertyof the market itself? Here, Didier Sornette, Yannick Malevergne and…
