Risk magazine - Volume16/No3
Articles in this issue
Basel’s CDO solution
As the Basel Committee on Banking Supervision continues its stately progress towards a revised capital Accord, one area remains under debate: the proposed capital rules for asset securitisations. As some readers will recall, it was securitisations that…
Tailoring internal models
Insurance special – Risk models
Goldman launches gold warrants for retail
New angles
RiskNews review
RiskNews review
Liability hedging without the tears
Interest rates
Modelling firm tackles surety bond woes
New angles
Modelling the unthinkable
Insurance special – Terrorism insurance
Inflation option auction plans
New angles
Job moves
People
Gold hedging loses its lustre
Cover story
Technology briefs
Systems
Mercer snaps up Oliver, Wyman
New angles
Serving the pension funds
Introduction
Hedging equity risk in pension plans
Sponsor’s statement
No cure through the cycle
Risk analysis
DST International acquires Askari
New angles
Analysing business processes
Operational risk
Universal hedging
Comment
Meeting Basel II head on
Profile
Investors get real
Commodities
New models for ailing pensions
Pension funds
The fashionable link
Inflation
Quantifying the op risk in investment fund valuation
Operational risk
A hedge fund by any other name?
Regulation
Assessing views
Portfolio management
The CLS age dawns
Introduction
FiXing op risk
Technology
Tailoring internal models
Risk models
White-labelling systems
Liquidity outsourcing
The outsiders
Outsourcing
Continuous-linked conflict
Clearing and settlement
Securitising terror
Terrorism catastrophe bonds
Robust rho hedging
Sponsor’s statement
Modelling the unthinkable
Terrorism insurance
Propping up returns
Proprietary trading
An integrated view
Hybrid products
Capturing the smile
Since the discovery that traditional calibration methods fail to capture the dynamics of the smile, new approaches based on mixtures or ensembles of models have been developed. Simon Johnson and Han Lee present a variant of this approach that can be used…
Random tranches
How should economic or regulatory capital be allocated to tranches of securitisations? The standard Basel conditional dependence calculations are complicated in this case by non-linearity effects and complex deal dependence. Here, Michael Gordy and David…
Contributions to credit risk
Optimisation of credit portfolios requires that risk contributions be quantified. However, there has been disagreement over which of three popular tail risk measures should be used. Here, Alexandre Kurth and Dirk Tasche offer a way forward, showing how…
