Risk magazine - Volume16/No6
Articles in this issue
New problems, old solutions
A quiet revolution is taking place in the equity market. Away from the reverberations of the burst technology bubble, and the continuing debate over retail equity derivatives products, quants are discovering how to reapply old techniques to new problems,…
End-user rankings 2003
Survey
Catching the Basel ‘tail wind’
Profile
Job moves
People
A clear approach to credit
Review
Technology briefs
Technology
The leading stories from RiskNews
RiskNews
Accounting for stock options
Risk analysis
Who’s ready for op risk?
New angles
Carr spearheads new Bloomberg quant team
New angles
A fast-evolving world
Introduction
A race to the finish
Basel II
Basel Agonistes
Comment
What is the real value of restructuring?
New angles
A cautious embrace
Credit indexes
Performance anxiety
CDO benchmarking
Losing track?
Tracking error
Diversity in adversity
Commodities indexes
Building a better benchmark
Hedge fund indexes
A complex world
Introduction
Making the most of Basel II
Introduction
KBC Asset Management: an independent approach
Distributor profile
Finding the middle ground
Hedge funds
Guaranteed evolution
Principal protection
Competition escalates
Distribution Strategies
French test for structured products
Online analytics
Scenario-based AMA
Asset management
SAB – the magic brew
Company focus
Enter the quant enforcer
Cover story
Back to school
Investment strategies
All in Accord
Basel II
Credit barrier models
Claudio Albanese, Giuseppe Campolieti, Oliver Chen and Andrei Zavidonov construct an analytic credit barrier model driven by credit ratings, constrained to fit the term structure of credit spreads
Bidding principles
Robert Almgren and Neil Chriss show how principal bid programme trades can be priced and evaluated as part of a trading business. By annualising the price impacts and variances of such trades, they construct an information ratio measure that can be used…
I will survive
Jon Gregory and Jean-Paul Laurent apply an analytical conditional dependence framework to the valuation of default baskets and synthetic CDO tranches, matching Monte Carlo results for pricing and showing significant improvement in the calculation of…
