Risk magazine - Volume16/No6

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,…

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…

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