Risk magazine - Volume16/No7
Articles in this issue
Questions of error
Consider the following two, difficult, questions. How should a financial institution allocate capital to different businesses? How should a financial institution be valued? The first question is a subject for the senior management of an institution. But…
Long hot summer for exposed corporates
Corporate risk disclosure
Technology briefs
Systems
Risk USA: pension woes and quant fixes
New angles
ZCM assets up for sale
New angles
Beneath the tip
Review - Books
Job moves
People
The point of op risk
Risk analysis
Basel II – it’s not all devil in the detail
New angles
Revealed: Goldman Sachs’ mega-deal for Greece
Greece uses swaps to hit EU debt ratios
Technology briefs
Systems
Mortage extension risk balloons
New angles
More gauges for mortgages
Hedge funds
Putting risk on the map
Profile
Banks struggle with conduits
FIN 46
Lo: Sharpe ratios may be overstated
New angles
Borsa boosts Italy’s lagging hedge funds
New angles
Portfolios: prevalent but problematic
Introduction
Meeting demand
Introduction
The right tools
Portfolio selection
Structurally sound
Profile
Diversify and conquer
Profile: General Electric
Veolia Environnement’s risk revolution
Profile: Veolia
Staying away in droves
Credit
Dashed hopes
CFOs
A natural pillar
Profile: BMW
Getting to grips with fair value
Derivatives accounting
Cracking correlation
Credit default swaps
Correlation evidence
Like ratings, default correlation is an area of fierce industry debate. But any fundamental, long-term investor searching for fair value in credit correlation will want to understand what the historical data actually says. Here, Arnaud de Servigny and…
Overcoming the hurdle
How should capital be allocated to different business lines in a financial institution? Thomas Wilson explores this question from an investor’s perspective by constructing a statistical model that measures the risk of individual business types. The…
Market-implied ratings
There has been much debate over the respective merits of credit ratings and market-based indicators. Ludovic Breger, Lisa Goldberg and Oren Cheyette present a new approach that tries to incorporate the benefits of both approaches. Starting with agency…
