Risk magazine - Volume16/No8
Articles in this issue
Betting on recovery
In March 2002, on a voyeuristic impulse, I went to Enron’s bankruptcy auction at the firm’s offices in London’s smart SW1 district. From the top floor there was a view of the private royal gardens of Buckingham Palace; and from there, Enron’s executives…
Technology briefs
Systems
Job moves
People
A change for the better
Profile
Unexpected recovery risk
For credit portfolio managers, the priority is to properly incorporate recovery rates into existing models. Here, Michael Pykhtin improves upon earlier approaches, allowing recovery rates to depend on the idiosyncratic part of a borrower’s asset return,…
BNP Paribas beats SG for ZCM assets
New angles
A plague on arbitrageurs
Cover story
Job Moves
People
A Nordic niche for CLS
Liquidity risk
The operational risk pyramid
Risk analysis
The dividend divide
Cover story
Technology briefs
Systems
Merrill to launch options on vol swaps
New angles
Swaps platforms draw fire
New angles
Global derivatives rankings 2003
Rankings
Back-up systems key to blackout recovery
New angles
Ultimate recoveries
Recovery rates - Cutting edge
A false sense of security
Recovery rates - Cutting edge
News
Risk news
Back-up systems key to blackout recovery
New angles
Does CP3 get it right?
Basel II
Precipice bond structure defended
New angles
Reason for hope
Risk analysis
The cutting hedge
Loan hedging
Instant anguish
Comment
The billion-dollar man
Profile
Comment
Introduction
Where to look
Introduction
Winds of change
Introduction
CSFB at the edge
Profile
Vibrant volumes
Exchanges
Getting ready for IAS
Accounting
Ready and waiting
Basel Accord
Retail credit innovations
Credit derivatives
CBOE prepares for battle
Equity options
The strong dollar challenge
Corporate hedging
The objective strategy
Merger arb
The demands of innovation
Credit data
Enter Big Brother’s bigger brother
Data monitoring
Questioning convergence
Securitisation
Missing the train
Listed swap products
Unexpected recovery risk
For credit portfolio managers, the priority is to properly incorporate recovery rates into existing models. Here, Michael Pykhtin improves upon earlier approaches, allowing recovery rates to depend on the idiosyncratic part of a borrower’s asset return,…
A false sense of security
Credit portfolio models often assume that recovery rates are independent of defaultprobabilities. Here, Jon Frye presents empirical evidence showing that such assumptions arewrong. Using US historical default data, he shows that not only are recovery…
Ultimate recoveries
Measuring recovery using the ultimate rate observed at emergence from bankruptcy may be conceptually desirable, but modelling it is difficult. Craig Friedman and Sven Sandow tackle the problem by maximising the creditor’s utility function, constructed…
