Risk magazine - Volume17/No1
Articles in this issue
Mutual self-awareness and fat tails
Risk analysis
Op risk systems come to the fore
Feature
A dramatic dislocation
Comment
Arbiter of arbitrage
Profile
LME to launch plastics futures
New angles
Open for business
Introduction
Pricing collateralised lending risk
Borrower risk and collateral risk can easily be modelled together, with surprising results, argues Benedict Roth
Atlantic arbitrage
New issues
Sensible and efficient capital allocation for credit portfolios
Cutting edge: Capital allocation
How good is your information?
Credit investment
Calculating transfer risk using Monte Carlo
Marco van der Burgt constructs a model of emerging market transfer risk based on a country’s foreign exchange reserves that is combined with facility-dependent risk factors that determine counterparty exposure in the event of a moratorium. He then…
Bringing credit portfolio modelling to maturity
Michael Barco shows how to perform mark-to-market credit portfolio modelling by extending the well-known saddle-point technique, introducing spread and recovery rate volatility. He then tests his results on a fictitious portfolio, showing how asset…
