Risk magazine - Volume17/No12
Articles in this issue
Weather derivatives watershed?
New angles
ORM costs, challenges and opportunities
Corporate statement
Long live longevity bonds?
New angles
The market leaders in Italian derivatives
Italian derivatives dealer rankings
Job moves
People
Risk information – balancing priorities
Risk analysis
Risk Italia Rankings 2004
Awards reception
Hedge funds and commodity risk management
Corporate statement
The game of life
Cover story
The top stories from RiskNews
Feature
São Paolo sophisticate
Brazil
Freight market hits credit rocks
New Angles
Technology
Introduction
Software Survey 2004
Survey
Risk management for investors
Introduction
Recent developments in the variance swap market
Corporate Statement
Building success in risk technology
Technology rankings
Mind your behaviour
Investment
Will weight of money push down alpha returns?
Hedge funds
The value of research
Profile
Excess yields in bond hedging
Litterman & Scheinkman (1991) showed that the term structure of interest rates is reliablymodelled by an affine three-factor model using principal component analysis. Such a modelis inconsistent with no arbitrage. Here, Haim Reisman and Gady Zohar derive…
Broadening horizons
When the investment horizon is of the order of a few years, such as in the context of personalfinancial planning, it becomes necessary to calculate and stress-test the exact distribution ofthe market at the given horizon, as the common first-order…
