Risk magazine - Volume17/No12
Articles in this issue
Weather derivatives watershed?
ORM costs, challenges and opportunities
Long live longevity bonds?
The market leaders in Italian derivatives
Italian derivatives dealer rankings
Risk information – balancing priorities
Risk Italia Rankings 2004
Hedge funds and commodity risk management
The game of life
The top stories from RiskNews
São Paolo sophisticate
Freight market hits credit rocks
Software Survey 2004
Risk management for investors
Recent developments in the variance swap market
Building success in risk technology
Mind your behaviour
Will weight of money push down alpha returns?
The value of research
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…
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…