Risk magazine - Volume17/No4
Articles in this issue
Treasuries worry European managers
New Angles
New type of CDS gets off the ground
New Angles
Eurex’s big US gamble
Exchanges
Hedging for SMEs
Profile
Throwing a curve at correlation
Sponsor's statement
A long bull run
Introduction
Go further
Introduction
The correlation conundrum
Credit Defaults
String theory
Commodity pricing theory
Mixed signals
Global credit
Bullish on commodities
Hedge funds
Pricing potholes
Valuation
Ingots we trust?
Metal trading
PD estimates for Basel II
One of the main issues banks will have to face to comply with the new Basel II internal ratings-based approach is to prove that the long-run average probabilities of default they assign to their clients, which will be used as the basis for regulatory…
Cross-market valuation
This article takes the guesswork out of what credit margin to use when valuing credit-risky derivatives, and also sheds light on how relative value trading and capital structure arbitrage may be analysed quantitatively.
