Risk magazine - Volume17/No6
Articles in this issue
Job moves
People
Regulation and economic capital spark debate
Risk Europe 2004
Risk salutes the market leaders
Awards and Rankings Dinner 2004
A difference in kind
Risk analysis
The top stories from RiskNews
RiskNews
Primus to tap equity market
New Angles
Wachovia expands its fixed-income business
Bank profile
End of the line for dividend arbitrage?
Equity derivatives
From academia to practice
Review
The central bank of sterling volatility
Cover Story
Short shrift for long-term mortgages
Cover Story
Risk analytics for the buy side
Feature
Jarrow tackles mortgage market
New Angles
Italian companies focus on derivatives
New Angles
The mortgage question
Comment
The commodities ‘gladiator’
Profile
Mortgage agencies showdown
Regulation
Securitisation
Introduction
Risk management for investors
Introduction
Risk analytics for the buy side
Measuring risk
Opportunities in illiquidity
Profile
Leading in securitisation
Profile
New England revolution
Public pension plans
Green shoots for derivatives
Pension funds
False start for True Sale?
Germany
Derivatives securitisation takes off
Risk management
Correlated defaults: let’s go back to the data
Estimates of asset value correlation are a key element of Merton-style credit portfolio models. Many practitioners have access to asset value data for a large universe of listed firms, so estimation is within reach. Alan Pitts describes a statistical…
Generalising universal performance measures
Performance and risk measurement are fundamental quantitative activities in finance, andnew ways of measuring them are always of interest. A recently proposed procedure is theuniversal performance measure. Theofanis Darsinos and Stephen Satchell show…
Arbitrage under power
When one knows the correct value of a tradable asset and the asset price diverges from that value, future convergence may present a good trading opportunity. However, the trader still has to decide when and how aggressively to open the position, and when…
