Risk magazine - Volume17/No7
Articles in this issue
The top stories from RiskNews
RiskNews
The missing ‘link’
Review
Leeson offers op risk insight
New Angles
Job moves
People
Quantifying operational risk
Class notes
Swaps up at Dutch pension funds
New Angles
The risks of generational change
Risk analysis
Bets on for credit spread warrants
Corporate hedging
Emerging slowly to Basel
New Angles
Local dealers up the ante
2004 German rankings
UK pilots credit-guaranteed PFI
New Angles
VAR: ready to explode?
Cover Story
Poste Italiane to sue JP Morgan
New Angles
Risks for risk managers
Comment
Market questions Isda’s work on CDSs on ABS
New Angles
A capital solution
Insurance securitisation
The implications of implied correlation
Relative value
Inflation risk
Introduction
Credit risk
Introduction
Inflated expectations?
Debt agencies
Has insurance credit risk transfer been overplayed?
Credit guarantees
The Monte Carlo mindset
Technology
Getting off the floor
Inflation options
Inflating demand
Municipalities
The standard threat to inflation swaps
Accounting standards
A credit loss control variable
Viktor Tchistiakov, Jeroen de Smet and Peter-Paul Hoogbruin explain and demonstrate how the efficiency of Monte Carlo simulation in valuing a portfolio of credit risky exposures is improved by the use of the Vasicek distribution as a control variable. An…
Local cross-entropy
One way of addressing the inconsistency between exchange-traded options prices and the Black-Scholes model is to attempt to find alternative risk-neutral distributions that are more consistent. However, non-uniqueness means an additional criterion is…
Component proponents II
Christophe Pérignon and Christophe Villa propose a novel method of extracting the risk factors driving interest rates that allows both the covariance matrix of interest rates and the variances of the risk factors to vary through time. To illustrate the…
