Risk magazine - Volume18/No11
Articles in this issue
Dealers work to meet deadlines
New angles
Recovery swaps trading on the rise
New angles
Tranche value on a yo-yo
Correlation trading
A new sweet spot
Soft commodities
Unbiased risk-neutral loss distributions
Luigi Vacca introduces entropy maximisation (ME) to derive portfolio loss probabilities that are consistent with standard tranche prices on a credit default swap index. Tranche prices that are calculated using ME are free of arbitrage. A numerical…
An economic capital approach for hedge fund structured products
Hedge fund structured products are increasingly favoured by investors. Banks have been swiftly developing their commercial offers to meet this demand. However, the theoretical framework for the risk management of these products remains little explored,…
Trading down the slopes
The credit derivatives market is growing at an impressive rate, with the credit default swap (CDS) being the most popular instrument. This article is relevant for the trading of CDSs and bond portfolios. Mascia Bedendo, Lara Cathcart, Lina El-Jahel and…
Another chapter for credit
Comment
South Africa
Introduction
A focus on ETFs
Structured products
Direct access
Hedge funds
Nordic risk
Introduction
Harvesting potential
Profile: Hedge funds
Mixed signals for derivatives
Solvency reform
Leading the pack
Basel II
A step up the ladder
Basel II
Widening the spectrum
Credit risk
Warming to exotics
Structured products
