Risk magazine - Volume18/No12
Articles in this issue
The great divide
Cover Story
Calls for UK hedge fund regulation lose fizz
New angles
Spotlight on risk
Profile
The future face of financing
Hedge funds
An incentive for risk?
Hedge fund perspective
Prospectus prospects
Regulation
Home equity loan CDS surges
New angles
NAB drags brokers into forex options scandal
New angles
Japanese investors rush to exit PRDC notes
New angles
A step to Basel 1.5
Risk analysis
New frontier for synthetics
Leveraged loans
Low volatility stymies OTC growth
New angles
Spain near to finalising CDS rules
New angles
RiskNews
RiskNews
Operational VAR: a closed-form approximation
Klaus Böcker and Claudia Klüppelberg investigate a simple loss distribution model for operational risk. They show that, when loss data is heavy-tailed (which in practice it is), a simple closed-form approximation for operational VAR can be obtained. They…
New interest in portfolio asset allocation
The top positions in our annual most cited authors table (A) demonstrate continued interest in credit derivatives in recent years. The lead is taken by Robert Jarrow, who contributed on a wide range of topics. From table B, we see that the top 10 most…
An empirical analysis of equity default swaps (I): univariate insights
Arnaud de Servigny and Norbert Jobst assess whether standard quantitative credit techniques can be used to measure the individual risk of hybrid instruments called equity default swaps (EDSs). This endeavour is based on extensive empirical work. The…
Putting energy into credit
Energy derivatives
A step too far?
Comment
China hit by second trading scandal
New angles
The bleeding edge
Technology: Credit derivatives
Software Survey 2005
Technology
Technology
Technology: Introduction
Coping with complexity
Technology: Technology rankings 2005
Playing on correlation
Alternative investment products: Commodity hybrids
Alternative investment products
Alternative investment products: Introduction
Uncertainty drives US inflation market
Alternative investment products: US inflation
Defending defined benefit
Alternative investment products: Pension profile
A metamorphosis in funds
Alternative investment products: Mutual funds