Risk magazine - Volume18/No4
Articles in this issue
Eyes turning east
New angles
In the spotlight
Credit derivatives
Isda looks to past and future
New angles
Unblocking the balance sheets
Technology
The top stories from RiskNews
RiskNews
CMBS derivatives gather pace
New angles
The dangers of complexity
Risk analysis
A new evolutionary path
Cover story
Shake-up for brokers
Broking
Job moves
People
Time for transparency
Comment
Goldman launches swaps platform
New angles
Unblocking the balance sheets
Technology
Trust-preferred CDOs spark concern
New angles
Integrate to accumulate
Cross-asset strategy
Successfully managing economiccapital in a Basel II environment
corporate statement
Books
Review
Concern over ABS op risk grows
New angles
Senate urged to overhaul CFTC
New angles
The risk monitor
Profile
Answering the dollar doldrums
Emerging markets
CAO blames Goldman
New angles
Credit risk
Introduction
A new target
Retail CDOs
Living with volatility
Accounting
Corporate risk
Introduction
Challenges brewing
Corporate profiles
Challenges and choices
Corporate End-user Rankings 2005
Regulation into returns
Corporate profiles
Creating an asset class
Credit options
Looking for value
CDO manager profile
Fuel price turbulence
Corporate profiles
No smoke without risk management
Corporate profiles
Hitting the spot
CDOs
Omega portfolio construction
The omega risk-adjusted performance measure with Johnson distributions accountscomprehensively and non-discretionarily for the first potentially persistent moments includingskewness and kurtosis. The Johnson-omega ratio thus overcomes the shortcomings of…
The impact of PD/LGD correlations on credit risk capital
Guido Giese applies econometric estimates of correlations between default rates and loss given default rates to modern credit portfolio models to quantify their impact on the calculation of credit risk capital
A forward-looking adjustment
Cutting edge: Operational risk
