Risk magazine - Volume18/No5
Articles in this issue
CDOs target eastern Europe
New angles
Making sources of risk transparent
Corporate Statement
Distressed expectations
German NPLs
The top stories from RiskNews
RiskNews
Job moves
People
NAB to reopen options desk
New angles
Building a risk culture
Profile
Broker shake-up continues
New angles
Achieving consensus
Reference data
Structured products boom
Sponsored Forum
Banks warn of structured product barriers
New angles
A return to prop trading
Profile
Piloting a risk revolution
Corporates
Preparing for pressure
Cover story
The risk of inertia, and of change
Risk analysis
Foreign banks join TurkDex
New angles
Plugging the gaps
Portfolio management
Structured products
Introduction
The write option
Covered calls
End of a drought?
Corporate issuers
A broader investor focus
CDO managers
Expectations dashed
Hedge funds
Inflation
Introduction
Bringing inflation to life
Life insurance
Impetus from overseas
Japan
Turning to Europe
Inflation futures
Buying into commodities
Commodities
A Markovian approach to modelling correlated defaults
Vladyslav Putyatin, David Prieul and Svetlana Maslova unveil a simple dynamic binomial credit model with a Poissonian mixing distribution to satisfy the constraints faced by financial institutions assessing their credit exposure in a consistent manner…
Modelling counterparty credit exposure for credit default swaps
Modelling counterparty credit exposure for credit derivatives is more complicated than for non-credit products, since the reference credit and counterparty can exhibit positive default correlation. Here, Christian Hille, John Ring and Hideki Shimamoto…
Time to smile
Cutting edge: Option pricing
