Risk magazine - Volume18/No6

• Markets

NPD losses force wind down

New angles

• 01 Jun 2005

• Credit markets

Squaring factor copula models

Tight spreads in the credit markets have forced investors to turn to innovative structures in their search for yield. One such structure is the synthetic CDO of CDO tranches, also known as CDO2. Prasun Baheti, Roy Mashal, Marco Naldi and Lutz Schloegl…

• 01 Jun 2005

• Markets

Portfolio skew and kurtosis

Cutting edge: Brief communication

• 01 Jun 2005

• Risk management

Squaring factor copula models

• 01 Jun 2005

• Credit markets

Loss in translation

Ben De Prisco, Ian Iscoe and Alex Kreinin introduce a new analytical approach for valuing synthetic collateralised debt obligations. The approach differs from current analytical approaches by focusing on the tranche's loss distribution directly, as…

• 01 Jun 2005

• Markets

Pricing equity default swaps

Claudio Albanese and Oliver Chen discuss the challenges of pricing equity default swaps, a credit-equity hybrid product. These structures straddle not only traditional asset classes such as equity derivatives and credit default swaps, but also…

• 01 Jun 2005

• Structured products

Avoiding complexity

Investor profile – GIC

• 01 Jun 2005