Risk magazine - Volume18/No9
Articles in this issue
New York Fed looks at confirmation issue
New angles
Demanding disclosure
Hedge funds
We've come a long way...
Automated trading
Big is beautiful
Inter-dealer survey 2005: Brokers
Sizing up the competition
Profile
Falling short of the mark
Operational risk
Balancing the capital structure
Cover story
A smaller piece of the pie
Inter-dealer survey 2005
Credit looks to forward curves
New angles
RiskNews
RiskNews
The new market risk
Risk analysis
UK prepares 50-year linker
New angles
Eurex ponders US pull-out
New angles
Jittery oil market fuels Nymex highs
New angles
A Merton approach to transfer risk
Transfer risk is the risk that debtors in a country are unable to ensure timely payments of foreign currency debt service due to transfer or exchange restrictions, or a general lack of foreign currency. Although this risk is not extensively addressed in…
Back to the future
Current developments in exotic interest rate products push the demand for more sophisticatedinterest rate models. Here, Jesper Andreasen presents a new class of stochastic volatility multifactoryield curve models enabling quick calibration and efficient…
A fully lognormal Libor market model
In the Gaussian Heath-Jarrow-Morton model, all discount factors are lognormal under allforward measures. The Libor market model does not have this property – only the relevantforward Libor rate is lognormal under a given forward measure. However, all…
China opens up renminbi swaps market
New angles
China opportunity knocks
Comment
Back in business
Equity derivatives
Commercially minded
Structured products
Property derivatives
Introduction
A perfect storm
Hedge fund investors have pulled billions of dollars out of convertible arbitrage strategies over the past year, but some managers now reckon the market has bottomed out. Is the strategy turning the corner? By Duncan Wood
Risk management for investors
Introduction
The CRO road
Risk management
Setting alpha free
Pension
The man from the Pru
Profile
A force for change
Profile
An eye on Europe
Property indexes
Heading for land
Hong Kong