Risk magazine - Volume19/No10
Articles in this issue
A twist on the Arm
Mortgage finance
The ratings race
Hedge funds
Defining copulas
Masterclass
The arrogance of hindsight
Some governments are reportedly becoming more active in using derivatives to manage their debt and funding costs. While arguably quite sensible, public distrust and sensationalist journalism present special dangers, argues David Rowe
A quiet revolution
Governments have traditionally kept their limited use of derivatives close to their chests. But some sovereigns are now broadening their mandates to encompass a wider array of risks and they are increasingly turning to the derivatives markets. By Navroz…
Private highs
A consortium of institutional investors bought a 27% stake in HSH Nordbank in August, making it the first part-privatisation of a German Landesbank. Duncan Wood talks to Hartmut Strauss, responsible for risk and finance at HSH, about the changes
The correlation debate
Retail Portfolio Risk
Driven to distraction
Pension funds
Dealing with seller's risk
The risk of trade receivables securitisations comes from both the pool of assets and the seller of the assets. Vivien Brunel develops a model for securitisation exposures that deals with both risks, and analyses in detail the interplay between debtors'…
Dynamic frailties and credit portfolio modelling
Martin Delloye, Jean-David Fermanian and Mohammed Sbai estimate and discuss a reduced-form credit portfolio model in a proportional hazard framework. They propose an innovative method of generating flexible amounts of dependence between underlying…
An indirect view from the saddle
The saddlepoint method has become established as a tool for portfolio analysis. In this article, Richard Martin and Roland Ordovas review the main concepts and show that there are two essentially distinct ways of applying it to conditional independence…
Enterprise 2.0: the next generation
A growing number of banks are using Web 2.0 technologies within their risk management, trading and research operations. Clive Davidson looks at how blogs, wikis and podcasts are being applied by financial services companies
Inflation-linked products in South Africa
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An introduction toinflation trading inSouth Africa
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Profile - Southern synergy
South Africa
Introduction
Equity derivatives
Putting the accenton added value
Sponsor Statement
Portable alpha - Rise of the machine
Equity derivatives
Portable alpha
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IT enablement of businesstransformation and growth
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Event-driven option strategies provide new opportunities
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Introduction
South Africa
New ways to seek alpha
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Volatility - Viva la variance
Equity derivatives
Exchange controls - Capital constriction
South Africa
Listed options - Model adjustments
Equity derivatives
Targeted development
Pensions
Constant proportion portfolio insurance - Playing on protection
Equity derivatives
Hedge funds - Prime time
South Africa
