Risk magazine - Volume19/No11
Articles in this issue
Steepeners flatline
CMS Spread Options
An aggregation question
Economic Capital
Validating EPE
Empirical validation of trading credit exposure simulation models is clearly essential. David Rowe points out, however, that the process must differ significantly from traditional back-tests of VAR models
New life for M&A derivatives
Mergers and Acquisitions
Muni mania
Municipal Bonds
Optimising omega
Optimising a portfolio's omega generally requires non-linear optimisation methods. Helmut Mausser, David Saunders and Luis Seco show that, under suitable conditions, a simple change of variables transforms the problem into a linear program that is much…
Cutting edges using domain integration
Zhengyun Hu, Jeroen Kerkhof, Paul McCloud and Jorg Wackertapp present the semi-analytic lattice integrator tree, a domain integrator method for pricing derivatives. This method can eliminate almost all numerical noises in derivatives pricing, and…
Managing interest rate risk for non-maturity deposits
For many banks, non-maturity deposits represent a significant part of funding. However, there is still no commonly accepted approach to managing such deposits' interest rate risk. Marije Elkenbracht and Bert-Jan Nauta introduce two dynamic hedge…
Credit model meltdown
Dealers are trading increasingly high volumes of bespoke tranches of synthetic credit risk with each other, yet there still appears to be little consensus on the application of credit models. Is there a danger the house of cards may come tumbling down?
Contracting out
Contracts for Difference
Commodities
Introduction
Credit Risk
Introduction
CDOs reunited
Hybrid CDOs
All tied up
Exchanges
Local opportunities
Emerging markets
Information gold mine
Correlation trading
Hard on commodities
Hedge funds