Risk magazine - Volume19/No3
Articles in this issue
Regulatory arbitrage: back to basics
Risk analysis
Risk Awards 2006
Risk Awards Photos
Life's perilous journey
Guaranteed variable annuity products generate huge profits for US life insurers, but have left firms massively exposed to exotic equity risk. Some companies are now laying off risk via long-dated, highly structured hedges. Not everyone is convinced this…
Seeking risk transfer
Insurance
Options reduced
Dealers report that European corporates have reduced their use of options since the introduction of IAS 39 last year. But with greater volatility in the foreign exchange markets expected in the coming year, are companies sufficiently hedged? Gareth Gore…
The ABC of QRM
Book Review
A dynastic alliance
Profile: Lou Scotto
Tussle over alpha
Alternative Investments
Banks get stressed
Stress Testing
A new regime
Hedge Funds
Under scrutiny
Equity Derivatives
Trading by models
Hedge funds
Limits on far VAR
Hedge Fund Perspective
Lessons learned
Operational Risk
Tips options in the Jarrow-Yildirim model
Marc Henrard proposes an explicit pricing formula for inflation bond options using the Jarrow-Yildirim model. The formula resembles that for coupon bond options in the Heath-Jarrow-Morton model
Optimal allocation to hedge funds
Lionel Martellini and Mathieu Vaissie argue that it is only by taking into account the exact nature and composition of their existing portfolio that institutional investors can maximise the benefits they can expect from investing in hedge funds. To this…
Inflation-indexed securities - Inflation with a smile
In the current inflation-indexed markets, most traded options have zero or even negative strikes. This highlights the need for a smile-consistent valuation of caps and floors on inflation rates. To this end, Fabio Mercurio and Nicola Moreni propose a…
A gilt complex
Supply and Demand
Pensions
Introduction
The pension counsellor
Regulations
An end to smoothing
Accounting
A diversification play
Alternative Investments
Opting for LDI
Liability-driven investment