Risk magazine - Volume19/No4
Articles in this issue
The disclosure debate
Opinion
CAO directors fined
New Angles
PPF loses chief executive
People
An echo from the past
Risk analysis
An inside job
Q&A
An unconfirmed success
Back office
Essential assets
Hedge fund analysis
FSA to probe hedge fund valuations
New Angles
German launch for Moody's RiskCalc
New Angles
Fusing risk and finance
Technology
Building a risk matrix
Profile
Alpha abounds
Hedge fund perspective
ASX bids for SFE Corp
New Angles
After the storm
Cover Story
Evolving trends in the US equity derivatives market
Sponsor's statement
Short cut to nowhere
Derivatives accounting
Housing indexes due from S&P
New Angles
Wrong way risk modelling
Beyond its potential impact on counterparty risk exposure, the wrong way risk arising in some derivatives transactions raises important modelling challenges. Christian Redon presents two suitable models based on conditional expected exposure. Among…
A structural approach to EDS pricing
Structural credit models have been used to price bothcredit and equity derivatives, making them a naturalframework to price equity default swaps. Using such aframework, Elena Medova and Robert Smith derivean analytic expression for the EDS spread,…
Structural credit calibration
Damiano Brigo and Massimo Morini introduce first-passage models with time-varying volatility and random default barriers, while illustrating their tractability, exact calibration and economic interpretation. The models' behaviour on Parmalat data prior…
A new breed
Credit Derivatives
Responsible growth
Comment
Constructing a curve
Corporate profile
Trading on fear
Volatility options
Introduction
Corporate Risk
Equity derivatives
Introduction
The cost of complexity
Hybrid products
Divided fortunes
Corporate end-user survey 2006
Optimising hedging
Corporate profile
Driving innovation convergence?
Experimental economics
Cautious Porsche
Corporate profile
Follow-up fundamentals
Restructuring
