Risk magazine - Volume19/No5
Articles in this issue
The German deficit dilemma
German municipalities are turning to the derivatives market to manage the interest rate risks on their massive deficits. Will these instruments relieve their problems or add to them? Rachel Wolcott investigates
Protect and survive
Risk analysis
On shaky foundations
Property derivatives
A forward view
Corporates
Gauging performance
Hedge fund perspective
Balancing the books
Liability-driven investment
Hey big lender
Technology
In Algos we trust?
Electronic trading
Smiling hybrids
Vladimir Piterbarg develops a multi-currency model with foreign exchange skew suitable for valuation and risk management of forex-linked hybrids, in particular power-reverse dual-currency (PRDC) swaps. The emphasis of the article is on model calibration…
Weighted Monte Carlo
Most pricing models assume an asset behaviour and calibrate its parameters to fit the market. Weighted Monte Carlo is able to calibrate the market without making specific assumptions about the asset behaviour. When only vanilla products are considered,…
Commodity options optimised
In 2005, John Crosby introduced a very flexible framework in which it is possible to price derivatives, including exotics, on almost any underlying commodity. In this article, he shows how pricing can be done approximately 30 to 400 times faster than the…
Buying in bulk
Annuities
Lightening up
Structured investment vehicles
Credit risk
Introduction
Puzzled by succession
Event risk
Bumped along by Basel II
Credit Portfolio Management
Catalysing liquidity
Profile
