Risk magazine - Volume19/No6
Articles in this issue
Clarifying disclosure
Hedge fund perspective
Return of a heavyweight
Sustained economic recovery in Japan will probably lead to the end of the country's zero interest rate levels in the third quarter of this year. What impact will this have on risk management and the use of derivatives? And how will it affect the…
Growth in hostile territory
Convertible arbitrage
Internal affairs
Basel II
Who benefits?
Risk analysis
The real rocket scientists
As US space agency Nasa overhauls its risk management practices in preparation for a return to the Moon, Alexander Campbell looks at its new operational risk system
Prudence pays
Andrew Crossley, chief risk officer at Prudential
CMCDS valuation with market models
There is little, if any, literature available on constant maturity credit default swap valuation. Here, Damiano Brigo builds on his no-arbitrage dynamic credit default swap (CDS) market model to derive a formula involving a 'convexity adjustment' feature…
Absolute return volatility
The use of absolute return volatility has manymodelling benefits, says John Cotter. An illustration isgiven for the market risk measure, minimum capitalrequirements
The real value of stock
Collars involve the payment of a variable amount of stock, depending on an average stock price. In this article, Anthony Pavlovich uses the Black-Scholes framework to value these exotic derivatives and explore issues with hedging, as well as providing an…
Convergence on credit
Insurance
The single life
Trading platforms
Emerged economies
Profile
Electronic trading
Introduction
Entering volatility
Profile
Buying by the rules
Algorithmic trading
Splitting the market
Interest rate swaps
Risk management for investors
Introduction
Shifting sands
Foreign Exchange
Replicating returns
Asset allocation
Defining security
Regulation
