Risk magazine - Volume19/No8
Articles in this issue
Home-host conflict
Despite structural attempts at supervisory co-ordination, international banking groups need to foster bilateral understanding with their subsidiaries' host regulators, argues David Rowe
Taking exception
Value-at-risk
Into the tempest
Natural catastrophe risk models suggest that insurers are significantly under-capitalised. Firms are tapping the capital markets for billions of dollars in additional reinsurance capacity, but it may not be enough to avoid damaging rating downgrades…
Stemming the flow
Liquidity risk
Vexed by variance
Variance swaps
Low-default portfolios without simulation
Low-default portfolios are a key Basel II implementation challenge, and various statistical techniques have been proposed for use in PD estimation for such portfolios. To produce estimates using these techniques, typically Monte Carlo simulation is…
Cracking VAR with kernels
Value-at-risk analysis has become a key measure of portfolio risk in recent years, but how can we calculate the contribution of some portfolio component? Eduardo Epperlein and Alan Smillie show how kernel estimators can be used to provide a fast,…
Smiling at convexity
The price of a constant maturity swap (CMS)-based derivative is largely determined by the value of swaption volatilities at extreme strikes. Fabio Mercurio and Andrea Pallavicini propose a simple procedure for stripping consistently implied volatilities…
Going electronic
Commodities
Far from taxing
UK spread betting
Appetite for equity
Japan
All for the better
Spread bet hedging
Cementing relationships
Profile
Leveraging demand
Leveraged loan CDS
Introduction
Credit risk
Collateral damage
European CLO Market
Spreading the risk
Risk Management
