Risk magazine - Volume19/No8

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

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…

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…

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