Risk magazine - Volume20/No10

No silver bullet

The emergence of contingent credit default swaps has presented banks with a new way to manage their counterparty credit exposures. However, they have important limitations, argues David Rowe

Quants' tail of woe

Liquidations of large quantitative equity portfolios prompted widespread misfiring of hitherto robust quant models. Historically unusual returns volatility and multi-billion-dollar mark-to-market losses ensued. Leading hedge fund managers talk to Jayne…

Economic capital ideas

This month sees the start of Charles Smithson's fourth series of Class Notes, which will run in alternate issues of Risk through the remainder of this year and into 2008. Class Notes is an educational series, designed to pull together the threads of…

Gamma process dynamic modelling of credit

The existing generation of credit derivatives models is unsatisfactory because they generally contain arbitrage, cannot describe the dynamics of the process, and are hard to extend beyond vanilla products. Martin Baxter has created a new tractable family…

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