Risk magazine - Volume20/No11
Articles in this issue
How to heal a paper cut
London-based hedge fund manager Solent Capital hit the headlines in August after its SIV-lite, Mainsail II, became a victim of the liquidity squeeze in the commercial paper market, and was forced to wind down. However, the manager is looking to take…
The value of a system
Collateral management
Marking to mayhem
Market ups and downs have produced a roller-coaster ride for mark-to-market valuations of structured credit. Funds have responded by suspending net asset value calculations, arguing it is impossible to fairly value assets held by them under present…
Cutting the Gordian knot
Basel II remains wedded to incremental extensions to the market risk rules. It is time for a bolder approach in this area, argues David Rowe
Not so bullish
Spain
Ratings figure
Monolines
All dried up
Liquidity risk
Calibration of PD term structures: to be Markov or not to be
A common discussion in credit risk modelling is the question of whether term structures of default probabilities can be satisfactorily modelled by Markov chain techniques. Christian Bluhm and Ludger Overbeck show that empirical multi-year default…
A time-homogeneous, SABR-consistent extension of the LMM
Riccardo Rebonato proposes an extension of the Libor market model (LMM) that recovers the SABR caplet prices almost exactly for all strikes and maturities. The dynamics of the volatility are chosen so as to be consistent across expiries, to be…
Forgotten, but not gone
Inflation
For whom cat risk tolls
Reinsurance derivatives
Longevity and mortality risk
Sponsored Statement
Emerging markets still on the rise
Sponsored Statement
New frontiers in insurance risk management
Sponsored Statement
Micro-finance, macro gains
Micro-Finance
Heating up
Structured products
Eyes on the storm
Supranationals
Afores to the fore
Pensions
Upended by downgrades
Collateralised commodity obligations
Life-changing deals
Variable annuities
At a turning point
Catastrophe Bonds
Reserves and reservations
Life insurance
Growing pains
Wheat
