Risk magazine - Volume20/No12
Articles in this issue
Singed by contingents
Deal-contingent Swaps
Back to basics
Collateralised debt obligation (CDO) arrangers were ambushed in August by the most dramatic shifts in credit markets since 2005, while many investors have shied away from complex products. Where does this leave the future of the CDO market? Mark Pengelly…
Basel II backlash
Credit Risk
Caution at Cairn
Cairn Capital's chief executive, Paul Campbell, talks to Alexander Campbell
SIVs in need of a service
Structured Investment Vehicles
Valuing tranches of synthetic CDOs
In the second of this series of Class Notes articles, Charles Smithson and Neil Pearson consider the thorny issue of collateralised debt obligation (CDO) valuation. In the first of a two-part article (the second will be published in February 2008), they…
Compliance by default
Basel II
CCDS unchained?
In October, David Rowe argued that contingent credit default swaps offered only limited potential for active counterparty credit risk management. The convergence of several factors could change that
Factor models for credit correlation
Stewart Inglis and Alex Lipton describe dynamic and static factor models for credit correlation, and show how the static model can be calibrated to the market and used for the pricing of standard and bespoke tranches including tranchelets
Rolling credit
In the period from December 2006 to November 2007, the Cutting Edge section saw a slightly increased number of submissions compared with last year, but trends in publications and rejections (only one out of four sees the light of acceptance) show how our…
A long way to go
Longevity
Helping investors to profit in 'The Age of Turbulence'
Sponsored Statement
Is IT Mifid-ready?
Mifid Special Report
Remapping the future
Inflation
Collateral management A business practice in its own right
Sponsored Statement
How to read asset swap prices on inflation-linked bonds
Sponsored Statement
Delivering leading analytics across your institution
Sponsored Statement
Getting off lightly
Securitisation
A question of funding
Liquidity risk
Simply the best?
Best execution
The race to replicate
Hedge fund replication
You have the technology
Software Survey 2007
