Risk magazine - Volume20/No2

A gathering storm?

US default rates for high-yield bonds have remained surprisingly low over the past three years. Some argue this indicates that the world has changed, but we have heard this story before, argues David Rowe

Credit market complacency

The structured credit market has come under the scrutiny of regulators fearful that a credit downturn will bring significant systemic risk to the global financial markets. Participants in the credit derivatives market are, for the most part, nonplussed…

A mid-level playing field

Many banks across Europe are increasingly peddling derivatives to smaller corporate customers, and Lloyds TSB has been as active as any other, expanding its structuring and marketing teams in the UK to reach these mid-level clients. The Lloyds expansion…

Shortfall: a tail of two parts

Richard Martin and Dirk Tasche show that the expected shortfall, when used in the conditional independence framework, has an elegant decomposition into systematic (risk-factor-driven) and unsystematic parts. The theory is compared and contrasted with the…

When did the JGB market become efficient?

Focusing on the deviation from the fair-yield curve, Koichi Miyazaki and Satoshi Nomura discuss the transition in efficiency observed in the Japanese government bond market and find out that the turning point was in 1996, when the Japanese repo market…

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