Risk magazine - Volume20/No2
Articles in this issue
Risk Awards 2007
Risk Awards 2007
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
The evolution will be analysed
Structured Products
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…
Collateral thinking
Regulation
The MSR remedy
Mortgages
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…
Less is more
Hedge Fund Replication
Commodities
Introductiuon
Credit Risk
Introduction
Pushing the boundaries
Credit Funds
The metals bubble
Metals
Playing hardball
Exchanges
Underlying concerns
Exchange-traded Funds
A new twist
CPDOs
Wait and CDO
Profile
Top of the league
Energy and Commodity Rankings 2007: Energy
Going for gold
Energy and Commodity Rankings 2007: Metals
