Risk magazine - Volume20/No3
Articles in this issue
Mid-cap emerges
Equity derivatives
Data's destiny
Grid Computing
The stress-testing trident
While stress testing is a much discussed topic, an accepted definition of best practice remains elusive. David Rowe proposes a three-pronged approach
Under pressure
Interest rate swaps
The derivatives watchdog
Thomas Huertas, FSA director of wholesale firms, talks to Alexander Campbell
The power law
MasterClass
Sizing up skew
Structured products providers' methods for hedging skew are fairly homogeneous. Some banks, however, are searching for ways to refine their approach to hedging by transforming skew risk into an investment palatable to sophisticated investors. By Rachel…
Size constraints
Commercial real estate
The intrinsic currency valuation framework
Introducing the concept of the intrinsic value of a currency, Paul Doust shows how to use foreign exchange market volatilities to calculate the volatilities of intrinsic currency values and the correlations between them
Valuing inflation futures contracts
In recent years, futures contracts written on inflation (specifically, on the ratio of the consumer price index (CPI) level at two different times) have been introduced. Working within the Jarrow & Yildirim (2003) model, John Crosby derives formulas for…
Variance swaps under no conditions
Conditional variance swaps are claims on realised variance that is accumulated when the underlying asset price stays within a certain range. Being highly sensitive to movements in both asset price and its variance, they require a very reliable model for…
Ageing gracefully
Sponsor Statement
South Africa - The African frontier
Securitisation
Getting the balance right
Inflation
Regulators Comment
South Africa
South Africa - Looking to new heights
Inflation
In for the duration
Liability-driven investment
South Africa - Who's dropping the carry trade?
Foreign Exchange
A liability defined
Pension indexes
South Africa - Giving clarity
Hedge funds
Defending pensions
Profile
Pensions & life insurance
Introduction
