Risk magazine - Volume20/No4

A yen for financing

Yen-denominated mortgages have proven an attractive source of low-cost housing funding over the past 10 years. David Rowe asks whether these products are an accident waiting to happen

Credit market ricochet

The run-up to the March roll of the iTraxx and Dow Jones CDX indexes saw an intense burst of trading activity as spreads widened sharply. Popular index trading strategies fell by the wayside, while new players such as CPDOs entered the market. How did…

Markovian projection for volatility calibration

Vladimir Piterbarg looks at the 'Markovian projection method', a way of obtaining closed-form approximations of European-style option prices on various underlyings that, in principle, is applicable to any (diffusive) model. The aim is to distil the…

Credit risk contagion

In a recession, company defaults increase due to both the worsening economic environment and the specific links between customers and suppliers. Banks intuitively know that customer default can cause supplier default. Duncan Martin and Chris Marrison…

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here