Risk magazine - Volume20/No4
Articles in this issue
A flawed structure
US mortgages
Broken joints
Rating Agencies
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…
Carry concerns
Foreign Exchange
Stepping up surveillance
CFTC chairman Reuben Jeffery talks to Alexander Campbell
The moving market
Property Derivatives
Stunned by subprime
CDOs of ABSs
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…
Passing the test
Equity derivatives - Algorithmic trading
Demand gridlock
Corporate Risk - Profile
The road to diversity
Nordic risk - Inflation
Corporate consolidation
Corporate risk
Nowhere to run
Equity derivatives - Non-recourse financing
A turning point
Nordic Risk - Profile
Employing innovation
Corporate Risk - Stock options
Introduction
Equity derivatives
Of spikes and sell-offs
Equity derivatives - Volatility
Much ado about little
Nordic risk - Pensions
Introduction
Nordic risk
