Risk magazine - Volume20/No5
Articles in this issue
Subprime's silver lining
Ian Hawkins, President of Invicta
A growing gap
More and more dealers are entering the hedge fund derivatives market, and ever more complex structures are being launched. But while the fund-linked derivatives market has grown strongly, there is little consensus on the best way to manage the risks…
Saving for a rainy day
Liquidity Risk
A dangerous idea
Encouraging and supporting sound internal risk management has become an important aspect of effective financial regulation. Imposing a regulatory capital charge for stress-test losses would undermine this important objective, argues David Rowe
Default dilemmas
Basel II
Tranches of trepidation
Correlation
Micro scope widens
Micro-finance
Realised volatility and variance: options via swaps
Volatility Options
Calibration of CDO tranches with the dynamical GPL model
Consistent calibration of a credit index and its tranches across maturities with a single arbitrage-free model is a difficult problem. Here, Damiano Brigo, Andrea Pallavicini and Roberto Torresetti show that a simple loss dynamics based on the…
CDO managers - Do the ends justify the fees?
Credit Risk
CPDOs - A true sense of proportion
Structured Products
Exchange-traded funds - Gaining currency
Structured Products
Unlocking private equity
Structured Products
Profile - Savvy with synthetics
Credit Risk
