Risk magazine - Volume20/No6
Articles in this issue
Collateral crisis
Collateralised loan obligations
The pipeline cleaner
Chris Whitman, group treasurer of Deutsche Bank, talks to Alexander Campbell about maintaining bank liquidity
Cross-border confusion
Basel II
Against the grain
While UK and Danish pension funds have been frantically buying up long-dated government paper, German funds have begun to do the opposite. Gareth Gore talks to the country's largest scheme about its own portfolio revamp
Unthinkably favourable
Imagination in stress testing demands unorthodox thinking, as even seemingly favourable events can have negative consequences. In the case of the oil markets, this means stress testing for a fall, as well as a rise, in oil prices, argues David Rowe
Spreading the risk
Operational risk
Tranche warfare
Many investors have taken a negative view on US subprime mortgages over the past year through credit default swaps. But with the US Congress putting pressure on servicers to modify the terms of loans to help borrowers avoid default, those trades might…
In the shadows
Counterparty Credit Risk
Modelling CDO tranches with dependent loss given default
Guido Giese presents an analytic methodology for pricing collateralised debt obligations tranches including stochastic and dependent loss given default
Modelling inflation
Lars Kjaergaard models inflation using a three-factor Gaussian method. This gives a simple description of derivatives linked to inflation and interest rates, and allows for fast evaluation. He then shows how the model can be calibrated
Risk contributions from generic user-defined factors
In this article, Attilio Meucci draws on regression analysis to decompose volatility, value-at-risk and expected shortfall into arbitrary combinations or aggregations of risk factors, and presents a simple recipe to implement this approach in practice
The next spreadsheet revolution
Sponsor Statement
Developing a real US market
Sponsor Statement
Going nuclear
Commodities
The breaking wave
Leveraged loans
Making up lost ground
Institutional Investor end-user Rankings 2007
The wrong market for credit derivatives?
Credit derivatives
Even better than the real thing?
Hedge fund replication
New world order
Regulation
