Risk magazine - Volume20/No7
Articles in this issue
Credit craftsman
Profile
A long journey
Interest rate models
Sophisticated vulgarity
Comment
The best-laid plans ..
Strategic Risk
The omega man
Profile
Great expectations
Where are they now?
Riding the storm
Germany's national carrier, Lufthansa, was hit hard by the September 11 terrorist attacks. The airline's chief risk officer talks to Gareth Gore about how the shock event brought about sweeping changes to its liquidity risk management
Master of all trades
Profile
The urge to merge
The story so far
A model prophet
Profile
What's the score?
The story so far
Of liquidity and utility
In Focus
Out of retirement
Pensions
Risk milestones
Anniversaries inevitably inspire an urge to reminisce. David Rowe lists several important public milestones and one personal milestone in the development of financial risk management
The Risk age
Comment
Structural shifts
Structured Products
Incredible credit
The Evolution of Credit
What does the future hold?
Challenges Ahead
Credit challenge
Credit Derivatives Modelling
One big happy family
Option Pricing Models
Voldstad on the birth of DPCs
Connie Voldstad was head of JP Morgan's first dedicated swaps desk, established Merrill Lynch's AAA-rated derivatives product company, and was one of the six-strong team charged with winding down Long-Term Capital Management. His latest project is a new…
The brain gain
The Key Developments
Ordering chaos
Learning from crises
The hard sell
Covenant-Lites
Jumping the fences
Profile
Capping it all
Profile
The ups and downs of fair value
Accounting
Pricing with a smile
In the January 1994 issue of Risk, Bruno Dupire showed how the Black-Scholes model can be extended to make it compatible with observed market volatility smiles, allowing consistent pricing and hedging of exotic options
The probability approach to default probabilities
Default estimation for low-default portfolios has attracted attention as banks contemplate the requirements of Basel II's internal ratings-based rules. Here, Nicholas Kiefer applies the probability approach to uncertainty and modelling to default…
A telling scope
The number of technical articles submitted each year to Risk has stabilised at around 90, and a high proportion of them are still about credit derivatives and credit portfolio risk analysis. In fact, in our Cutting Edge pages and behind the scenes we…
Loan portfolio value
Using a conditional independence framework, Oldrich Vasicek derives a useful limiting form for the portfolio loss distribution with a single systematic factor. He then derives a risk-neutral distribution suitable for traded portfolios, and shows how…
Higher and higher
High-frequency data
