Risk magazine - Volume20/No7

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

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

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…

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…

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