Risk magazine - Volume20/No8
Articles in this issue
It was 20 years ago today...
Risk 20
The untenable robustness of hedging
Credit indexes
Take me to your interdealer
Hedge funds
AFT to the fore?
Sovereigns
Moving to convergence
Risk Management
Tighter integration – the key to the most successful FX derivative businesses
Sponsored Statement
Re-evaluating valuation
Subprime mortgage woes continue to send shudders through the markets. Rising delinquencies, rating downgrades and falling prices have left investors with huge losses on CDO of ABS investments. The losses have revealed discrepancies in the valuation of…
A topsy-turvy world
Securitisation
Putting backlogs up front
Equity Derivatives
Going downturn
There is much debate regarding the definition of 'downturn' loss given default (LGD). In this article, Michael Barco offers an analytic approach for calculating downturn LGD so that credit risk capital is not underestimated or overestimated
The balancing act
CDPCS
Is it really alpha?
Hedge funds often characterise their mission as the pursuit of pure alpha. A growing body of research, however, argues that a significant proportion of observed hedge fund returns are really alternative beta. David Rowe considers the implications for the…
Islamic finance - Work in progress
Securitisation
Collateral concerns
CFXOs
Islamic finance - Structuring for sharia
Structured products
Foreign exchange - Carry on regardless
Carry trade
Foreign exchange - Algos a go-go
Structured products
