Risk magazine - Volume20/No8
Articles in this issue
It was 20 years ago today...
The untenable robustness of hedging
Take me to your interdealer
AFT to the fore?
Moving to convergence
Tighter integration – the key to the most successful FX derivative businesses
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
Putting backlogs up front
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
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
Islamic finance - Structuring for sharia
Foreign exchange - Carry on regardless
Foreign exchange - Algos a go-go