Risk magazine - Volume7/No1

A VAR, VAR better thing?

Banks reported a surge in the number of value-at-risk exceptions during the third quarter of last year following extreme turbulence in the financial markets. Are risk models breaking down? What are banks doing to fine-tune risk management practices and…

VAR counts

Rising defaults in the US subprime mortgage market, plunging prices in the credit sector and a sharp squeeze in liquidity all contributed to make the third quarter very difficult for banks. Risk compares the value-at-risk figures of the major banks in…


Commodities participants are used to volatility. But the price moves that have taken place during the past year are almost unprecedented and have made life extremely tricky for many market participants.

Forging an index

Efforts by miner BHP Billiton to create an iron ore index that would represent the underlying benchmark for a series of derivatives instruments appear to be floundering as Chinese steel producers press hard for pricing advantage. Kathleen Kearney reports

Risk corporate survey 2009

Risk's corporate survey shows counterparty risk is a key concern for company treasurers, but price continues to be the most important factor when choosing a derivatives counterparty. By Ryan Davidson, with additional research by John Beck, Alastair Marsh…

Editor's letter

While you ponder yet another acronym for structured products - they are now Prips, or packaged retail investment products, according to the European Union - reflect upon the fact that there has been some kind of progress in the calamitous world of…

Editor's letter

This issue marks the fifth anniversary of Structured Products magazine. To commemorate this landmark, we have looked back over every issue since our launch and constructed a timeline featuring some of the most interesting stories and events, as well as…

Pricing with a smile

Bruno Dupire shows how the Black-Scholes model can be extended tomake it compatible with observed market volatility smiles, allowingconsistent pricing and hedging of exotic options

Spreading fear

As credit spreads on financial institutions widened in the second half of 2008, some banks registered substantial gains on their own debt. The International Accounting Standards Board has subsequently ignited a debate over the inclusion of credit risk in…

Credit spread shocks: how big and how often?

The second half of 2007 saw violent moves in credit spreads. In the fallout, there has been much discussion about how to estimate the probabilities of these severe events, but few conclusions have been obtained beyond the fact that historical data is…

JI: Life after 2012?

Joint Implementation (JI) emission reduction projects have so far been overshadowed by the Clean Development Mechanism. Katie Holliday investigates whether there is a future for JI projects post-2012

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