Market risk
A model companion
Derivatives and Internal Models by Hans-Peter Deutsch Palgrave 621 pages, $120 ISBN 0-333-97706-8
Nine billion ways to be snowed
Emanuel Derman separates real tools from passing trends in the risk management vocabulary. This article is adapted from his talk on Future Innovations in Risk Management, presented at the April Risk 2002 Conference in Paris
Structured vehicle link to fund of funds to widen client base
CDOs have been restructured for the fund of hedge fund market
Testing assumptions
In calculating value-at-risk forecasts for trading portfolios, distributional assumptions are asimportant as the choice of risk factors, but it is not easy to determine the source of errorwhen rejected forecasts occur. Here, Jeremy Berkowitz develops a…
Structured products
Despite hedge funds promising absolute returns, plenty of buyers want guarantees on top
Safety first
After a turbulent 1998, Swiss-based Signet Research & Advisory has undergone a radical risk assessment of its fund of hedge funds
Honour your contribution
What is the best method for determining the risk contribution of a component in a portfolio? An exploration of the pros and cons of three important methods, showing that none dominates the others.
Servicing the e-industry
Investing in IT infrastructure development is essential in today’s often fractured environment of rival software languages and specific trading needs. Clive Davidson discovers what is on offer to bring these disparate elements together
Hedge fund risk and VAR uncertainty
External transparency of the risk of hedge funds continues to be a difficult issue. But even internally, traditional risk measures can fail to portray the full implication of highly leveraged positions. David Rowe argues that the parameter sensitivity of…
Fixed or floating?
Corporate debt
Filling the inflation gap
Index-linked securities
Marrying portfolios and PCA
Principal components analysis
A long way from success
Electronic trading
Pinning down portfolio risk
Fixed-income modelling
In pursuit of returns
Institutional investors
Swap spreads uncovered
Sponsor`s statement
Convexity hedging and its impact on US swap spreads
Sponsor`s statement
Slowly but surely
Michael Goldman's steady approach towards his AllWeather Fund has ensured consistent returns
Loss survey supports arguments against capital charges, say fund managers
London - The results of a survey by global banking regulators of banks’ operational loss experience support arguments against using capital charges as the main protection against operational losses in fund management and broker activities. This is the…
Awake at the wheel
While the markets worried that Dynegy could follow Enron into the abyss, Glenn Labhart’s risk management team helped to keep the trading firm out of trouble.