Asia Risk
On the move
People
Proxy-hedging problems
Taiwanese insurers
Bucking the trend
Editor's letter
Quantum leap
Profile
Default lines
Credit ratings
Marking to make-believe
Opinion
Stripping out forex
Currency overlay
Picking up the pace
Corporates: Corporate profile
Interbank affairs
Interdealer survey
Speculating on suitability
Corporates: SMEs
Lessons 'learnt'
Special Report - Corporates
Altering approaches
Corporates: Hedging strategies
Market-implied Archimedean copulas
Computations of implied copulas are a central element in producing loss distributions of bespoke portfolios and pricing their tranches. This process is made feasible by the availability of index tranche pricing data. Luigi Vacca shows how it is possible…
Profiting from divergence
Interest rates
Spiralling debt
Cover story
The liquidity link
Economic capital
Valuing tranches of synthetic CDOs
Class notes