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Feeling the strain

While Russia seemed relatively shielded from the impact of the financial crisis during the first half of the year, the turbulent events of September and October suggest that is no longer the case. Alastair Marsh reports

Struck off

Credit default swaps (CDSs) offer protection against issuer default, and in general the protection is paid via a running spread rather than upfront. When the par spread changes, the contract cannot be unwound without leaving a default-contingent annuity…

Parameter estimation with k-means clustering

Ever since the pioneering work of Cox, Ross & Rubinstein (1979), tree models have been popular as an asset pricing method. However, statistical estimation of the parameters of tree models has been less studied. In this article, Kiseop Lee and Mingxin Xu…

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Macrofinancial risk

A valuable synthesis of financial theory and macroeconomics appears to be emerging. This could enrich both areas, says David Rowe

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Rocked by counterparty risk

The demise of Lehman Brothers has triggered fresh concerns about counterparty risk, creating a wave of novations and forcing dealers to think harder about the possibility of another major derivatives counterparty defaulting. Mark Pengelly reports

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