Risk magazine
Un modello di Vasicek multistato con correlazione tra tassi di default e perdita
Approfondimenti - Rischio di credito
Il restyling dei rating
Rating di CDO
Sunk by correlation
Equity Derivatives
Topsy curvy
Interest rates
UBS names new global co-head of FICC
Jeffrey Mayer has been named global co-head of fixed income, currencies and commodities (FICC) at UBS.
Interbank lending remains volatile as bailout is revised
The interbank lending markets remained unstable today, after the US Senate agreed to vote on an amended version of the rescue package.
CDS spreads tighten as bailout is revised
The cost of protection on some of the world’s largest financial institutions fell yesterday as the US Senate agreed to vote on a revised version of the $700 billion financial rescue plan.
Smile dynamics III
In two articles published in 2004 and 2005 in Risk, Lorenzo Bergomi assessed the structural limitations of existing models for equity derivatives and introduced a new model based on the direct modelling of the joint dynamics of the spot and the implied…
Fully flexible views: theory and practice
Attilio Meucci proposes a unified methodology to input non-linear views from any number of users in fully general non-normal markets and perform, among others, stress testing, scenario analysis and ranking allocation. He walks the reader through the…
Taking risk to the top office
Hit by billions of dollars in subprime writedowns, banks are looking at how best to organise their risk management functions. Steve White makes a far-reaching proposal
Jump-start needed
Securitisation
O Brothers, where art thou?
The bankruptcy of Lehman Brothers, coming on the back of the conservatorship of Fannie Mae and Freddie Mac, sent market participants rushing to compute their exposures and replace affected hedges. How did the market bear up? By Peter Madigan and Nick…
Time for action
Back-office processing has long been the neglected stepchild of the derivatives business. But improved technology and growing systemic risk mean the time is ripe for supervisors to demand T+0 reconciliation, argues David Rowe
Reassuringly expensive
Funding