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Transition transmission
Asset management
A creditable target?
Operations
Bushel-whacked
Soft commodities
In the hothouse
Funding
The fraudbuster
Profile
The creative hedge
Portfolio Insurance
Economic capital ideas
Class Notes
A long road ahead
Basel II
Advantage: Algos
Algorithmic trading
Valuing Tips bond futures with the Jarrow-Yildirim model
Hongming Huang and Yildiray Yildirim apply the Jarrow-Yildirim model to derive a closed-form solution for Treasury inflation-protected securities (Tips) futures. With the issuance of inflation-protected bonds and the impact of inflation on financial…
A multi-state Vasicek model for correlated default rate and loss severity
Correlation between default and recovery has an important bearing on credit risk capital. Here, Rahul Sen shows that the effect can be modelled efficiently by allowing multiple loss states in the Vasicek framework. Heavy-tailed distributions result for…
A short cut to the rainbow
Per Horfelt designs an efficient and accurate method to price many popular multi-asset options such as options on the minimum and maximum of several assets and podiums. The method is based on a modification of the conditional independence model and is…
Clearing the way ahead
The major credit derivatives dealers, along with the Clearing Corporation, are working to develop a central clearing house for over-the-counter credit derivatives trades. How will this initiative work, and are there are any rival schemes in the pipeline?…
"We're politically accountable"
Regulatory capital
Loans return?
Loans
The best scenario
Technology
Libor under attack
Interest rates
A tough saddle to mount
Isda's chairman, Eraj Shirvani, talks to Alexander Campbell
Restoring ratings
CDO ratings