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Risk Awards 2008

Last year was the most volatile since 1998, with rising delinquencies in the US subprime mortgage market causing banks to rack up billions of dollars in losses. Risk recognises those institutions that weathered the storm, and continued to provide…

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…

Uncovering PD/LGD liaisons

Francisco Sanchez, Roland Ordovas, Elena Martinez and Manuel Vega consider the presence of correlation between default and recovery through the familiar variance of loss formula. Business cycle dependence permits a neat decomposition of the variance…

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VAR counts

Rising defaults in the US subprime mortgage market, plunging prices in the credit sector and a sharp squeeze in liquidity all contributed to make the third quarter very difficult for banks. Risk compares the value-at-risk figures of the major banks in…

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Where the buck stops

Risk management units alone cannot avoid the damage from periodic bouts of irrational exuberance. That responsibility lies with the chief executive, argues David Rowe

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