Risk magazine
IPD: property derivatives still growing
The property derivatives business is still growing, with £10.6 billion in deals so far in the UK - although the market continues to be reluctant to make trades based on property sectors.
A time-homogeneous, SABR-consistent extension of the LMM
Riccardo Rebonato proposes an extension of the Libor market model (LMM) that recovers the SABR caplet prices almost exactly for all strikes and maturities. The dynamics of the volatility are chosen so as to be consistent across expiries, to be…
Calibration of PD term structures: to be Markov or not to be
A common discussion in credit risk modelling is the question of whether term structures of default probabilities can be satisfactorily modelled by Markov chain techniques. Christian Bluhm and Ludger Overbeck show that empirical multi-year default…
All dried up
Liquidity risk
Ratings figure
Monolines
Not so bullish
Spain
Cutting the Gordian knot
Basel II remains wedded to incremental extensions to the market risk rules. It is time for a bolder approach in this area, argues David Rowe
Marking to mayhem
Market ups and downs have produced a roller-coaster ride for mark-to-market valuations of structured credit. Funds have responded by suspending net asset value calculations, arguing it is impossible to fairly value assets held by them under present…
The value of a system
Collateral management
How to heal a paper cut
London-based hedge fund manager Solent Capital hit the headlines in August after its SIV-lite, Mainsail II, became a victim of the liquidity squeeze in the commercial paper market, and was forced to wind down. However, the manager is looking to take…
BarCap releases emerging market indexes
Barclays Capital has published a set of indexes based on inflation-linked government bonds in eight emerging markets.