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Risk magazine

Brown to join AQR Capital

Applied Quantitative Research Capital (AQR), a $37.5 billion Greenwich, Connecticut-based hedge fund, has hired Aaron Brown as a risk manager. Brown is due to start in his new role in late June. He joins from Morgan Stanley in New York, where he was head…

Modelling inflation

Lars Kjaergaard models inflation using a three-factor Gaussian method. This gives a simple description of derivatives linked to inflation and interest rates, and allows for fast evaluation. He then shows how the model can be calibrated

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Tranche warfare

Many investors have taken a negative view on US subprime mortgages over the past year through credit default swaps. But with the US Congress putting pressure on servicers to modify the terms of loans to help borrowers avoid default, those trades might…

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Unthinkably favourable

Imagination in stress testing demands unorthodox thinking, as even seemingly favourable events can have negative consequences. In the case of the oil markets, this means stress testing for a fall, as well as a rise, in oil prices, argues David Rowe

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Against the grain

While UK and Danish pension funds have been frantically buying up long-dated government paper, German funds have begun to do the opposite. Gareth Gore talks to the country's largest scheme about its own portfolio revamp

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The pipeline cleaner

Chris Whitman, group treasurer of Deutsche Bank, talks to Alexander Campbell about maintaining bank liquidity

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