Risk magazine
A caccia di nuove attivita
Cartolarizzazioni
Strategie di trading sulla pendenza
DERIVATI CREDITIZI
Prodotti quotati alla riscossa
DERIVATI QUOTATI
Going electronic
Commodities
Maggiore chiarezza
MIFID
Mal di bilancio
COMMENTO
Obiettivo rendimenti assoluti
Asset management
Affari interni
Basilea 2
Mercato diviso
SWAP DI TASSI
Sospiro di sollievo per gli assicuratori
ASPETTI REGOLAMENTARI
Strategy indices
LE AZIENDE INFORMANO
Alla ricerca del trasferimento del rischio
Assicurazioni
BNP Paribas hires Swaddling and Small in hedge fund drive
BNP Paribas has appointed Paul Swaddling and Cameron Small as senior salesmen to its European institutional client unit, within the French bank's fixed-income division.
Smiling at convexity
The price of a constant maturity swap (CMS)-based derivative is largely determined by the value of swaption volatilities at extreme strikes. Fabio Mercurio and Andrea Pallavicini propose a simple procedure for stripping consistently implied volatilities…
Cracking VAR with kernels
Value-at-risk analysis has become a key measure of portfolio risk in recent years, but how can we calculate the contribution of some portfolio component? Eduardo Epperlein and Alan Smillie show how kernel estimators can be used to provide a fast,…
Low-default portfolios without simulation
Low-default portfolios are a key Basel II implementation challenge, and various statistical techniques have been proposed for use in PD estimation for such portfolios. To produce estimates using these techniques, typically Monte Carlo simulation is…
