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Risk magazine

A saddle for complex credit portfolio models

Guido Giese applies the saddle-point approximation to analyse tail losses for very general credit portfolios, including correlated defaults, stochastic recovery rates, and dependency between default probabilities and recovery rates. The numerical…

Intensity gamma

Mark Joshi and Alan Stacey develop a new model for correlation of credit defaults based on a financially intuitive concept of business time similar to that in the variance gamma model for stock price evolution

A model of op risk with imperfect controls

Jorge Sobehart considers a model for the loss severity of operational risk events whose distribution is determined by risk control and risk mitigation. In particular, he shows that ineffective risk controls can lead to heavy-tailed distributions of…

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The entrepreneurial edge

Martin Currie has steered clear of China's state-controlled entities, opting instead to target the country's management-owned companies. Rachel Wolcott talks to Chris Ruffle, lead manager of Martin Currie's China fund

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