Risk magazine
Reuters calculates spot USD/HKD fixing rate
Reuters has been appointed the official calculator and distributor of the benchmark spot US dollar/Hong Kong dollar fixing rate, which will be launched on April 6 this year.
Follow-up fundamentals
Restructuring
Cautious Porsche
Corporate profile
Driving innovation convergence?
Experimental economics
Optimising hedging
Corporate profile
Divided fortunes
Corporate end-user survey 2006
The cost of complexity
Hybrid products
Equity derivatives
Introduction
Introduction
Corporate Risk
Trading on fear
Volatility options
Constructing a curve
Corporate profile
Responsible growth
Comment
A new breed
Credit Derivatives
Structural credit calibration
Damiano Brigo and Massimo Morini introduce first-passage models with time-varying volatility and random default barriers, while illustrating their tractability, exact calibration and economic interpretation. The models' behaviour on Parmalat data prior…
A structural approach to EDS pricing
Structural credit models have been used to price bothcredit and equity derivatives, making them a naturalframework to price equity default swaps. Using such aframework, Elena Medova and Robert Smith derivean analytic expression for the EDS spread,…
Wrong way risk modelling
Beyond its potential impact on counterparty risk exposure, the wrong way risk arising in some derivatives transactions raises important modelling challenges. Christian Redon presents two suitable models based on conditional expected exposure. Among…
Housing indexes due from S&P
New Angles
Short cut to nowhere
Derivatives accounting
Evolving trends in the US equity derivatives market
Sponsor's statement
After the storm
Cover Story
ASX bids for SFE Corp
New Angles
Alpha abounds
Hedge fund perspective
