Risk magazine
Thomson ties up with SwapsWire for rates trades
New Jersey-based Thomson TradeWeb has signed an agreement with UK electronic confirmation service SwapsWire that it hopes will speed up deal processing and cut risk for its customers.
Pensions
Introduction
A gilt complex
Supply and Demand
Germany prepares for first linker issue
The German government is set to issue €5.5 billion worth of inflation-linked bonds next week. They will be the first linkers issued by Germany.
Moody’s KMV launches Chinese RiskAnalyst
Moody’s KMV, a provider of credit risk measurement solutions, has launched a Chinese version of RiskAnalyst, a platform that allows institutions to make lending decisions using internal ratings and analysis of financial statement data based on local…
Inflation-indexed securities - Inflation with a smile
In the current inflation-indexed markets, most traded options have zero or even negative strikes. This highlights the need for a smile-consistent valuation of caps and floors on inflation rates. To this end, Fabio Mercurio and Nicola Moreni propose a…
Optimal allocation to hedge funds
Lionel Martellini and Mathieu Vaissie argue that it is only by taking into account the exact nature and composition of their existing portfolio that institutional investors can maximise the benefits they can expect from investing in hedge funds. To this…
Tips options in the Jarrow-Yildirim model
Marc Henrard proposes an explicit pricing formula for inflation bond options using the Jarrow-Yildirim model. The formula resembles that for coupon bond options in the Heath-Jarrow-Morton model
Lessons learned
Operational Risk
Limits on far VAR
Hedge Fund Perspective
Trading by models
Hedge funds
Under scrutiny
Equity Derivatives
A new regime
Hedge Funds
Banks get stressed
Stress Testing
Tussle over alpha
Alternative Investments
A dynastic alliance
Profile: Lou Scotto
The ABC of QRM
Book Review