Risk magazine
Defending defined benefit
Alternative investment products: Pension profile
Uncertainty drives US inflation market
Alternative investment products: US inflation
Alternative investment products
Alternative investment products: Introduction
Playing on correlation
Alternative investment products: Commodity hybrids
Coping with complexity
Technology: Technology rankings 2005
Markit launches inflation derivatives valuations
Markit has launched a valuations service for inflation derivatives that will cover European, US, UK and French zero coupon swaps going out to 30 years.
Technology
Technology: Introduction
Software Survey 2005
Technology
The bleeding edge
Technology: Credit derivatives
China hit by second trading scandal
New angles
QA & RISK FORUM: FUND-LINKED DERIVATIVES: Fund-linked derivatives forum
Sponsor’s statement
A step too far?
Comment
Putting energy into credit
Energy derivatives
Fund-linked derivatives: structuring alpha
Sponsor’s statement
CBOT volumes rise as shift to electronic trading continues
Volumes on the Chicago Board of Trade continued to rise in November, as trading on the exchange shifted steadily from open-auction to electronic means.
Isda novations protocol closes with almost 2,000 entities
A total of 1,953 trading entities had signed up to the International Swaps and Derivatives Association’s novation protocol by the time the adherence period closed on November 30. As the deadline approached, a late surge in adherents saw 380 entities…
Deutsche completes fixed-income sell-off
Deutsche Bank has completed the sale of its US active fixed-income asset management business to UK-based Aberdeen Asset Management.
An empirical analysis of equity default swaps (I): univariate insights
Arnaud de Servigny and Norbert Jobst assess whether standard quantitative credit techniques can be used to measure the individual risk of hybrid instruments called equity default swaps (EDSs). This endeavour is based on extensive empirical work. The…
New interest in portfolio asset allocation
The top positions in our annual most cited authors table (A) demonstrate continued interest in credit derivatives in recent years. The lead is taken by Robert Jarrow, who contributed on a wide range of topics. From table B, we see that the top 10 most…
Operational VAR: a closed-form approximation
Klaus Böcker and Claudia Klüppelberg investigate a simple loss distribution model for operational risk. They show that, when loss data is heavy-tailed (which in practice it is), a simple closed-form approximation for operational VAR can be obtained. They…
RiskNews
RiskNews
Spain near to finalising CDS rules
New angles
Low volatility stymies OTC growth
New angles
New frontier for synthetics
Leveraged loans