Risk magazine
Harvesting potential
Profile: Hedge funds
Another chapter for credit
Comment
A focus on ETFs
Structured products
Fund investors turn to private investigators
New angles
Low credit risk withscarcity value
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A step up the ladder
Basel II
South Africa
Special Report
Structuring away asset andliability mismatches
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Nordic banking: meeting thederivatives complexity challenge
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Mazzone joins SuperDerivatives as sales head
Anna Mazzone has joined SuperDerivatives in London, where she will be in charge of the risk and pricing analytics firm's sales in Europe, the Middle East and Africa.
Trading down the slopes
The credit derivatives market is growing at an impressive rate, with the credit default swap (CDS) being the most popular instrument. This article is relevant for the trading of CDSs and bond portfolios. Mascia Bedendo, Lara Cathcart, Lina El-Jahel and…
An economic capital approach for hedge fund structured products
Hedge fund structured products are increasingly favoured by investors. Banks have been swiftly developing their commercial offers to meet this demand. However, the theoretical framework for the risk management of these products remains little explored,…
Unbiased risk-neutral loss distributions
Luigi Vacca introduces entropy maximisation (ME) to derive portfolio loss probabilities that are consistent with standard tranche prices on a credit default swap index. Tranche prices that are calculated using ME are free of arbitrage. A numerical…
A new sweet spot
Soft commodities
Tranche value on a yo-yo
Correlation trading
Risk and responsibility
Corporate governance
The evolution of variance
Cover story
Looking for an answer
Employee stock options
Refco fallout hits industry
New angles
RiskNews
RiskNews
Recovery swaps trading on the rise
New angles
End of an era for the world
Risk analysis
People
People