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Risk magazine

Barclays appoints Diamond to board

Bob Diamond, one of the architects of Barclays Capital's derivatives business, was formally appointed to the board of the Barclays Group today, and takes on the additional role of group president.

Pricing equity default swaps

Claudio Albanese and Oliver Chen discuss the challenges of pricing equity default swaps, a credit-equity hybrid product. These structures straddle not only traditional asset classes such as equity derivatives and credit default swaps, but also…

Loss in translation

Ben De Prisco, Ian Iscoe and Alex Kreinin introduce a new analytical approach for valuing synthetic collateralised debt obligations. The approach differs from current analytical approaches by focusing on the tranche's loss distribution directly, as…

Squaring factor copula models

Tight spreads in the credit markets have forced investors to turn to innovative structures in their search for yield. One such structure is the synthetic CDO of CDO tranches, also known as CDO2. Prasun Baheti, Roy Mashal, Marco Naldi and Lutz Schloegl…

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