Arbitrage
Securitisation will not be damaged by Basel II, says Mercer Oliver Wyman
Securitisation and related forms of credit risk transfer are unlikely to suffer in the long-term under the Basel II proposals, according to a report published today by financial and risk management consultancy, Mercer Oliver Wyman.
Pitfalls and alternatives
Correlation
Legal risk optimisation
Allen & Overy's Carolyn Jackson discusses the importance of a quantitative approach to legal risk.
HJM with multiples
Term structure of credit
Rates of skew
Interest rate models