Arbitrage
Municipal Risk Manager of the Year - North Rhine Westphalia
Risk Awards 2008
Arbitrage under power
When one knows the correct value of a tradable asset and the asset price diverges from that value, future convergence may present a good trading opportunity. However, the trader still has to decide when and how aggressively to open the position, and when…
An arbitrage-free interpolation of volatilities
Nabil Kahalé describes a new construction of an implied volatilities surface from a discrete set of implied volatilities that is arbitrage-free and satisfies some smoothness conditions. His method provides an excellent fit to the smile of the local…
VAR for fund managers
Investment management
European buy side still lags in risk management
The findings of a recent survey show that buy-side firms have increased their focus on risk management, but are still well behind their sell-side counterparts.
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