Correlation
JP Morgan and the CRM: How Basel 2.5 beached the London Whale
It’s the untold story of JP Morgan’s credit trading losses – how traders were able to reduce risk-weighted assets while loading up on risk, and the part played by Basel 2.5. Michael Watt reports
Responding to the eurozone crisis
The cutting crew
An easy-to-hedge covariance swap
An easy-to-hedge covariance swap
Kickouts and correlation
Kickouts and correlation
Risk 25: Cutting edge classics
Don’t say we didn’t warn you
A model future (part II)
A model future (part II)
Swedish banks braced for home loan capital hike
A weighty issue
Stress testing with fully flexible causal inputs
Stress testing with fully flexible causal inputs
Cutting Edge introduction: Hedging dependence
Hedging dependence
Multi-factor forward curve models for energy risk management
Applied risk management series – article two
Repricing the cross smile: an analytic joint density
Repricing the cross smile: an analytic joint density
No nosedive: markets could defy doom-mongers
Challenging the doom-mongers
Perturbed Gaussian copula: introducing the skew effect in co-dependence
Gaussian copula models are often used in the industry when single-asset information is quoted but little is known about their joint relation. These models may arise from correlated stochastic Brownian processes with deterministic volatility and…
Hybrid correlation matrices
Hybrid correlation matrices
Inflation derivatives house of the year: Royal Bank of Scotland
Risk awards 2012
Perturbed Gaussian copula: introducing the skew effect in co-dependence
Perturbed Gaussian copula: introducing the skew effect in co-dependence
Quant Congress Europe: Quants urged to ditch equilibrium models
Equilibrium models do not represent real markets and need to be replaced with models that take explicit account of real capital flows, says Alex Langnau
Trade of the month: Correlation
Trade of the month: Correlation
Volatility of volatility spike drives options liquidity squeeze
Volatility of volatility spike drives options liquidity squeeze
Cutting edge introduction
A popular copula
CVA hedging: a false sense of security
Quo vadis, CVA?
Trade of the month: Correlation
Trade of the month: Correlation
The growing influence of Caspian crude
Forecasting crude oil correlation changes
Greece’s second bail-out met with relief
Traders and strategists believe latest rescue package is a positive development, but expect further pain ahead as it is implemented