Risk magazine - Volume16/No4
Articles in this issue
The power of the portfolio
To observers, credit portfolio modelling appears particularly dependent upon making approximations. Derivatives traders may study finite difference schemes, but at least the pricing models are finely calibrated to the market. Asset managers might have to…
Derivatives disclosure calls mount
Cover story
Job moves
People
Algorithmic trading’s next frontier
Equity options
A buffetting for derivatives
Risk analysis
Technology briefs
Systems
RiskNews review
RiskNews review
War jitters fuel corporate woes
Corporate risk disclosure
Merrill to settle forex trades via Citi
New angles
New credit derivatives calculator from GFI
New angles
An approach to economic capital for financial services firms
Economic capital
Merrill backs fund of funds
New angles
Risk 2003 15th Anniversary Dinner
Anniversary
Fractured consensus
Comment
Crisis management
Profile
WBOT blows off course
New angles
The Master Agreement
Trends
Seller’s market for cat bonds
New angles
The data deluge
Systems
The new orthodoxy
Introduction
Equity long-short strategies
Sponsor’s statement
A surreptitious stampede
Credit derivatives
Virtual funds
Replication
Deciding hedge fund allocations
Pension funds
A liquidity haircut for hedge funds
Cutting edge: Liquidity risk
Trading transparency tug-of-war
Prime brokerage
RMF: a consistent performer
Profile
Trading places
Recruiting
A clear winner
Review
Building a risk-efficient portfolio
Investing
Credit ensembles
Kevin Thompson and Roland Ordovas address the question of how individual counterparties contribute to the total credit risk of a portfolio. They provide an analytic method, new to credit modelling, to estimate all joint default statistics conditional…
Enhancing CreditRisk+
Of the various analytical approaches to credit portfolio modelling, CreditRisk+ has become the most popular due to its tractability. However, the model suffers from the restrictive assumption of sector independence. Moreover, the recursion relation for…