Technical paper
The sum of its parts
Germany
Replication of flexi-swaps
Ingmar Evers and Farshid Jamshidian describe a relatively new product known as a flexi-swap and discuss its application in securitisation. A flexi-swap gives a counterparty an option to amortise the interest rate swap at an accelerated pace. They show…
Rating properties and their implications for Basel II capital
Internal ratings
Common interests
Interest rates
La Caixa
Quant analysis by StructuredRetailProducts.com
Sanpaolo IMI Group
Quant analysis by StructuredRetailProducts.com
Quant analysis by StructuredRetailProducts.com
Quant analysis
Barclays
Quant analysis by StructuredRetailProducts.com
Real-time trading
Rankings 2005
Understanding variations in the risk of multi-strategy portfolios
Investors spend a great deal of time and effort setting a thoughtful risk budget for their portfolio,only to see all too frequently that the targeted risk will be missed by a wide margin when theinvestment process gets started. In this article, Gang…
Jumps as components in the pricing of credit and equity products
The equity and credit markets have become increasingly integrated over recent years. This has increased the need for models and tools that allow traders to hedge their risk simultaneously in the two markets. Here, Daniel Bloch presents an approach that…
Quant analysis by StructuredRetailProducts.com
Quant analysis
AGF
Quant analysis by StructuredRetailProducts.com
West LB
Quant analysis by StructuredRetailProducts.com
BBVA
Quant analysis by StructuredRetailProducts.com
FinecoVita
Quant analysis by StructuredRetailProducts.com
Problems & Solutions: Probabilities of Default
There are many interesting issues surrounding credit risk that are of both practical and academic interest. The Problems and Solutions section aims to engage readers in active discussion and debate of such issues. Readers are encouraged to post questions…