Technical paper
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Quant analysis
Barclays
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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…
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Quant analysis
AGF
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West LB
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BBVA
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FinecoVita
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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…