http://www.risk.net/public/showPage.html?page=risknet_latest Full table of contents of current issue of "Risk" en Fri, 05 Dec 2008 17:32:41 GMT RoboSuite 6.4 http://setup.openkapow.com/api/logo.gif http://www.risk.net/public/showPage.html?page=risknet_latest http://www.risk.net/public/showPage.html?page=823914 Comment Comment Sat, 01 Nov 2008 07:00:00 GMT 2008-11-01T07:00:00Z http://www.risk.net/public/showPage.html?page=823915 New angles New angles Sat, 01 Nov 2008 07:00:00 GMT 2008-11-01T07:00:00Z http://www.risk.net/public/showPage.html?page=823916 New angles New angles Sat, 01 Nov 2008 07:00:00 GMT 2008-11-01T07:00:00Z http://www.risk.net/public/showPage.html?page=823917 New angles New angles Sat, 01 Nov 2008 07:00:00 GMT 2008-11-01T07:00:00Z http://www.risk.net/public/showPage.html?page=823918 New angles New angles Sat, 01 Nov 2008 07:00:00 GMT 2008-11-01T07:00:00Z http://www.risk.net/public/showPage.html?page=823919 New angles New angles Sat, 01 Nov 2008 07:00:00 GMT 2008-11-01T07:00:00Z http://www.risk.net/public/showPage.html?page=823920 New angles New angles Sat, 01 Nov 2008 07:00:00 GMT 2008-11-01T07:00:00Z http://www.risk.net/public/showPage.html?page=823922 Cover story / The demise of Lehman Brothers has triggered fresh concerns about counterparty risk, creating a wave of novations and forcing dealers to think harder about the possibility of another major derivatives counterparty defaulting. Mark Pengelly reports Cover story Sat, 01 Nov 2008 07:00:00 GMT 2008-11-01T07:00:00Z http://www.risk.net/public/showPage.html?page=823923 Features / Regulators across the globe introduced temporary short-selling rules in September in an attempt to halt the slide in bank stock prices. The ban has expired in a few jurisdictions, but some dealers suggest the effects may be long lasting. By Nick Sawyer Features Sat, 01 Nov 2008 07:00:00 GMT 2008-11-01T07:00:00Z http://www.risk.net/public/showPage.html?page=823924 Features / The financial crisis is starting to take its toll on the wider economy, raising fears among corporate derivatives users that more stringent terms will be attached by dealers to their trading activities. By the same token, the collapse of Lehman Brothers has corporates revisiting their collateral arrangements with dealers. Rob Davies reports Features Sat, 01 Nov 2008 07:00:00 GMT 2008-11-01T07:00:00Z http://www.risk.net/public/showPage.html?page=823925 Features / Credit default swaps (CDSs) have been fingered as a main culprit in the ongoing financial crisis. Regulation of the CDS market in the US now looks likely, but what form will this take? Peter Madigan reports Features Sat, 01 Nov 2008 07:00:00 GMT 2008-11-01T07:00:00Z http://www.risk.net/public/showPage.html?page=823931 Features / With three of the biggest credit events in history - Fannie Mae, Freddie Mac and Lehman Brothers - occurring within a week of each other in September, the credit derivatives market faced its biggest-ever test. Auctions to establish cash settlement prices took place in October. How did the process go? By Duncan Wood Features Sat, 01 Nov 2008 07:00:00 GMT 2008-11-01T07:00:00Z http://www.risk.net/public/showPage.html?page=823932 Features / Counterparty credit concerns have been brought to the fore following the collapse of Lehman Brothers, a major issuer of structured notes. Dealers say clients will look more than ever at the credit risk of the issuer. How will this change the dynamics of the structured products market? By John Ferry Features Sat, 01 Nov 2008 07:00:00 GMT 2008-11-01T07:00:00Z http://www.risk.net/public/showPage.html?page=823937 Features / The dramatic events of September and early October saw the global financial crisis hit a new nadir, presenting banks with a scenario most had thought unthinkable even a few months ago. With regulators citing stress testing as a key means of predicting extreme events, banks are finally focusing more attention on this area. Rob Davies reports Features Sat, 01 Nov 2008 07:00:00 GMT 2008-11-01T07:00:00Z http://www.risk.net/public/showPage.html?page=823933 Special reports Special reports Sat, 01 Nov 2008 07:00:00 GMT 2008-11-01T07:00:00Z http://www.risk.net/public/showPage.html?page=823934 Special reports Special reports Sat, 01 Nov 2008 07:00:00 GMT 2008-11-01T07:00:00Z http://www.risk.net/public/showPage.html?page=823935 Special reports Special reports Sat, 01 Nov 2008 07:00:00 GMT 2008-11-01T07:00:00Z http://www.risk.net/public/showPage.html?page=823936 Special reports Special reports Sat, 01 Nov 2008 07:00:00 GMT 2008-11-01T07:00:00Z http://www.risk.net/public/showPage.html?page=823926 Special reports Special reports Sat, 01 Nov 2008 07:00:00 GMT 2008-11-01T07:00:00Z http://www.risk.net/public/showPage.html?page=823927 Special reports Special reports Sat, 01 Nov 2008 07:00:00 GMT 2008-11-01T07:00:00Z http://www.risk.net/public/showPage.html?page=823928 Special reports Special reports Sat, 01 Nov 2008 07:00:00 GMT 2008-11-01T07:00:00Z http://www.risk.net/public/showPage.html?page=823929 Special reports Special reports Sat, 01 Nov 2008 07:00:00 GMT 2008-11-01T07:00:00Z http://www.risk.net/public/showPage.html?page=823930 Special reports Special reports Sat, 01 Nov 2008 07:00:00 GMT 2008-11-01T07:00:00Z http://www.risk.net/public/showPage.html?page=823939 Columnists / A valuable synthesis of financial theory and macroeconomics appears to be emerging. This could enrich both areas, says David Rowe Columnists Sat, 01 Nov 2008 07:00:00 GMT 2008-11-01T07:00:00Z http://www.risk.net/public/showPage.html?page=823938 Class Notes / The approval by the US Congress of a $700 billion rescue package in October has paved the way for the US Treasury to purchase illiquid assets from banks' balance sheets. The question is: how will these assets be valued? In this month's Class Notes article, Charles Smithson examines existing auction processes, and weighs up the advantages and disadvantages of each Class Notes Sat, 01 Nov 2008 07:00:00 GMT 2008-11-01T07:00:00Z http://www.risk.net/public/showPage.html?page=823940 Cutting Edge / Credit default swaps (CDSs) offer protection against issuer default, and in general the protection is paid via a running spread rather than upfront. When the par spread changes, the contract cannot be unwound without leaving a default-contingent annuity. Although the valuation of that annuity is straightforward, its risk management on a trading book is not, and it is common market practice to charge a 'haircut' for unwinds or assignment trades, though as yet there is no market standard for their calculation. In this article, Richard Martin, Helen Haworth and Fer Koch discuss these issues in depth and show how to hedge annuities with regular CDSs, thereby obtaining a fair price for the haircut Cutting Edge Sat, 01 Nov 2008 07:00:00 GMT 2008-11-01T07:00:00Z http://www.risk.net/public/showPage.html?page=823941 Cutting Edge / It has become standard to account for non-normality when estimating portfolio value-at-risk, but there are few methods available to calculate the risk contributions of each component in a non-normal portfolio. Brian Peterson and Kris Boudt present a method for decomposing the VAR of a non-normal portfolio into the component risks of each position in a coherent and computationally convenient fashion. This work allows the decomposition of VAR in portfolios of a few to thousands of assets Cutting Edge Sat, 01 Nov 2008 07:00:00 GMT 2008-11-01T07:00:00Z http://www.risk.net/public/showPage.html?page=823942 Cutting Edge / Ever since the pioneering work of Cox, Ross & Rubinstein (1979), tree models have been popular as an asset pricing method. However, statistical estimation of the parameters of tree models has been less studied. In this article, Kiseop Lee and Mingxin Xu use the k-means clustering method to estimate the parameters of multinomial trees. Using the weak convergence property of such trees to continuous-time models, they show that this method can in turn be used to estimate parameters in continuous-time models, illustrated by an example of the jump-diffusion model Cutting Edge Sat, 01 Nov 2008 07:00:00 GMT 2008-11-01T07:00:00Z http://www.risk.net/public/showPage.html?page=823943 Profile / Eddy Wymeersch, chairman of CESR, talks to Alexander Campbell Profile Sat, 01 Nov 2008 07:00:00 GMT 2008-11-01T07:00:00Z