Risk management
The roads to currency overlay
Forex risk
Integrating market correlation into risk-adjusted return
Hedge fund investing
Making the connection
Front-office systems
Examining market influence on credit risk
Currency correlations
A cure for Enron flu
Brett Humphreys discusses recent events in the energy sector and the role risk managers can play in improving the industry
Breaking through basket credit default swaps pricing
Sponsor’s statement
Corporate focus on credit risk management
Sponsor’s statement
Keeping score
This month Brett Humphreys and Zach Jonasson show how energy trading firms can compare performance using publicly available corporate information
Counterparty concerns
Following the California crisis and the fall of Enron, energy firms are finally paying more attention to credit risk. Here Fred Cohen, Satyan Malhotra and Rafael Cavestany present some overarching issues senior management must address in implementing an…
Building blocks for complex probability distributions
Brett Humphreys demonstrates how to construct more accurate return distributions and use them to price options
Covering the threat
Since September 11, energy companies have had to re-assess the threat of terrorist attack. Despite the insurance industry introducing new terms and products, some companies remain unprotected, as Joel Hanley discovers
Drivers of dollar swap spreads
Fixed0income strategy
Globalisation and equity index exposure
Equity diversification
Arb fund reign to continue
Convertible bonds
Squeezing the best from hedge fund diversification
Hedge fund investing
Asset managers run for cover
Enterprise-level risk
Reading the signals
Forex modelling
Knowing your limits
Value-at-risk limits are widely used risk management instruments. But issues over the allocation of Var limits remain, says Brett Humphreys
Risk Awards dinner raises $160,000 for WTC appeal fund
Risk magazine’s Awards dinner raised more than $160,000, according to the initial count, for Risk magazine’s World Trade Center appeal fund. The dinner, held last night in the Regent Hotel, Wall Street, featured the presentation of the annual Risk Awards…
A hedge by any other name
It is one of the most commonly used phrases in risk management parlance, but what exactly is meant by the term ‘hedge’? Here we propose a new definition. By Brett Humphreys
Deutsches data duel
Statistical analysis of competing meteorological data from two different sources in Germany might lead to disparate views of weather risk management. By Bob Dischel
Poor relations
Here EPRM outlines an approach for sorting out common problems relating to calculating correlation measures in value-at-risk. By Brett Humphreys
Banks face challenge assessing benefits of Basel II op risk approaches, says Andersen
Calculating the benefit for banks of adopting the more complex methods of arriving at an operational risk capital charge is very challenging because of uncertainties over the factors involved.