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The Risk Annual: Technical Papers from the Cutting Edge Section of Risk

The Risk Annual: Technical Papers from the Cutting Edge Section of Risk


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About the Book

Bringing together all 36 of the technical papers published in Risk magazine during 2003, this collection presents some of the very latest research and thinking on quantitative finance and risk management.

Table of Contents:
PART 1: PRODUCTS AND TRADING; 1 Diversity Scoring for Market Value CDOs; C. Rouvinez; Capital Dynamics; 2 I Will Survive; Jon Gregory; Jean-Paul Laurent; BNP Paribas; 3 All Your Hedges in One Basket; Leif Andersen; Jakob Sidenius; Susanta Basu; Banc of America Securities; 4 Credit Barrier Models; Claudio Albanese; Oliver Chen; Andrei Zavidonov; Giuseppe Campolieti; University of Toronto; NumeriX; Wilfred Laurier University; 5 On the Dependence of Equity and Asset Returns; Roy Mashal; Marco Naldi; Assaf Zeevi; Lehman Brothers; Columbia University; 6 Index Volatility Surface via Moment-Matching Techniques; Peter Lee; Limin Wang; Abdelkerim Karim; Lehman Brothers; 7 Capturing the Smile; Simon Johnson; Han Lee; NumeriX Ltd.; 8 Dealing with Discrete Dividends; Remco Bos; Anna Shepeleva; Alexander Gairat; ING; Fortis Bank; 9 Why Be Backward?; Peter Carr; Ali Hirsa; New York University; Morgan Stanley; 10 From Horses to Hedging; Ken Baron; Jeffrey Lange; Longitude; 11 Assessing Views; Gianluca Fusai; Attilio Meucci; University of Piemonte Orientale; Relative Value International; 12 Real Option Valuation and Equity Markets; Thomas Dawson; Jennifer Considine; D2 Capital; Energy politics; 13 A Liquidity Haircut for Hedge Funds; Hari Krishnan; Izzy Nelken; Morgan Stanley; Super Computer Consulting; 14 Bidding Principles; Robert Almgren; Neil Chriss; University of Toronto; SAC Capital; 15 Black Smirks; Fei Zhou; Lehman Brothers; 16 Shadow Interest; Viatcheslav Gorovoi; Vadim Linetsky; Northwestern University; PART 2 : RISK AND CAPITAL; 17 Extreme Forex Moves; Peter Blum; Michel M. Dacorogna; ETH; Converium Ltd; 18 What Causes Crashes?; Didier Sornette; Yannick Malevergne; Jean-Francois Muzy; University of Nice-Sophia Antipolis and University of California; University of Lyon; University of Coralca; 19 VAR: History or Simulation?; George Skiadopoulos; Greg Lambadiaris; Louiza Papadopoulou; Yiannis Zoulis; University of Piraeus; University of Warwick; 20 Random Tranches; Michael Gordy; David Jones; US Federal Reserve Board; 21 Analysing Counterparty Risk; Eduardo Canabarro; Evan Picoult; Tom Wilde; Goldman Sachs; Citigroup; Credit Suisse First Boston; 22 Testing Rating Accuracy; Bernd Engelmann; Evelyn Hayden; Dirk Tasche; Deutsche Bundesbank; University of Vienna; Deutsche Bundesbank; 23 Market-Implied Ratings; Ludovic Breger; Lisa Goldberg; Oren Cheyette; Barra; 24 Benchmarking Asset Correlations; Alfred Hamerle; Daniel Rosch; Thilo Liebig; University of Regensburg; Deutsche Bundesbank; 25 Correlation Evidence; Arnaud de Servigny; Olivier Renault; Standard & Poor's Risk Solutions; 26 A False Sense of Security; Jon Frye; Federal Reserve Bank of Chicago; 27 Ultimate Recoveries; Craig Friedman; Sven Sandow; Standard & Poor's; 28 Unexpected Recovery Risk; Michael Pykhtin; KeyCorp; 29 Credit Ensembles; Kevin Thompson; Roland Ordovas; BNP Paribas; BSCH; 30 The Road to Partition; Kevin Thompson; Roland Ordovas; BNP Paribas; Caixa Catalunya; 31 Coarse-Grained CDOs; Michael Pykhtin; Ashish Dev; Keycorp; 32 Residual Risk in Auto Leases; Michael Pykhtin; Ashish Dev; Keycorp; 33 Contributions to Credit Risk; Alexandre Kurth; Dirk Tasche; UBS Wealth Management; Deutsche Bundesbank; 34 Enhancing CreditRisk+; Gotz Giese; Commerzbank; 35 Using the Grouped t-Copula; Stephane Daul; Enrico De Giorgi; Filip Lindskog; Alexander McNeil; Swiss Re; University of Zurich; Risk Lab; ETH Zurich; 36 Overcoming the Hurdle; Thomas C. Wilson; Oliver, Wyman & Company; PART 1: PRODUCTS AND TRADING; 1 Diversity Scoring for Market Value CDOs; C. Rouvinez (Capital Dynamics); 2 I Will Survive; Jon Gregory, Jean-Paul Laurent (BNP Paribas); 3 All Your Hedges in One Basket; Leif Andersen, Jakob Sidenius, Susanta Basu (Banc of America Securities); 4 Credit Barrier Models; Claudio Albanese, Oliver Chen, Andrei Zavidonov, Giuseppe Campolieti; (University of Toronto, NumeriX, Wilfred Laurier University); 5 On the Dependence of Equity and Asset Returns; Roy Mashal, Marco Naldi, Assaf Zeevi (Lehman Brothers, Columbia University); 6 Index Volatility Surface via Moment-Matching Techniques; Peter Lee, Limin Wang, Abdelkerim Karim (Lehman Brothers); 7 Capturing the Smile; Simon Johnson, Han Lee (NumeriX Ltd.); 8 Dealing with Discrete Dividends; Remco Bos, Anna Shepeleva, Alexander Gairat (ING, Fortis Bank); 9 Why Be Backward?; Peter Carr (New York University), Ali Hirsa (Morgan Stanley); 10 From Horses to Hedging; Ken Baron, Jeffrey Lange (Longitude); 11 Assessing Views; Gianluca Fusai (University of Piemonte Orientale), Attilio Meucci Relative Value International); 12 Real Option Valuation and Equity Markets; Thomas Dawson (D2 Capital), Jennifer Considine (Energy politics); 13 A Liquidity Haircut for Hedge Funds; Hari Krishnan (Morgan Stanley), Izzy Nelken (Super Computer Consulting); 14 Bidding Principles; Robert Almgren (University of Toronto) Neil Chriss (SAC Capital); 15 Black Smirks; Fei Zhou (Lehman Brothers); 16 Shadow Interest; Viatcheslav Gorovoi, Vadim Linetsky (Northwestern University); PART 2 : RISK AND CAPITAL; 17 Extreme Forex Moves; Peter Blum (ETH), Michel M. Dacorogna (Converium Ltd); 18 What Causes Crashes?; Didier Sornette (University of Nice-Sophia Antipolis and University of California), Yannick Malevergne (University of Lyon), Jean-Francois Muzy (University of Coralca); 19 VAR: History or Simulation?; George Skiadopoulos, Greg Lambadiaris, Louiza Papadopoulou, Yiannis Zoulis (University of Piraeus; University of Warwick); 20 Random Tranches; Michael Gordy, David Jones (US Federal Reserve Board); 21 Analysing Counterparty Risk; Eduardo Canabarro (Goldman Sachs), Evan Picoult (Citigroup), Tom Wilde (Credit Suisse First Boston); 22 Testing Rating Accuracy; Bernd Engelmann (Deutsche Bundesbank), Evelyn Hayden (University of Vienna), Dirk Tasche (Deutsche Bundesbank); 23 Market-Implied Ratings; Ludovic Breger, Lisa Goldberg, Oren Cheyette (Barra); 24 Benchmarking Asset Correlations; Alfred Hamerle; Daniel Rosch; Thilo Liebig; University of Regensburg; Deutsche Bundesbank; 25 Correlation Evidence; Arnaud de Servigny, Olivier Renault (Standard & Poor's Risk Solutions); 26 A False Sense of Security; Jon Frye (Federal Reserve Bank of Chicago); 27 Ultimate Recoveries; Craig Friedman, Sven Sandow (Standard & Poor's); 28 Unexpected Recovery Risk; Michael Pykhtin (KeyCorp); 29 Credit Ensembles; Kevin Thompson (BNP Paribas), Roland Ordovas (BSCH); 30 The Road to Partition; Kevin Thompson (BNP Paribas), Roland Ordovas (Caixa Catalunya); 31 Coarse-Grained CDOs; Michael Pykhtin, Ashish Dev (Keycorp); 32 Residual Risk in Auto Leases; Michael Pykhtin, Ashish Dev (Keycorp); 33 Contributions to Credit Risk; Alexandre Kurth (UBS Wealth Management), Dirk Tasche (Deutsche Bundesbank); 34 Enhancing CreditRisk+; Gotz Giese (Commerzbank); 35 Using the Grouped t-Copula; Stephane Daul(Swiss Re), Enrico De Giorgi (University of Zurich), Filip Lindskog (Risk Lab), Alexander McNeil (ETH Zurich); 36 Overcoming the Hurdle; Thomas C. Wilson (Oliver, Wyman & Company)

Review :
"This collection contains some of the best and most influential new ideas coming into risk management and pricing." Darrell Duffie, James I Miller Professor of Finance, The Graduate School of Business - Stanford University


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Product Details
  • ISBN-13: 9781904339250
  • Publisher: Risk Books
  • Publisher Imprint: Risk Books
  • Height: 235 mm
  • Width: 155 mm
  • ISBN-10: 1904339255
  • Publisher Date: 01 Jun 2004
  • Binding: Hardback
  • Sub Title: Technical Papers from the Cutting Edge Section of Risk


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