Learning Curve

The Bundesaufsichtsamt für das Kreditwesen, the German Federal Banking Supervisory Authority, recently issued what it believes is the final circular on the capital adequacy treatment of credit derivatives.

The last two Learning Curve articles described a multi-factor model for energy prices based on the observed forward curve and showed how energy derivative prices can be calculated.

Last week's Learning Curve proposed a very general model for the evolution of energy prices that has been found to provide a good representation of reality.

'Hedging' in its broadest sense means the reduction of risk by exploiting relationships or correlation between various risky investments.

The Financial Accounting Standards Board's statement of financial accounting for derivative instruments 133, was issued June 1998.

Recent advances in value-at-risk methodology can be effectively applied for risk measurement and management of international equity portfolios.

This article will show how recent advances in value-at-risk methodology can be effectively applied for risk measurement and management.

Credit risk is based, in part, on credit migration matrices that are used to describe changes in credit worthiness, usually on an annual basis.

Last week's Learning Curve discussed several alternative volatility smile models, all with the common feature that the volatility was a known deterministic function.

Liquid European option prices are readily available in all markets for a wide range of strike prices and maturities.

Last week's Learning Curve covered "functional Greeks" for instruments valued using interest rate models with curve- and surface-valued parameters.

Simple interest rate options may be valued using variants of the Black-Scholes approach.