Learning Curve

One of the most mystifying features of modern option pricing is the irrelevance of the expected return of the underlying stock.

Last week we looked at alternative measures for risk measurement.

This article will provide an introduction to target-oriented risk measures in portfolio construction and optimization.

In a typical asset-backed note issue, a pool of collateral is purchased by a special purpose company through the issuance of notes.

The 1990s have provided a wealth of lessons for risk managers.

Why is it when a hedge fund shorts stock its risk-adjusted performance includes its shorting activity, but when a pension fund lends a security its risk-adjusted performance typically does not include its securities lending activity?

"Worst of" default swaps are default swaps on a basket of issuers in which only the first default is covered.

In recent years, value-at-risk has been considered one of the best measures of risk by banks and other financial institutions.

Everyone is familiar with the idea of return on capital (ROC). If an investor makes an investment, he wishes to be sure of a good return on the capital invested.

Derivatives on pfandbriefe--the German mortgage bond market--have recently been opened up by the launch of a jumbo futures contract on the Deutsche Terminbörse.

In allocating and managing risk across global markets, it is crucial to take account of the interrelationships between different markets.

This article introduces a new type of recombining derivative pricing, called the willow tree, as an alternative to standard binomial and trinomial trees.