The Basel Committee appears stuck in the past when it comes to counterparty credit risk analysis. More on the advantages of alternating direction implicit methods. Using the results from last month's article, the authors show how to obtain the portfolio credit loss distribution within a CreditMetrics-style framework. Renowned for its penetrating and detailed reporting, Risk delivers unparalleled insight into the most timely and topical issues affecting the derivatives industry. As risk management becomes a higher priority in the industry, so the systems enabling participants to keep up with the competition evolve.
Risk covers the latest innovations and analyses their effectiveness.
Risk is a showcase for the latest thinking and research into derivatives tools and techniques, with comprehensive, cutting-edge coverage of the most recent advances in areas such as option pricing and hedging, market risk, credit risk, swaps and Monte Carlo methods. Every month Risk brings you reviews of the latest and best books related to the risk management industry, while offering helpful advice on those you'd best avoid. Risk's special reports, supplements and financial product guides offer additional in-depth coverage of the hottest industry topics, ranging from operational risk, credit risk and electronic trading to specialist coverage of emerging markets such as Latin America and Asia. Risk s column available every other month from Rutter Associates Charles Smithson offers an in-depth guide to the latest risk management techniques, and examines the various tools on offer for the industry professional. Always at the forefront of new developments in the derivatives industry, Risk is dedicated to informing readers of the latest news, research and developments in the market.