Infrastructure/Foreign exchange

Quantitative tests pointed to Madoff fraud, says Riskdata

Sophisticated investors expressed shock at the alleged $50 billion fraud by New York-based broker and fund manager Bernard Madoff, yet even relatively simple quantitative analysis should have raised red flags, according to research by London-based…

Cash-settlement auctions working, says Isda

The auction process for cash-settling credit derivatives trades has been tested recently but is working well, said Bob Pickel, chief executive of the International Swaps and Derivatives Association, at a symposium held by the organisation in New York on…

UBS exits exotic structured products business in FICC

UBS is fully exiting its exotic structured products business within its fixed income, commodities and currencies (FICC) division, the bank has confirmed. As part of the restructuring, four senior managing directors have left the bank: Todd Morakis, head…

Buy-side firms scramble to meet novation deadline

Derivatives technology vendors have reported a significant upturn in activity among buy-side firms, looking to meet a February 28 deadline for processing all credit derivatives novation consents through electronic platforms.

Liffe prepares for CDS clearing launch in US

London-based derivatives exchange Liffe, which launched its joint central clearing solution with LCH.Clearnet for credit default swaps (CDSs) in Europe on December 22, will roll out the service to US customers in the next few weeks.

WEF backs calls for reverse stress tests

"Glaring gaps in risk management" represent one of the biggest dangers facing the world in 2009, and financial institutions must improve their modelling and testing as a matter of urgency, according to a World Economic Forum report launched today.

Uruguayan pension fund goes supranational for second time

Uruguayan pension fund, Republica Afap, has invested in a EUR/USD-linked participation note with the intent to hedge its portfolio against the depreciation of the euro against the dollar. The structured product, issued in October 2008, is the second such…