Investment banks reported increased numbers of high trading losses in the third quarter of this year, highlighting the volatility in the financial markets and casting doubt on their risk modelling.
Collateralised commodity obligations
Basel II remains wedded to incremental extensions to the market risk rules. It is time for a bolder approach in this area, argues David Rowe
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Mustafa Jama joined Morgan Stanley's FoHF team as CIO four years ago – and tells Solomon Teague there are not that many houses whose engagement with hedge funds stretches back 16 years
Liquidations of large quantitative equity portfolios prompted widespread misfiring of hitherto robust quant models. Historically unusual returns volatility and multi-billion-dollar mark-to-market losses ensued. Leading hedge fund managers talk to Jayne...
Rising delinquencies in the US subprime mortgage sector have triggered a flood of downgrades by credit rating agencies. As a result, confidence in ratings has been shaken, and they have come under fire from investors and regulators. Is the criticism justified?...
The rate of growth in the complexity of new derivatives products is causing a worrisome lag in risk management's ability to keep pace. As credit derivatives markets endure a period of stress, this lag could have serious consequences, argues David Rowe
Investment bank Barclays Capital has sharply increased its appetite for risk-taking in the first half of 2007, with all the new risk being taken in the commodities segment, according to Barcap reports.