LCH.Clearnet's then-chief executive, Roger Liddell, knew what he was doing when he told Risk in April last year that the margin standards being used by one of the firm’s rivals were “bordering on reckless”...
The Dodd-Frank Act means elements of Basel’s new trading book rules cannot be implemented in the US – although supervisors claim it will only be a temporary reprieve. A review of the rules has also...
This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
More Market risk articles
To make the Volcker rule work, regulators will need to be able to spot proprietary trading. But although a range of indicators has been suggested, finding a way to catch prop trading without also catching some market-making and hedging activity won’t...
The revelation of rogue trading at UBS follows a period of market volatility. That is nothing new, say risk managers
Copula functions that provide a way of splicing the probability distributions of multiple assets together have taken a lot of flak since the crisis. Laurie Carver introduces this month’s technical articles by looking at the fate of such methods –...
New algorithm is designed to automatically hedge gamma sensitivity of foreign exchange options
Fund of hedge funds (FoHF) portfolios with more than 25 underlying managers have weaker performance and increased tail risk, according to research from New York University's Stern School of Business
Technology can provide a competitive advantage in banking. How it is applied by Tier 1 and Tier 2 institutions, to the benefit for their risk management systems, is discussed.
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