Issue: Feb 2012
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COVER STORY
Dealers tackle euro redenomination risks
Original headline:
Dealers have been busy war-gaming eurozone break-up scenarios in recent months. But one of the most complex, and uncertain, areas is what would happen to derivatives contracts in the event one or more...
EDITOR'S LETTER
Original headline:
When Risk first wrote about scenario analysis of the eurozone debt crisis in June 2010, banks were sketching out a variety of outcomes and then attaching...
EDITOR'S CHOICE
Original headline:
Accountants want banks to report as profits the impact of widening credit spreads on their liabilities, but regulators are moving in the other direction...
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Latest issue - Features
Basel 2.5: US ratings workaround criticised
Original headline:
US regulators published a proposal in December that would enable domestic banks to implement market risk capital rules without relying on credit ratings...
Reconsidering the LCR
Original headline:
The Basel Committee is considering several substantial changes to its liquidity coverage ratio, including scrapping the distinction between level 1...
Esma: questions grow as Emir deadline looms
Original headline:
The European Union’s securities markets authority will have to tackle an alphabet soup of new regulations and directives this year – Emir, Mifid and...
Need for speed: banks explore FPGAs for portfolio modelling
Original headline:
It can take hours for traditional bank systems to run portfolio risk models. That’s too slow for some banks, which are now exploring unwieldy – but...
Latest issue - More articles
Q&A: Michael Spencer on Europe, Tobin taxes, OTC reform and futures monopolies
Original headline:
A Europe-wide trading tax is under discussion in Paris and Frankfurt, but has no chance of being approved by the UK, Icap’s chief executive Michael...
Risk and Energy Risk commodity rankings 2012: energy
Original headline:
In a roller-coaster year for many energy markets, Morgan Stanley seized top spot in this year’s rankings from its traditional rival, Goldman Sachs...
Risk and Energy Risk commodity rankings 2012: metals
Original headline:
In an environment of uncertainty for both prices and regulations, Société Générale retains pole position in base metals, while UBS takes first place...
No nosedive: markets could defy doom-mongers
Original headline:
Markets face a testing 2012 – but Stephen Blyth argues they are better-equipped to cope than in 2008
Bank models are built on foundations of sand
Original headline:
Despite the remarkable advances made over the past 25 years, David Rowe argues the industry’s existing risk models are not fit for purpose when it comes...
Cutting Edge introduction: risky contributions
Original headline:
Value-at-risk is usually calculated via Monte Carlo simulation, making it difficult to see the contributions from different risks. But in some circumstances...
Wells Fargo: late entrant to the OTC clearing race
Original headline:
On lists of the top US futures clearers, one big US bank is conspicuous by its absence. Wells Fargo was ranked fourth by assets in the US according to...
Sponsored survey: Oracle
Original headline:
A 2012 survey of global financial institutions, sponsored by Oracle Financial Services, has explored how firms are coping with the new macro-prudential...
Sponsored forum: OTC derivatives
Original headline:
With just one year to go until the end-2012 deadline set by the Group of 20 (G-20) nations for all standardised over-the-counter derivatives to be cleared...
Hybrid correlation matrices
Original headline:
Integrating available implied volatility data into a historical correlation matrix is an essential part of calibrating a Monte Carlo credit value adjustment...
Analytical risk contributions for non-linear portfolios
Original headline:
The value-at-risk of portfolios needs to account for non-linear effects in the loss distribution’s dependence on risk factors. Using the classical Cornish...
Latest issue - News
European capital rules could squash CVA feedback loop
Original headline:
The European Parliament version of CRD IV exempts trades with non-financials from Basel III's CVA capital charge - and dealers are hoping it covers...
New Prime Finance panel could tackle debt crisis disputes
Published online only
An arbitration panel set up to tackle derivatives disputes could also tackle eurozone debt crisis issues, says Jeffrey Golden, architect of the Isda...
People: SG CIB promotes Mianné and Fields
Published online only
Mianné lands the deputy CEO role at SG CIB, with Fields replacing him as head of global markets - but the bank loses David Knott; JP Morgan's Zubrow...
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