Issue: Aug 2011
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COVER STORY
Goldman and the OIS gold rush: How fortunes were made from a discounting change
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Source: Risk magazine
It’s the untold story of the switch to overnight indexed swap discounting. As the Street haltingly adjusted to the new reality, some desks are said to have booked profits running into the hundreds of...
EDITOR'S LETTER
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Source: Risk magazine
The new liquidity rules agreed last year by the Basel Committee on Banking Supervision use the word ‘contingent’ 24 times – and not in a light-hearted...
EDITOR'S CHOICE
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Firms used to be able to throw anything they liked into the hypothetical derivative that is used to test cashflow hedge accounting, but standard-setters...
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Latest issue - Features
Finding Volcker rule metrics will be tough, dealers warn
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Source: Risk magazine
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...
Inter-affiliate trades face threat from clearing, execution, margin rules
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Source: Risk magazine
Inter-affiliate trades under US rules may be subject to the same clearing, execution and uncleared margin requirements as other derivatives – making...
Risk-managing the Middle East's revolutions
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The January revolt in Tunisia sparked protests that toppled regimes and started wars across North Africa and the Middle East. In many countries, financial...
US inflation market divided on huge 30-year Tips short
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Source: Risk magazine
A big short position in 30-year Treasury inflation protected securities backfired at the end of June. Traders say the strategy – driven by the end of...
Q&A: ACP's Nouy on CRD IV, equity in the LCR and CoCos
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Last month, European policy-makers unveiled proposals that will implement Basel III across the continent, setting the stage for national disputes as...
ASX vs LCH in race to be Australia's OTC clearer
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Australia’s financial regulators are leaning towards mandatory clearing for the local interest rate derivatives market – and may also conclude that...
Marriage counselling: the risks of software vendor mergers
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The risk technology space has seen a spike in merger and acquisition (M&A) activity, with more deals to come – but while consolidation offers real benefits...
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Emerging markets
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In retrospect, the path taken by a crisis often seems entirely predictable. It is easy, now, to draw a line from mass downgrades of structured credit in...
Profile: Isda chair Stephen O'Connor on OTC market reform
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Regulators are finalising in-depth rules on central clearing, margin requirements and central counterparty risk management standards, but plenty of...
Investor pull to replace regulator push on CoCos: Credit Suisse’s Ervin
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After initially embracing CoCos, regulators’ ardour seems to have cooled – with some banks fearing excess caution could limit a promising source of...
Europe in a ratings wonderland
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European politicians are still blaming rating agencies for the continent’s debt crisis – obscuring some of the real problems posed by ratings, argues...
Perverse capital
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Many banks adjust the value of trades to reflect the possibility of their own default, with the counter-intuitive effect that a rise in their credit...
Capital One: banking on banking
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Peter Schnall, chief risk officer of Capital One, talks to Mark Pengelly about the bank's acquisition of ING Direct in the US and the importance of...
Spread options, Farkas's lemma and linear programming
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Vladimir Piterbarg derives necessary and sufficient conditions for the existence of a joint distribution consistent with given marginals and the distribution...
Counterparty risk capital and CVA
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Basel III has incorporated credit valuation adjustment (CVA) in calculations of regulatory capital for counterparty credit risk (CCR). CVA appears via...
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