Issue: Dec 2012
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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
Post-crisis regulation tends to be spoken about in pretty cold, impersonal terms – the pressure on bid-offer spreads or return-on-equity, for example....
EDITOR'S CHOICE
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Source: Risk magazine
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
One size fits none: Industry split over futures and OTC holding periods
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Source: Risk magazine
Some listed derivatives have equivalents in the cleared over-the-counter market, but the two product types are subject to different margin regimes –...
Return of the DPCs
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Source: Risk magazine
They fell out of favour during the crisis, but derivatives product companies are set for a dramatic reappearance as banks seek to limit their collateral...
The unintended consequences of the UFR
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Source: Risk magazine
Over the past six months, Dutch pension reform has had an impact on the shape of the interest rate swap curve from the 15-year point onwards. With a...
Review of 2012: Basel III starts to bite
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Source: Risk magazine
Capital and liquidity consumption now comes with a cost, and that started to make itself felt this year. Risk staff look back at a selection of the...
Latest issue - More articles
Special report: Technology
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Source: Risk magazine
Good news for technology firms: of 579 respondents to the survey questions that went out with this year’s Risk technology rankings, 57.7% expect to increase...
Risk software survey 2012
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Source: Risk magazine
Trading and risk systems have been updated over the past year to reflect the growing need for regulatory solutions, as well as the new pricing complexity...
Risk technology rankings 2012
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Source: Risk magazine
Technology firms are trying to help their clients adapt to a world in which new regulations and low trading volumes are putting bank business models...
Risk research: Almost 60% see increased IT spend in 2013
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Source: Risk magazine
Spending on IT systems is still rising to meet new regulatory demands, with credit risk growing as a priority. Michael Watt reports
Basel faulty
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Source: Risk magazine
Having been broadly supportive of global bank capital standards over the past 25 years, David Rowe explains why the latest iteration of the framework...
Cutting Edge introduction: The tipping-point for leverage
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Source: Risk magazine
Borrowing the stake for a bet is as old as the hills – and so is losing it. But how much debt is too much for a given position? A group of quants believe...
Cutting edge 2012: From stochastic volatility to shameful scams
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Source: Risk magazine
Papers published in Risk this year touched on a diverse range of topics. Laurie Carver provides an overview and introduces the annual round-up of citations...
Pimco: Cleared for take-off
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Source: Risk magazine
Being among the first buy-side derivatives users to start clearing over-the-counter products is a double-edged sword. On the one hand, a firm has a chance...
Sponsored educational feature: UBS Delta
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Source: Risk magazine
Risk has recently carried much debate about the curves to be used for discounting derivatives transactions. Lindsey Matthews and Luca Bosatta present...
Sponsored statement: IBM
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Source: Risk magazine
Mark-to-future simulations, enriched with market calibration against interest rates and with inflation adjustment of portfolio returns, add value to...
Latest issue - News
People: Amrolia and Felson promoted in Deutsche Bank reshuffle
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Source: Risk magazine
Deutsche Bank veterans Amrolia and Felson to lead new fixed income and currencies unit; de Boissard promoted to investment banking co-head at Credit...
Lack of inflation clearing could hit LDI community
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Source: Risk magazine
Offsets in liability-driven investment portfolios would be eliminated if firms choose to clear interest rate hedges – potentially forcing them away...
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