Issue: Jun 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
In the four months between the start of December last year and the end of March, Italian and Spanish banks bought more than €140 billion in government...
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
The club no-one wants to join: swap dealer rules remain unclear
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Source: Risk magazine
Around 120 firms will be classed as swap dealers under the Dodd-Frank Act, US regulators estimate – but hundreds more will be uncertain whether they...
Eurozone scenarios: political analysts give their views
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Source: Risk magazine
Political analysts are increasingly being used by banks to help with eurozone scenario planning. Here, experts from two firms share their views on the...
Greek exit threatens eurozone ALM
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Source: Risk magazine
Attempts to match assets and liabilities on a country-by-country basis could be threatened if Greece leaves the eurozone. Banks fear the imposition...
Eurozone risk management gets political
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Source: Risk magazine
Deposit flight from Greek banks in the aftermath of the country’s May elections provided a stark reminder of the growing importance of political risk...
Dodd-Frank in danger
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Source: Risk magazine
With Republicans keen to dismember the Dodd-Frank Act, Wall Street will be watching the November presidential elections with special interest. But even...
Reviving securitisation: regulators send mixed messages
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Source: Risk magazine
Regulators are talking about reviving the securitisation market as a solution to European bank funding pressures – and the door has been opened to counting...
Lehman Brothers ruling changes equation for creditors and clients
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Source: Risk magazine
A UK Supreme Court ruling on client money protection at Lehman Brothers could have far-reaching consequences – not just for futures customers of Lehman...
Latest issue - More articles
Q&A: William Dudley on global CCP standards
Published online only
Source: Risk magazine
Central counterparties are about to take centre stage in the revamped over-the-counter derivatives markets – a development that has given rise to a...
Political risk
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Source: Risk magazine
November’s US presidential elections are creeping closer, and the country’s banks are backing the Republicans. The American Bankers Association has...
Risk institutional investor rankings 2012
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Source: Risk magazine
Credit ratings for sovereigns and dealers are on the slide – an extra incentive to use clearing houses – but only the biggest institutions have started...
Chapter 14: using bankruptcy law to solve too-big-to-fail
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Source: Risk magazine
The threat to society of institutions that are too big to be allowed to fail should be solved through a predictable legal framework, rather than punitive...
Cutting Edge introduction: Hedging dependence
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Source: Risk magazine
Since cross-asset class correlations aligned in 2008 there has been pent-up demand for instruments that provide exposure to another measure of it –...
Nera: How the banking backlash began
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Source: Risk magazine
The eurozone crisis, sovereign downgrades, squeezed profits, strict new regulations – when compared with today’s parade of misery, bankers could be...
An easy-to-hedge covariance swap
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Source: Risk magazine
Covariance swaps that track the covariance of assets can be difficult to hedge because there is no known static replication formula, unlike the case...
Optimal design of volatility-driven algo-alpha trading strategies
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Source: Risk magazine
Guido Giese derives a model for the performance and risk analysis of algorithmic investment strategies that invest in a mixed portfolio of the equity...
Latest issue - News
People: JP Morgan veteran Ina Drew quits after $2 billion trading loss
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Source: Risk magazine
Losses in London-based chief investment office claim first casualty, JP Morgan drafts in fixed income co-head to steady the ship; Coutte becomes latest...
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