Basel's CDO solution

As some readers will recall, it was securitisations that prompted central bankers to consider revising the old 1988 accord in the first place. By the late 1990s, it was apparent that large banks were habitually using regulatory capital arbitrage to shrink credit risk capital requirements. Basel’s solution would be to align regulatory capital much more closely with economic risk capital. Today, securitisation continues to grow apace, encouraged by the extra oxygen of derivatives-based synthetic

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The new rules of market risk management

Amid 2020’s Covid-19-related market turmoil – with volatility and value-at-risk (VAR) measures soaring – some of the world’s largest investment banks took advantage of the extraordinary conditions to notch up record trading revenues. In a recent Risk.net…

ETF strategies to manage market volatility

Money managers and institutional investors are re-evaluating investment strategies in the face of rapidly shifting market conditions. Consequently, selective genres of exchange-traded funds (ETFs) are seeing robust growth in assets. Hong Kong Exchanges…

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