The magazine for risk management, derivatives, regulation
Top stories
Dealing with funding on uncollateralised swaps
Many banks are now using their own cost of funding as a discount rate when pricing non-collateralised swaps trades. How are banks dealing with the difference in funding rates when quoting derivatives...
Portuguese debt office agrees to post collateral to its dealers
Agency becomes one of first developed-market sovereigns to succumb to dealer pressure as costs...
15 minutes with: Eraj Shirvani, Isda
Isda's chairman discusses some of the changes in the regulation of the over-the-counter derivatives...
- Robeco: Bond ETFs hampered by low liquidity
- Cesr reveals European financial markets risks, including double-dip recession worry
- ECB closes in on inferior collateral with new haircut scheme
- Cesr outlines transparency plans for Mifid revision
- Basel counterparty risk charge to be reworked
- ECB may extend full allocation tenders into 2011
- LCH.Clearnet may offer 'lite' membership to sovereigns
Latest issue highlights
US regulatory reform reaches tipping point
It's not quite over yet, but the text of the Dodd-Frank bill has been agreed and derivatives users have cause for both celebration...
Profile - Federal Reserve Bank of New York's Theo Lubke
The Federal Reserve Bank of New York has been shepherding global efforts to improve the over-the-counter derivatives market since...
Surviving skew
Skew skyrocketed in May, breaking through levels last reached in 2008 after the bankruptcy of Lehman Brothers, while volatility...
Editor's choice
Basel Committee's new liquidity ratios causing a stir
Unintended consequences are almost inevitable when weighty new regulations come into force, even if those rules are enacted with the best of intentions...
Questioning collateral
European financial markets have been turned upside down by the sovereign debt crisis, with eurozone government bonds no longer regarded as completely...
EU regulators ready to act in concert?
The European Union is close to reaching agreement on a new supervisory framework, designed to reduce the room for national discretion. But Germany’s...
Upcoming conferences
Credit Institute
UK, 28 Sep 2010
Credit Risk Summit
UK, 14th - 15th Oct 2010
Risk USA
USA, 1st - 4th Nov 2010
Training courses
Loan loss provisioning
USA, 06 Aug 2010
Implementing an enhanced approach to VaR
USA, 12th - 13th Aug 2010
Impact of regulatory reform on clearing and settling OTC derivatives
UK, 8th - 9th Sep 2010
Technical papers
Two curves, one price
The financial crisis has multiplied the yield curves used to price plain vanilla interest rate derivatives, making classic single-curve no-arbitrage...
Smooth calibration of Markov functional models for pricing exotic interest rate derivatives
The Libor market model is widely used but often criticised for its slowness. Nick Denson and Mark Joshi develop an accurate and stable calibration procedure...
Awards & rankings
Risk institutional investor rankings 2010
The resurgence of market volatility and growing regulatory uncertainty have made the past 12 months challenging for investors. In this difficult environment...
Vote now in the Deutsches Risk rankings
Risk magazine invites you to participate in the 2010 Deutsches Risk rankings.
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