The magazine for risk management, derivatives, regulation
Top stories
The battle for retail depositors
Regulators want to see the banking industry rebuilt around the stability of retail customer deposits. But how much do banks know about these liabilities, and how could depositor behaviour change if...
Riccardo Rebonato, Mike Sherring and Ronnie Barnes investigate whether it is possible to model...
A crucial month for Basel III calibration
The Basel Committee has just two months to complete the Basel III reform package in time for...
- ECB’s González-Páramo highlights flaws in collateral framework
- CFTC retail FX rules fail to curb offshore trading
- MEPs win out on powers for new European supervisory bodies
- Too big to fail must be solved, says Bernanke
- HFT quote bombardment blamed for flash crash in May
- Dodd-Frank sees processing firm as 'swap execution facility'
- JP Morgan slashes commodity desks
Latest issue highlights
Banks struggle with Basel 2.5
Banks are gearing up to comply with changes to the Basel Committee’s market risk framework from the beginning of 2012. But risk...
Pensions face RPI-CPI basis risk
The UK government has proposed changing the reference rate for pension funds from the retail prices index to the consumer price...
ETFs under the spotlight amid high correlation
Markets have become less volatile recently, but correlation remains persistently high. Some analysts point the finger at index investing...
Editor's choice
Basel Committee under time pressure
The clock is ticking for the Basel Committee on Banking Supervision. Under pressure from the Group of 20 to firm up changes to the Basel III package of...
HFT quote bombardment blamed for flash crash in May
High-frequency trading firms accused of attempting to overwhelm market infrastructure.
Risk awards 2011: guidelines for submission
Risk magazine will publish its annual awards in January. Find out how to enter
Upcoming conferences
Credit Institute
UK, 28 Sep 2010
Solvency II and Risk Management
UK, 05 Oct 2010
Credit Risk Summit
UK, 14th - 15th Oct 2010
Training courses
Impact of regulatory reform on clearing and settling OTC derivatives
UK, 8th - 9th Sep 2010
Managing liquidity risk
UK, 9th - 10th Sep 2010
Valuation of Assets in Illiquid Markets
USA, 13th - 14th Sep 2011
Special reports
Technical papers
Smiling jumps
Local jump intensity models, in which the volatility of a Lévy process is made spot-dependent, are difficult to parameterise and calculate. However...
CVA and the equivalent bond
Riccardo Rebonato, Mike Sherring and Ronnie Barnes investigate whether it is possible to model the credit valuation adjustment (CVA) by means of an...
Awards & rankings
Risk interdealer rankings 2010: Brokers
This year’s survey results belie some major changes in the broker market as a result of regulation of the over-the-counter derivatives market. Many...
Risk interdealer rankings 2010: Dealers
Dealers experienced a bumpy second quarter following the eurozone debt crisis and a spike in volatility. In this tumultuous environment, Deutsche Bank...
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