The magazine for risk management, derivatives, regulation
Top stories
How the CCP location debate helped split the EU
The European Central Bank’s insistence that all euro clearing take place within the eurozone was at the heart of December’s row between the UK and the rest of the European Union. David Cameron was feted...
Standard CSA: the dollar dominance dispute
Disputes over the valuation of collateralised derivatives trades have pushed the industry to...
Market participants have endured a 12-month period of dramatic upheaval. Despite the challenges...
- Basel Committee considers use of credit ratings in LCR shake-up
- Swaps push-out a 'vast overreaction', says OCC's Walsh
- Icap's Spencer: 'not a prayer' of UK agreeing to FTT
- ECB in talks with dealers on buying inflation-linked bonds
- Use of OECD ratings in US market risk proposals questioned
- Risk.net poll: Basel rules make client clearing uneconomical
- CIBC hires Citadel's Siddique
Latest issue highlights
Basel 2.5 prompts flurry of asset sales and risk transfer deals
The last months of 2011 saw European banks preparing for the arrival of Basel 2.5 by trying to lighten their risk-weighted assets...
Dealers call for ECB to buy inflation bonds as Italy faces exit from key index
Further downgrades for Italy would cause its inflation-linked bonds to drop out of a Barclays Capital index, prompting mass selling...
Tech firms prepare euro break-up contingencies
A splintering of the eurozone would require a host of changes to financial technology – from minor tweaks to major re-engineering...
Editor's choice
National interests threaten reform agenda
Towards the end of the classic 1933 version of King Kong, a huge ape is brought into the heart of New York, breaks his chains and escapes into the city...
Basel 2.5: US ratings workaround too punitive, banks complain
Securitisations suffer in draft rules that avoid use of credit ratings - a Dodd-Frank Act requirement
2012: another year of living dangerously
It is always possible to envisage threats to economic and political stability, but the next 12 months look likely to harbour many unhappy surprises...
Upcoming conferences
Risk South Africa
South Africa, 28th - 2nd Mar 2012
OpRisk North America 2012
USA, 20th - 23rd Mar 2012
Risk Annual Summit
UK, 20th - 23rd Mar 2012
Training courses
Marcello Minenna on Derivative Pricing and Model Calibration: Tools and Techniques
UK, 15th - 17th Feb 2012
Basel 2.5 to Basel III: Challenges and Objectives for Risk Management
UK, 16th - 17th Feb 2012
Basel 2.5 to Basel III: Challenges and Objectives for Risk Management
USA, 23rd - 24th Feb 2012
Special reports
Technology
Foreign exchange
Credit
Technical papers
Hybrid correlation matrices
Integrating available implied volatility data into a historical correlation matrix is an essential part of calibrating a Monte Carlo credit value adjustment...
Analytical risk contributions for non-linear portfolios
The value-at-risk of portfolios needs to account for non-linear effects in the loss distribution’s dependence on risk factors. Using the classical Cornish...
Awards & rankings
Risk awards 2012
Market participants have endured a 12-month period of dramatic upheaval. Despite the challenges they faced, some companies managed not just to survive...
Risk technology rankings 2011
New regulations have forced financial services firms to get to grips with counterparty credit risk and credit value adjustment, the liquidity coverage...
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Confused by OIS discounting?
The major dealers now agree that cash collateralised derivatives should be discounted using the OIS rate rather than Libor. Read Risk.net's coverage of the shift, plus the move to a new standard CSA.
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