The third generation
Seeking performance while at the same time increasingly needing to control risk makes smart beta thematic index approaches such as low volatility, minimum variance and risk-weighted strategies increasingly appealing to institutional investors allocating...
Index providers and fund managers who have tended to focus on performance are seeing demand from investors for strategy indexes that focus on risk
Risk awards 2012
What's it all about, alpha?
Alpha strategies may result in lower volatility but they do not necessarily provide higher returns, according to market participants
The shake-up at Citi now incorporates a new group, which will specialise in providing indexes and strategies
Quants' golden age
Banks are developing combined index strategies that allow investors to access a broader range of trading styles to maximise alpha
Citi indexes offers low-cost forex exposure
Commodity-focused hedge funds have faced a torrid past nine months, suffering large losses and widespread redemptions. Yet some funds, notably relative-value arbitrage strategies, have performed better than most. By Richard Jackson
One disappointing aspect of the Basel II deliberations has been the lack of any proposed change in the treatment of counterparty credit exposures. David Rowe argues that recent dialogue between the Basel Committee and industry representatives offers hope...
BASEL - Banks participating in the QIS 3 survey can use internal pricing methods to allocate gross income to different business lines for the standardised approach to measuring operational risk in the Basel II bank accord, global banking regulators said...
BRUSSELS - European banks and investment firms would be able to use operational risk insurance to reduce capital charges in all approaches to measuring op risk under new European Union (EU) capital adequacy rules, banking industry and regulatory sources...
BASEL - The third Basel II quantitative impact study, or QIS 3, brings bankers up to date with the latest thinking of global banking regulators on the treatment of operational risk under the complex Basel II bank protective capital accord.
BASEL - Some 265 banks in more than 50 countries were absorbing the contents of the key QIS 3 survey, which seeks information on how the complex Basel II capital pact would affect them, as Operational Risk went to press.
LONDON - The UK’s chief financial market watchdog said in July it accepted that a large international bank could use the basic indicator approach, the simplest of the three approaches to calculating operational risk capital charges proposed under the...
Banking regulators are pondering whether to change the title ‘gross income’ as currently applied in the simpler approaches for measuring op risk under the Basel II banking accord.
The Basel regulators have missed their chances with their latest op risk paper, argues Jacques Pézier.
BASEL - Global banking regulators formally acknowledged in late September some of the criticisms of their controversial proposal for an op risk capital charge. Their plan is to make large international banks set aside protective capital from 2005 specifically...
Regulators insist that they want a capital charge on banks’ operational risks. But the plan rests on the ability of banks to collect data and model the risks involved, and there’s a frightening lack of agreement on how to do that.
The focus of the operational risk discussion document planned by global banking regulators is signalled in a survey seeking information on banks’ losses from such hazards as fraud, computer system failure and trade settlement errors.
Calculating the benefit for banks of adopting the more complex methods of arriving at an operational risk capital charge is very challenging because of uncertainties over the factors involved.