Banks are gearing up to comply with changes to the Basel Committee’s market risk framework from the beginning of 2012. But risk managers complain the rules are far from perfect and leave too much open...
Japan’s regulator points to Mizuho Financial Group’s operational risk management model as an example for banks in the country to follow. Shigehiko Mori, the group’s head of operational risk, talks...
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Correlation articles
The eurozone debt crisis in May drummed home to everyone that stumping up for a hedge against tail risk makes a lot of sense. Those that hadn’t got crash protection in place already – and many had – scrambled around looking for possible macro hedges....
The eurozone crisis sent market participants scrambling to put on macro hedges. A popular trade was to short the euro, but with the cost of this strategy escalating, some turned to correlation products. By Christopher Whittall
High yield spreads are more highly correlated to the VIX index than to default rates.
Designing structured products that are viable, attract reasonable fees for issuers and are attractive investments for the buyer is a constant challenge. Once a product has been priced and hedged, it has to be risk-managed during its lifetime. Hedging...
Morgan Stanley has issued Jump Securities, a structured products based on the performance of a basket composed of the iShares MSCI Emerging Markets Index Fund and the Dow Jones Eurostoxx 50. Principal is not protected and the upside above the target level...
Skew skyrocketed in May, breaking through levels last reached in 2008 after the bankruptcy of Lehman Brothers, while volatility and correlation also spiked. The dislocations are rumoured to have caused losses for some exotic equity books. How did dealers...
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
USA, 9th Dec 2013
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