The cost of liquidation
Form PF and the debate on buy-side risk
Quants' golden age
Collapse of Long Term Capital Management was due to excessive leverage and shows the perils of an over-reliance on classical portfolio theory, says one of its top quants
‘Hard fought’ battles expected ahead over scale and scope of new financial regulation
The US government's bank stress tests appear to have been successful in stabilising financial markets, but some market observers believe they are obscuring broader systemic problems and could hamper efforts to deal with toxic assets.
Connie Voldstad was head of JP Morgan's first dedicated swaps desk, established Merrill Lynch's AAA-rated derivatives product company, and was one of the six-strong team charged with winding down Long-Term Capital Management. His latest project is a new...
In our new series bringing legal issues under the spotlight, Simon Gleeson, partner in Allen & Overy's regulatory group in London, outlines the key regulatory changes now shaping the bond markets
As systemic risk concerns resurface, Gerald Corrigan, co-chair of Goldman Sachs’ firm-wide risk committee, has revived an industry group formed after the LTCM debacle. By Navroz Patel
Hedge fund managers are becoming interested in behavioural theory, anincreasingly influential branch of economics that describes the role of intuitivebias in investment decision-making. According to one finance professor,behaviouralism provides valuable...
Inconsistent pricing across traditionally segmented markets has been greatly reduced in recent years. Much of this improved market efficiency is due to the efforts of hedge funds. David Rowe argues, however, that the very success of these funds may be...
What would happen if one of the world's largest investment banks pulled out of derivatives? Risk managers at Deutsche Bank and JP Morgan Chase are already building this scenario into their stress-tests, and regulators want other banks to do the same.
Barry Schachter discovers that the path towards a workable structure for hedge fund quantitative risk disclosure is very narrow. Bad news for the post-LTCM lobbyists
Former-derivatives-trader-turned-author Frank Partnoy wants to see tougher accounting standards and risk disclosures to deter corporate crooks. But are the regulators listening? Maria Kielmas reports
Brett Humphreys explains how to measure and manage margin risk, an often-overlooked – yet often-significant – risk exposure
William McDonough, president and chief executive of the Federal Reserve Bank of New York for the past 10 years, will retire on July 21 this year.
“There is no evidence to support the assertion that VAR-based risk management systems destabilise the financial system,” says University of California at Irvine professor Philippe Jorion, in a paper just published in the fall 2002 edition of The...
This paper takes another look at allegations that risk management systems have contributed to increased volatility in financial markets, with the particular example of the summer of 1998. The paper also provides new evidence on the potential effect of...