Sovereign debt crisis
Quant Congress Europe: Quants urged to ditch equilibrium models
Equilibrium models do not represent real markets and need to be replaced with models that take explicit account of real capital flows, says Alex Langnau
The date: October 27. The scene: a dining room at one of the world’s biggest banks. The starter: grilled salmon. While glasses of sparkling water were still enthusiastically effervescing, two of the...
Dealers say regulators have cooked up a pro-cyclical credit value adjustment capital charge that will force them to buy increasing amounts of protection in an illiquid market, regardless of changes in...
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Credit Suisse and UBS on Basel 2.5: Half a world away
Swiss banks had to switch over to Basel 2.5 at the start of 2011, but they are still wrestling with elements of the new trading book rules – from educating traders on the impact, to working out sovereign bond risks. And differences have already emerged...
Europe's democracy deficit contributing to crisis
The eurozone is grappling with a fiscal crisis, but David Rowe argues its ability to cope is being hampered by a democracy deficit
CVA desks to keep buying sovereign CDSs – even if they never pay out
Even if CDS contracts are not triggered in Greek restructuring, Basel III's CVA charge ensures the market will live on - but episode raises fresh questions about design of capital framework, dealers say
Eurozone deal brings relief in forex spot and options
Risk sentiment appeared to make a comeback in forex markets yesterday, as options volatility fell from record highs and the euro rallied in response to the deal announced after the Euro Summit in Brussels
UK FSA 'lacks interest' in dialogue with industry over FCA
Industry insiders have warned a UK Treasury Select Committee hearing that the FSA has shown a distinct lack of interest in dialogue over the FCA
Economic depression is world's top risk, says Towers Watson ranking
The global financial environment continues to show imbalances, and is not in a good position to withstand shocks, says Tim Hodgson
Fink: Billions could flow into preferreds as banks recapitalise
BlackRock chief calls for perpetual preferred shares to be counted towards Tier I capital at Europe's banks
Using market and credit risk analytics to strengthen performance
How are banks improving their risk management techniques?
This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
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Using market and credit risk analytics to strengthen performance
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How financial services need to consider their IT infrastructure
The global credit crisis exposed the weaknesses inherent in the risk management and IT infrastructures employed by banks.
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