News/Risk management
Speakers voice synthetic credit and capital structure arbitrage fears
A number of speakers at Risk ’s Credit Risk Summit USA 2003 voiced concerns about investments in credit derivatives and capital structure arbitrage yesterday. Sivan Mahdevan, an analyst in Morgan Stanley’s credit derivatives research group, when opening…
Basel Committee publishes paper on bank compliance functions
The Basel Committee on Banking Supervision published a consultation paper yesterday outlining basic guidance for banks on the structure and operation of their compliance function, and "sets out banking supervisors' views on compliance in banking…
Caruana: 2006 implementation of Basel II still on target, despite difficulties
Despite recent controversies in the wake of the third Basel II consultative paper (CP3), Jaime Caruana, governor of the Bank of Spain and chairman of the Basel Committee on Banking Supervision, says he believes the new Basel II Accord will be implemented…
SEC publishes its own Basel II framework
The US Securities and Exchange Commission (SEC) has finally posted its proposals for its own Basel II framework for broker-dealers and investment bank holding companies on its website.
Sponsor's article > Updated SunGard Basel II CD now available
SunGard Trading and Risk Systems has updated its Basel II CD to reflect events up to and including October.
GFI buys exotic options model
Inter-dealer broker and market data firm GFI Group has bought options pricing model dVega and integrated it with the latest release of its flagship options pricing tool Fenics FX.
iBoxx launches tradable CDO tranches
Bond and credit default swaps index company iBoxx has launched a series of tradable instruments linked to single tranches of one of its credit default swap (CDS) indexes.
JP Morgan Chase prepares first syndicated synthetic CDO
JP Morgan Chase has taken a leaf out of the bond and loan markets by putting together the first syndicated synthetic collateralised debt obligation (CDO).
Geithner to replace McDonough at New York Fed
Timothy Geithner, currently the director of the Policy Development and Review Department at the International Monetary Fund (IMF) in Washington DC, has been named the next chief executive of the Federal Reserve Bank of New York.
Risk overhaul at US banks due to economic capital not Basel II, says Fed's D'Silva
Economic capital, not the impending introduction of Basel II, is driving risk management initiatives at US banks, according to the Federal Bank of Chicago's director for capital and market risk, Adrian D'Silva.
Algo to release flagship Basel II-compliant system in January
Canadian risk management systems vendor Algorithmics will release version 4.4 of its Algo Suite flagship product on January 15.
Risk overhaul at US banks due to economic capital not Basel II, says Fed's D'Silva
Economic capital, not the impending introduction of Basel II, is driving risk management initiatives at US banks, according to the Federal Bank of Chicago's director for capital and market risk, Adrian D'Silva.
Algo to release flagship Basel II-compliant system in January
Canadian risk management systems vendor Algorithmics will release version 4.4 of its Algo Suite flagship product on January 15. Its enterprise-wide risk management system will include all the features necessary for Basel II regulatory capital reporting,…
China's regulator publishes new draft derivatives guidelines
The publication of China's long-awaited derivatives regulations has moved a step closer following the release of new draft guidelines by the country's regulator, the China Banking Regulatory Commission (CBRC).
JP Morgan Chase and Morgan Stanley launch Trac-x Asia
JP Morgan Chase and Morgan Stanley have made yet another addition to the family of Trac-x global credit default swap indexes created by both firms, with the launch of Trac-x Asia.
Korean consumer default likely to affect Asian securitisation, says S&P
The deteriorating credit quality of South Korea’s securitised credit card portfolios has not only meant Korean asset-backed securities issuance has ground almost to a halt this year, but that it is likely to negatively affect consumer finance…
FSA warns of treasury management flaws
LONDON - The Financial Services Authority, the UK regulatory body, has highlighted key areas of weakness in UK treasury management following a survey of banks and building societies.
Basel II is a key driver for real-time info
Speakers at the Cable & Wireless roundtable on real-time information in mid-September all agreed that real-time information (RTI) would help banks manage liquidity, minimise risk and improve operational efficiencies. They also agreed that one of the key…
Basel Accord finalisation delayed by six months
The Basel Committee on Banking Supervision announced today that the finalisation of Basel II will be postponed from year-end 2003 to mid-year 2004.
S&P questions Basel II
NEW YORK - Standard and Poor's anticipates significant challenges for banks to quantify operational risk as outlined in Basel II, even though it expresses general support for the Accord as a whole.
US SEC to begin work on Basel II rules
The US Securities and Exchange Commission (SEC) will soon issue a set of proposals, consisting of rule amendments and new rules, to create two separate voluntary regulatory frameworks for the supervision of broker-dealers and their affiliates on a…
Time-series pioneers share Nobel Prize for Economics
Recipients’ work on the analysis of time-series data has provided powerful mathematical tools for research in derivatives pricing, risk management and economics