News/Risk management
Standard & Poor's enters portfolio risk modelling
Standard & Poor's (S&P) Risk Solutions has launched a portfolio risk tracker model. The model covers both credit and market risk, which should allow banks to calculate their economic capital and perform risk assessments across the full range of risks…
EU Parliament to hold "Basel II and SMEs" workshop, publish paper
The European parliament is holding a workshop, Basel II and the consequences for SMEs, on July 10.
FASB unlikely to delay FIN 46, says CSFB
The US Financial Accounting Standards Board (FASB) is unlikely to delay the introduction of financial interpretation number 46 (FIN 46), the consolidation of variable interest entities (VIEs), according to the accounting and tax research team at Credit…
FSA publishes Basel II/CAD implementation consultation
The UK's Financial Services Authority published its 'Report and first consultation on the implementation of the new Basel and EU Capital Adequacy Standards' in early July.
FASB unlikely to delay FIN 46, says CSFB
The US Financial Accounting Standards Board (FASB) is unlikely to delay the introduction of financial interpretation number 46 (FIN 46), the consolidation of variable interest entities (VIEs), according to the accounting and tax research team at Credit…
BNP Paribas beats SG for ZCM assets
French bank BNP Paribas has entered the final stages of negotiations to purchase about 140 structured transactions linked to funds investments from Zurich Capital Markets (ZCM), a division of Swiss insurer Zurich Financial.
Fed publishes ANPR preview material
The US Federal Reserve has published material on its website that gives readers a preview of what can be expected from the forthcoming advance notice of proposed rulemaking (ANPR), which has a planned late-July release date.
Jacobs joins Chicago Fed's new economic capital group
Former managing director and head of analytics for Bank of America's loan portfolio management, Thomas Jacobs, has joined the Federal Reserve Bank of Chicago as an economic capital specialist in the watchdog's risk specialist division.
Energy firms turn to credit derivatives market
More energy companies are likely to start purchasing credit derivatives as a way of mitigating counterparty credit risk, analysts said at a conference in New York this week. This is partly because spreads on single-name credit default swaps (CDS) of…
Moody's claims documentation affects recovery values
Recovery values assigned to a single reference entity in credit derivatives contracts are inconsistent, partly due to a lack of standardised valuation documents, according to Moody’s Investors Service.
Credit risk models enhance link between credit and equity prices, say BIS
The growing use of credit risk models is helping to strengthen the link between credit and equity prices, said the Bank for International Settlements (BIS).
Bear Stearns adds CDO evaluator to Pacre
Bear Stearns has added a high-yield collateralised debt obligation (CDO) pricing model to its price-adjusted credit risk evaluator (Pacre) product. The model is designed to calculate credit-adjusted spreads on individual CDO tranches.
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Credit risk models enhance link between credit and equity prices, say BIS
The growing use of credit risk models is helping to strengthen the link between credit and equity prices, said the Bank for International Settlements (BIS).
GASB issues new derivatives guidelines
The US Governmental Accounting Standards Board (GASB), a not-for-profit organisation that seeks to establish standards of financial accounting and reporting for state and local governmental entities, has issued new derivatives accounting guidelines for…
Bank of England research backs Merton model
Analysts in the Bank of England's domestic finance division believe a Merton model for modelling credit risk is "a useful tool for assessing the riskiness of individual companies".
Lehman and Agricultural Bank of China close synthetic CDO
Lehman Brothers International Europe, the European arm of US investment bank Lehman Brothers, has launched an arbitrage synthetic collateralised debt obligation (CDO) referenced to a $1 billion portfolio of 120 entities that will be managed by the…
SAS acquires OpRisk Analytics
SAS, the North Carolina-based data management software vendor, announced that it has acquired the principal assets of OpRisk Analytics, a Connecticut-based operational risk analytics company. It did not disclose financial terms.
Basel II heralds a new ‘golden age’ for risk, says BofE's Jackson
Basel II is creating a new lingua franca for risk that will usher in a “golden age” of risk management, said Patricia Jackson, special adviser to the Bank of England, at Risk magazine’s Basel II Forum in London today. The debates surrounding the wording…