Towards T+0 reconciliation

The Counterparty Risk Management Policy Group's third major policy statement appeared in early August - and it presents surprisingly radical demands, says David Rowe

Column: Dan Travers

The high-powered, lightening-fast computer systems that managers use to perform their risk calculations should be geared towards delivering reliability not speed.

Broaden valuation options

In the same way credit risk managers used to question how a loan would be repaid if the primary means of payment were to fail, so banks ought to ask if there is another way to value structured credit investments if market liquidity were to dry up, argues…

CCDS unchained?

In October, David Rowe argued that contingent credit default swaps offered only limited potential for active counterparty credit risk management. The convergence of several factors could change that

Cutting the Gordian knot

Basel II remains wedded to incremental extensions to the market risk rules. It is time for a bolder approach in this area, argues David Rowe

No silver bullet

The emergence of contingent credit default swaps has presented banks with a new way to manage their counterparty credit exposures. However, they have important limitations, argues David Rowe

Lagging risk management

The rate of growth in the complexity of new derivatives products is causing a worrisome lag in risk management's ability to keep pace. As credit derivatives markets endure a period of stress, this lag could have serious consequences, argues David Rowe

Is it really alpha?

Hedge funds often characterise their mission as the pursuit of pure alpha. A growing body of research, however, argues that a significant proportion of observed hedge fund returns are really alternative beta. David Rowe considers the implications for the…