Regulators continue to disagree on rules to curtail short selling. Empirical evidence suggests constraining short sales significantly reduces market quality and can have unintended consequences.
Strengthening of capital requirements and better information to evaluate non-financial risks are important for hedge funds. Fund governance needs to be strengthened to manage non-financial risks.
The Ucits directive fails to make adequate allowances for the operational consequences of financial innovation. Non-financial risk has increased and regulations contributed to this rise.
More Technical papers/Regulation articles
With Solvency II fast approaching, obtaining approval for your internal model is increasingly important. A key part of this process will be to demonstrate the ability of the model’s scenario generation to describe the evolution of interest rates plausibly....
In the May issue we reported the results of a recent EDHEC-Risk Institute survey on structuring hedge fund strategies as Ucits.
Ceiops published new guidelines for the treatment of mark-to-market risk of credit products in Solvency II in its final advice on implementation to the EC in January. In this letter, Richard Martin assesses the proposed risk weights in the light of his...
With the implementation measures of Solvency II being finalised, the optimal complexity of internal models - how to best account for risks with as few redundancies as possible - is of great importance. This month's Cutting Edge section focuses on the...
In recent years, much effort has been devoted to improving the efficiency of the Libor market model. Matthias Leclerc, Qian Liang and Ingo Schneider extend the pioneering work of Giles & Glasserman (2006) and show how fast calculations of Monte Carlo...
Vor dem Hintergrund steigender Komplexität der Risikomessung und höherer regulatorischer Anforderungen gewinnen Techniken zur Validierung von Risikomodellen zunehmend an Bedeutung, um die Adäquanz dieser Modelle gewährleisten zu können. Im vorliegenden...
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.
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