Asia Risk - Volume 14/ Issue 10

Hedge funds panacea

Confidence in hedge fund investments has hit an all-time low due to poor performance and fears of fraud after the collapse of Bernard Madoff’s $65 billion Ponzi scheme. Managed accounts offering improved transparency and control over assets are being tout

Carry trade bonanza

Asian governments and quasi-government entities have issued record volumes of debt this year. This, combined with strong currency moves, is fuelling swaps activity in the markets. Can it last? William Rhode reports

Legally unbound

Foreign banks have been on the sharp end of district court decisions in Jakarta this year annulling derivatives contracts they had struck with Indonesian exporters. The development raises questions about the sanctity of contract, the Indonesian judicial

Confidence crunch

Many financial institutions calibrate their required level of economic capital by considering the probability of default associated with a target debt rating. However, as the financial crisis has shown, confidence in a bank can erode before its Tier I cap

Shortfall: who contributes and how much?

Understanding risk contributions is a key part of successful risk management and portfolio optimisation. Richard Martin extends the discussion from value-at-risk to expected shortfall and shows that saddlepoint approximation preserves the convexity proper

Bucking the trend

Ranjit Ajit Singh, managing director of the Securities Commission of Malaysia and Iosco chairman, is a rarity among financial supervisors: he favours market deregulation and the use of more risk management tools such as derivatives. Harry Thompson reports

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