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Portfolio Construction and Management
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Articles by Risk Staff
Isda proposes net physical settlement
The International Swaps and Derivatives Association has released a draft of the net physical settlement supplement to the 2003 credit derivatives definitions, which aims to simplify the settlement of credit default swaps (CDSs) after a credit event.
More clarity offered on Mifid
The European Union has published draft implementation rules on its Markets in Financial Instruments Directive (Mifid), giving Europe's financial institutions greater clarity on how to comply with the directive. But some bankers have criticised the…
Banks get stressed
The UK's Financial Services Authority has called on banks to improve stress testing of possible disruptive events, while the Basel Committee declared last year that firms must supplement their value-at-risk models with stress tests. But some bankers…
SGAM launches ETFs on FTSEurofirst
SGAM Alternative Investments, a subsidiary of Societe Generale group, has launched two new structured exchange-traded funds (ETFs) based on the FTSEurofirst 80 index.
RBC launches Hedge 250 Index
RBC’s Alternative Assets Group, a business unit of RBC Capital Markets, has launched the RBC Hedge 250 Index. The RBC Hedge 250 Index is comprised of 250 individual funds – which is up to six times greater than the number of funds referenced by other…
Allen & Overy reorganises in Asia
Law firm Allen & Overy has further broadened its derivatives and structured finance group in Hong Kong and China with partners Paul Cluley and Joseph Tse and associates Fion Ha, Karen Lee and Joanna Chan.
Goldman Sachs offers commodity-linked certificates
Goldman Sachs has launched two six-year certificates that are linked to an equally weighted basket of the GSCI Agriculture Excess Return Index and the GSCI Livestock Excess Return Index. Both products are listed on the London Stock Exchange (LSE).
GFH and QIB to launch investment bank in Qatar
Bahrain-based Gulf Finance House (GFH) and Qatar Islamic Bank (QIB) are to launch Qatar’s first dedicated Islamic investment bank. A formal application for authorisation and a license was submitted last month to the Qatar Financial Centre Regulatory…
Hong Kong prepared for implementation with major financial capitals
Simon Topping, executive director of banking policy at the Hong Kong Monetary Authority (HKMA), has stated that Hong Kong will be ready to implement Basel II in tandem with London, Paris, Frankfurt and Tokyo. According to Topping, timely implementation…
FSA releases second bulletins on CRD
The FSA has published its second set of Capital Requirements Directive (CRD) implementation bulletins for banks, building societies and investment firms. This newsletter aims to help institutions identify key points in the consultation paper, as well as…
BNP Paribas hires Bystrom for new ETF options trading role
BNP Paribas has hired Dan Bystrom as head of exchange-traded fund (ETF) options trading in New York, in a newly created role.
MiFID Level 2 text on the table
BRUSSELS – In early February, the European Commission tabled formal draft proposals for the Markets in Financial Instruments Directive (MiFID) Level 2 text, detailing new trade reporting and transparency requirements for securities industry participants.
The fat tail
Minh-Tri Nguyen and Martin Ottmann aim to quantify op risk with multi-stage curve fitting and extreme value theory applied with the loss distribution approach
Institute of Op Risk up and running
LONDON – The Institute of Operational Risk, long in the planning stages, is now gathering momentum, according to Philip Martin, director of the organisation.
Federal Reserve stresses the importance of good disclosure to investor confidence
Accounting and auditing scandals have led to an increased resolve on the part of governmental, regulatory and business to reinforce and improve standards-setting processes and disclosure practices by companies, according to the vice-chairman of the board…
FSA publishes second CRD paper
LONDON – The UK Financial Services Authority indicates its intention to implement both the qualitative and quantitative aspects of the Basel II framework robustly in its new consultation paper on the Capital Requirements Directive , published in late…
Further delays hit US Basel II implementation
WASHINGTON, D.C. – The US process for Basel II was thrown into chaos yet again by the passage of a new law on the Federal Deposit Insurance Corporation that includes provision for a one-year study. The net effect of the legislation is said to be the…
IRA report shows US banks would require more capital under Basel II
In contrast to the fourth Quantitative Impact Study (QIS 4), a report from Institutional Risk Analytics (IRA) suggests that the largest US banks will be required to hold more capital under Basel II than under current minimum capital requirements. “Basel…
'Unacceptable' for final Basel II rule to reproduce QIS 4 results, says Dugan
While expressing broad support for "the Basel II approach", the US comptroller of the currency, John Dugan, said that this was not "the same thing" as saying that a perfect proposal to implement that approach had been crafted.
US Treasury backs timely implementation of Basel II
Speaking to the Institute of International Bankers (IIB), the under secretary of the US treasury for domestic finance Randal Quarles addressed some of the issues impeding the implementation of Basel II in US financial institutions.
Deputy general manager of BIS says Basel II is key to financial globalisation and market discipline
Hervé Hannoun, deputy general manager of the BIS, has reviewed some of the main factors driving the internationalisation of financial services. Looking at the key challenges facing central banks in acting as a discipline multiplier, “Internationalisation…
Chairman of the Federal Reserve backs Basel II for all US banks
Chairman of the US Federal Reserve System, Ben Bernanke, has offered his support for US-wide implementation of Basel II. Speaking at the Independent Community Bankers of America National Convention this week, Bernanke asserted that although community…