Book contributions by Risk Staff
Portfolio Construction and Management
Edited by Brice Benaben and Julien Jarmoszko
Articles by Risk Staff
Sponsor's article > Expected Positive Exposure: Achieving Basel II Compliance Strategically
Enhancements to Algo Capital provide robust and realistic EPE values for counterparties across the trading book, while taking into account complex forms of credit mitigation.
Risk and responsibility
A growing number of banks are producing sustainability reports detailing their environmental and socially responsible initiatives. Is this just slick PR or has sustainability become an important risk management consideration? Clive Davidson investigates
Leading the pack
Nordic banks are well ahead with their Basel II programmes compared with their international peers. But there are concerns about home regulator rules and advanced credit risk data requirements. Laurence Neville reports
A question of longevity
Pricing and management of longevity risk is gaining in prominence for life and pensions companies. But the market for longevity risk on the pension side remains underdeveloped
Looking to the future
Sweden's life insurance companies and occupational pension plans will radically change the way they discount their liabilities and stress test their portfolios under new rules being drafted by the country's top financial regulator.
CEBS defends record
LONDON – The accomplishments of the Committee of European Banking Supervisors (CEBS) over the past 12 months were outlined by Danièle Nouy, vice-chair of the organisation, at a British Bankers’ Association conference in London in mid-October. Although…
Banks warned over regulatory risk
WASHINGTON, DC – Banking organisations should not overemphasise regulatory risk at the expense of more significant business risks, according to John Allison, chief executive officer of BB&T Corporation, the North Carolina-based $107 billion financial…
Sponsor's article> SunGard Acquires ERisk Holdings, Inc. to offer Enhanced Economic Capital Management
BOSTON, MA – November 14, 2005– SunGard today announced that it has acquired ERisk Holdings, Inc., a leading provider of economic capital management software and risk consulting services to financial institutions. The transaction, the terms of which have…
Mixed signals for derivatives
New solvency regulations in Sweden will force life insurers and occupational pension funds to mark their liabilities to market and stress test their positions under a new 'traffic light' regime. While the final result is unclear, the new rules look set…
Market value of investors’ US convertibles plummets 20%
The market value of institutional holdings of US convertible bonds has plunged nearly 20% during the past year, according to research by Greenwich Associates.
Pushing the boundaries
The introduction of IAS 39 this year has caused some corporate treasurers to rethink their use of derivatives. Banks are looking to structure derivatives solutions that achieve the economic objective of a hedge, while avoiding undue volatility on the…
CEBS' AMA and IRB guidelines under fire
LONDON – Industry groups have hit out at the Committee of European Banking Supervisors’ (CEBS) guidelines on implementation, validation and assessment of advanced measurement (AMA) and internal ratings based (IRB) approaches, or ‘Consultation Paper 10’.
Asia Risk Awards 2005
Risk manager of the year bank: HSBC
Capital modelling: Correlations in ESGs
Hoping to gain a competitive edge, leading life companies are demanding more control of their capital calculations, but can their ESG suppliers keep up with the demand?
More IT for MiFID
MiFID's success hinges on IT prospects, write Choongo Moonga and Phil Craig . But many in the industry are balking at the costs involved
Delphi credit event fixing set at auction
An auction to generate cash settlement prices for index credit derivatives referencing defaulted bonds of US-based automotive parts manufacturer Delphi was held today.
Sponsor's article> Yorkshire Building Society Selects SunGard For Basel II Capital Management
London, UK– November 2, 2005– SunGard today announced that UK-based Yorkshire Building Society (YBS) is extending its relationship with SunGard with the selection of SunGard’s Basel II Capital Manager for retail, wholesale and securitization credit risk…
Singapore initiates competency standards
SINGAPORE – The Singapore government, through the Institute of Banking and Finance (IBF), launched the beginnings of a Financial Industry Competency Standards (FICS) programme in early September.
Jim Toffey
Profile
Winner: Neiman Marcus
Credit 's monthly roundup of the most innovative financing solutions. This month Neiman Marcus, Telecom Italia and Axa's Capella CDO win the accolades. Interviews and analysis by Nadia Damouni
Leverage lift-off for new CDOs
Structured credit
Islamic Finance Moving into the mainstream
Regional focus: Middle East/Africa
THE IBERIAN DIVIDE
Regional focus: Europe
Investment grade
Liquidity surveys: Sterling