Book contributions by Risk Staff
Portfolio Construction and Management
Edited by Brice Benaben and Julien Jarmoszko
Articles by Risk Staff
Looking for clarity
Compliance
Questioning assumptions
Comment
BarCap snares Seeger from ABN Amro
Barclays Capital has hired Kai Seeger from ABN Amro as a director in its credit derivatives trading team in London.
MBIA moves to boost Asian structuring business
Monoline insurer MBIA has recruited Hee Suk Noh from Bank of America’s global asset-backed securitisation team to boost its marketing effort in Tokyo.
SuperDerivatives launches equity option pricing service
New York-based option pricing software company SuperDerivatives has expanded its valuations service into the equity asset class. This supplements its existing option pricing service in foreign exchange and its recent foray into interest rate products on…
Sponsor webcast>> From compliance to better business - making the case for implementing a Basel II solution
Compliance with the Basel II Accord means being able to identify, generate, track and report on risk-related data in an integrated, automated and transparent manner. It also presents a unique opportunity to improve your enterprise risk management…
Credit derivative market grew 48% during first half of 2005, says Isda
The notional amount of credit derivatives outstanding hit $12.43 trillion at the end of June, according to the International Swaps and Derivatives Association.
Legal spotlight
In our new series bringing legal issues under the spotlight, Simon Gleeson, partner in Allen & Overy's regulatory group in London, outlines the key regulatory changes now shaping the bond markets
Towards a practical capital model
Existing models for calculating and allocating capital for operational risk fail to achieve their goals. Richard Pike proposes a mixture of such approaches to attain a practical capital framework
Del Missier and Kvalheim named co-presidents of BarCap
Jerry del Missier and Grant Kvalheim have been named co-presidents of Barclays Capital amid wider organisational changes at the UK bank. Both will report to Robert Diamond, president of Barclays.
BarCap teams with HFR to offer hedge fund options
Barclays Capital and HFR Group are offering transparent pricing for hedge fund-linked tradable options. Based on the HFRX Global Hedge Fund Index, BarCap will offer a two-way market in European call options to its institutional clients and counterparties…
Scenario analysis: the way forward
Of the four elements that Basel uses as inputs for the AMA, scenario analysis has only recently been seen as perhaps the most important.
MAS consults on Basel
SINGAPORE – The Monetary Authority of Singapore published a consultation paper that outlines proposed rules and guidelines on parts of its Basel II implementation programme in August.
Basel II to reduce capital on rated securitisation positions
The minimum capital requirements under the new Basel framework, also known as Basel II, will lower the amount of capital that implementing banks will be charged for rated securitisation positions, according to new research by FitchRatings, the rating…
Global risk standard in the works
GENEVA – The Geneva-based International Organization for Standardization (ISO) is developing a global standard for risk management, according to Nicki Dennis, head of risk market development at the British Standards Institute (BSI) in London.
Pillar II problems cause tempers to fray
LONDON – Tempers are continuing to boil over proposed Pillar II regulatory implementation, both in the industry and at the UK's Financial Services Authority (FSA). One attendee at the late July Pillar II standing group meeting described the event as …
DrKW builds exotic equity team
Dresdner Kleinwort Wasserstein has added four members to its exotic equity derivatives business. The hires were made to expand the team and the bank's structured products business.
MiFID Winners and Losers
A piece of compliance is presenting firms with such a technology hurdle that industry players are predicting a new host of opportunities.
MiFID's Cold Reception
The UK's Financial Services Authority is worried about what the new regulations will mean for British investment firms.
Falling short of the mark
Financial institutions have struggled to develop operational risk frameworks that will improve business decisions and optimise their use of economic capital. And a new study indicates that op risk is now increasingly viewed as yet another compliance…
The Gathering MiFID Storm
A new regulation from the European Union will transform market structure—and cost investment firms billions to comply. In the meantime, IT strategists are taking a leading role in lobbying European regulators.
The CRO road
Some of the larger hedge funds have set up formal risk management functions, appointing independent chief risk officers (CROs) to oversee their business. But what role should a hedge fund CRO play, and are these appointments a precursor of wider changes…
The multi-period explosion
Suppliers of asset and liability modelling software are using grid computing to help life companies cope with the increasing burdens put on them by regulators and rating agencies
The 'benefits' of smoothing
For a specific with-profits life insurance model, this article considers the amount of economic capital that is required to back smoothing benefits for a with-profits life insurance firm