Book contributions by Risk Staff
Portfolio Construction and Management
Edited by Brice Benaben and Julien Jarmoszko
Articles by Risk Staff
Russia's Fusion first
Profile
Keeping things plain and simple
Profile
Structured Moves
People
Post Office
Quant analysis by StructuredRetailProducts.com
Blurring the boundaries
Company profiles
Axa Banque
Quant analysis by StructuredRetailProducts.com
SA banks complete QIS4
SOUTH AFRICA – The South African Reserve Bank is due to release feedback on the results of its fourth quantitative impact study (QIS4) this July, according to Andre Blaauw, general manager for enterprise risk management at Absa Bank, South Africa’s…
CDS notional reached $6.3 trillion at end of 2004, BIS says
The Bank for International Settlements (BIS) included figures on credit default swaps (CDS) trading for the first time in its semi-annual over-the-counter (OTC) derivatives market report. According to the recently released report, the notional amounts…
Building a risk culture
German bank WestLB appointed its first chief risk officer, Matthijs van den Adel, last year after posting heavy losses in 2002 and 2003. His first job was to restructure the bank’s entire risk management framework. By Duncan Wood
Deutsche hires Grenier from Fidelity
Deutsche Asset Management (DeAM) has hired Bart Grenier as head of its speciality fixed income business – a newly created position. Grenier joins Deutsche Bank’s asset management arm from Fidelity Asset Management and Research, where he was a senior vice…
Mexican structured bond issuance in 2005 hits $2 billion
Standard and Poor’s said that $2.03 billion worth of Mexican structured bonds have been issued so far this year. And with US dollar-denominated paper becoming more popular, use of derivatives in transactions is increasing.
LDCE results show risk sensitivity in US banks, says Rosengren
NEW YORK – Initial results of the loss data collection exercise (LDCE) show that US Basel II banks are holding operational risk capital that is proportional to their losses, according to Eric Rosengren, senior vice-president at the Federal Reserve Bank…
A pragmatic approach to modelling KRIs and their impact on OpVaR
Although there is a wealth of data on key risk indicators, there is not enough guidance on how to use it, says Aniruddho Sanyal
Patsystems and TT settle out of court
A patent infringement lawsuit between two vendors, UK-based Patsystems and Chicago-based Trading Technologies (TT), has been settled out of court. As part of the settlement, TT has licensed some of its technology to Patsystems.
GFI launches forex option pricing tool
New York-based inter-dealer broker GFI has launched a foreign exchange options trading technology that will help its sell-side clients provide pricing and trading tools to the buy side.
What has op risk to do with ‘credit’ ratings?
How should credit rating agencies include op risk in their assessment of firms’ creditworthiness? By Choongo Moonga
China in its hand
As Industrial Commercial Bank of China receives a $15 billion bailout from the government, the challenges in attracting foreign investment and strengthening the sector become ever more apparent. James Ockenden talks to the China Banking Regulatory…
Mandate expands, but money doesn’t
Operational risk managers face two contradictory forces: greatly increased responsibility but not-so-greatly increased resources, according to our third annual global operational risk survey. By Ellen Davis
Basel Committee calls for dialogue on ERM
MONTE CARLO – Ryozo Himino, secretary general of the Basel Committee on Banking Supervision, called on bankers and regulators to engage in a constructive dialogue to achieve the dream of real enterprise-wide risk management, in a keynote speech at the…
Complaints over SOX compliance fall largely on deaf ears
WASHINGTON, DC – Recent protest from corporate executives about the expense and amount of time consumed by firms in their efforts to comply with Section 404 of the Sarbanes- Oxley Act (SOX) was met with mere acknowledgement at hearings held by the House…