Book contributions by Risk Staff
Portfolio Construction and Management
Edited by Brice Benaben and Julien Jarmoszko
Articles by Risk Staff
High-five for credit
market review
The puzzle of Citigroup
EDITORIAL LETTER | ELLEN DAVIS
BoA makes London rates hire
Bank of America (BoA) has hired Nicholas Dechosal, former head of derivatives, short-term interest rates and forwards trading at Rabobank Utrecht, in London.
Private bankers buying more FX-linked structured products
Private bankers are buying an increasing number of structured products linked to currency movements in a bid to provide more attractive yields to their clients.
US regulators release details of Basel II qualification process
US financial regulators - including the Federal Reserve and the Office of the Comptroller of the Currency - have released preliminary details of the qualification process that financial institutions in that country will have to follow to implement the…
CAD makes slow progress through Parliament
BRUSSELS -- The progress of the Capital Adequacy Directive (CAD) in the European Parliament remains slow. Although the European Commission (EC) was keen to have the legislation voted on before the summer, its introduction for official discussion has been…
Why Coso is flawed
Coso not only fails to help a firm assess its risks, it actually obfuscates the risk assessment process. By Ali Samad-Khan
Emerging markets failing to plug into AMA
Many financial institutions in emerging markets are struggling with the demands of modern risk management. And difficulties with AMA aren’t helping. By Choongo Moonga
TriOptima trims six companies' oil swap portfolios
TriOptima, a Swedish company dedicated to reducing over-the-counter swap portfolios, has expanded its service into energy. The company has terminated its first group of multilateral OTC oil derivative swaps, with six companies eliminating unnecessary…
NAB forex derivatives rejig continues
National Australia Bank (NAB) has continued its rebuilding process by hiring David Hicks as an Australian dollar forwards dealer.
Basel II recalibration for 2006 QIS5
BASEL -- The Basel Committee on Banking Supervision plans to conduct quantitative impact study five (QIS5) during 2006 -- the year during which parallel running will take place -- to recalibrate Basel II.
New corp gov subgroup for Basel
BASEL, SWITZERLAND -- The Basel Committee on Banking Supervision has launched a new subgroup of the Accord Implementation Group, according to a source within the Basel Committee. The group is updating the corporate governance guidance that the Committee…
Below the radar
The upcoming Basel II capital Accord’s impact on the global banking industry is expected to be profound, and hardly painless. The Accord’s ramifications for the investment and hedge fund management sectors, while not nearly as obvious,could contribute…
German banks get to grips with a new lending reality
Removal of state guarantees and pressure from shareholders for better returns means German banks can no longer churn out uneconomically priced loans to clients. Now they are starting to introduce sophisticated loan pricing systems, writes Duncan Wood
Ubitrade launches margin risk management tool
Ubitrade, the Paris-based provider of derivatives trading technology acquired by GL Trade in the first quarter of 2004, has released RiskUbix, a new margin risk management module.
A wrong-way bet
China Aviation Oil (CAO) revealed in late November that it had lost $550 million through trading oil derivatives – but not before its Chinese parent sold $108 million in CAO shares. By Nick Sawyer, with additional reporting by Jill Wong
From Basel II to Basel III
Financial institutions face major challenges in modelling credit portfolio risk, particularly in the field of CDOs. Walter Schulte-Herbrüggen and Gernot Becker argue that the main challenge will be in model testing, due to the increasingly customised…
Fitch/Algorithmics deal analysis
New York-based global ratings and risk management specialist Fitch Group has acquired Toronto-based enterprise risk management software supplier Algorithmics for $175 million.
Citibank cut out
The suspension of Citibank’s private banking business by the Financial Services Agency in September has brought to light a catalogue of internal control and governance failures within the bank’s Japanese operations. And with Citi now cut out of the…
The importance of ALM
The crossfire between the International Accounting Standards Board and the European Commission seems to have left corporates bewildered about the implications of IAS 39. Risk talks to leading advisory groups and corporates about the challenges ahead, and…
Setting a timetable
Regulators in Australia and Japan are the latest to set deadlines for their banks to comply with Basel II, and both differ slightly from the Basel Committee’s schedule. Nick Sawyer reports
Reducing risk through insurance
In this article, Silke Brandts describes a general algorithm for quantifying the risk-mitigating impact of operational risk insurance. She then presents a simple haircut approach to incorporate residual risks inherent in the insurance contracts into the…
The game of life
UK life insurers have faced a new regulatory regime in the aftermath of the guaranteed annuity options disaster, which has led them to rethink their use of derivatives. Nicholas Dunbar talks to four leading life companies