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Portfolio Construction and Management
Edited by Brice Benaben and Julien Jarmoszko
Articles by Risk Staff
Sourcing the single-system solution
As head of the Basel project office at Bank of New York, Nicholas Silitch faces the toughest challenge of his 20-year career at the bank.
Proposed conduct code for creditratings agencies draws criticism
“Fairly or not, rating agencies have been in the spotlight in the wake of recent high-profile corporate scandals,” said David Knott, chairman of the International Organisation of Securities Commissions’ (Iosco) technical committee in September 2003 when…
Fitch to acquire Algorithmics
Fitch Group announced today that it is to acquire Algorithmics, a leader in enterprise risk management. The transaction, valued at $175 million, is expected to close in January 2005. The transaction is subject to customary regulatory approvals.
Building success in risk technology
The results of Risk ’s first-ever technology rankings – voted for byover 350 users of risk-based software products – show a highlycompetitive industry where firms must strive to stay abreast offinancial innovation. Clive Davidson reports
Credit correlation model debuts on Bloomberg
Morgan Stanley’s credit correlation model has been made available on Bloomberg today. The model can be used to price basket and single-tranche credit derivatives.
Fitch’s corporate derivatives usestudy finds lack of transparency
Fitch Ratings’ recent study of hedgeaccounting and disclosure amongcorporates has revealed a somewhatsurprising lack of public disclosure of derivativesuse. The study focused mainlyon US corporates that have been reportingunder FAS 133 – the accounting…
Software glitch halts CBOE trading
The Chicago Board Options Exchange (CBOE) suffered an interruption in its order routing and dissemination reporting last Wednesday.
Risk management is not just about quantitative models, says Schmidt Bies
Effective risk management is more than technical skills in building internal models, and needs qualitative factors of experience and sound judgement, according to governor Susan Schmidt Bies of the US Federal Reserve.
Barx proves catalyst for electronic swaps, says Icap’s Spencer
The move by UK investment bank Barclays Capital to offer live interest rate swaps prices via Bloomberg terminals is the catalyst that will drive the electronic trading of interest rate swaps, according to Icap chief executive Michael Spencer.
Agencies warn banks of risks in bank-owned life insurance
US financial regulators (the Agencies) have released a joint statement warning financial institutions that the purchase and risk management of bank-owned life insurance (BOLI) must be consistent with safe and sound banking practices.
We need a common definition of ‘validation of internal models’ across countries, says OCC
The lack of a common definition of the ‘validation process’ of the internal credit risk measurement models across countries could cause problems in the cross-border risk management under the new Basel Accord, Basel II, according to New York-based Mark…
OCC urges banks to match risk appetite with internal control capabilities
The Office of the Comptroller of the Currency (OCC), the primary supervisor of US national banks, has urged banks to match risk appetites with internal control capabilities.
We need a Basel Accord that emphasises economic not regulatory capital, says Gilbert
Even before the new Basel Accord, Basel II, is implemented, some risk managers already see a need for a Basel III process to rectify flaws in Basel II.