Book contributions by Risk Staff
Portfolio Construction and Management
Edited by Brice Benaben and Julien Jarmoszko
Articles by Risk Staff
The death of the hedge fund is much exaggerated
Columnist: matthew lynn
The index link
index-linked products
The great index divide
Funds of funds
End of the gold rush
Commodities
Managing hedge funds' op risks
The focus of this second article on the operational risks associated with hedge funds is the critical need for appropriate operational due diligence.
Goldman Sachs to lose two top forex prop traders
Goldman Sachs is to lose its two chief London-based prop traders at the end of the year.
Trading volumes surge on rupiah volatility
Trade volumes in the Indonesian rupiah surged by around 50% when markets reopened following the presidential elections last week.
Basel II praised for ERM framework
The new Basel Accord (Basel II) provides the most comprehensive enterprise-wide risk management (ERM) framework for banks because it provides for operational risk management that goes far beyond compliance, says Virginia Garcia, senior analyst at…
Fitch launches First database upgrade
Fitch Risk launched Version 2.0 of the Financial Institutions Risk Scenario Trends (First) database in August, according to Penny Cagan, the senior vice-president for research at Fitch Risk, and manager of the First database.
FSA vague on AMA waiver pack approach
The UK Financial Services Authority is remaining tantalisingly vague about its potential approach to a waiver pack for those banks who wish to apply for the advanced measurement approach (AMA), say industry executives.
Sponsor's article > Op risk and Black Swans
Scarce data is a well-recognised problem for the assessment of operational risk. In such circumstances, David Rowe argues, it is necessary to blend professional judgement with the available data. In doing so, however, it is crucial to counter some well…
Book extract > Integration of Qualitative and Quantitative Operational Risk Data: A Bayesian Approach
The aim of this chapter is to provide a Bayesian model thatallows us to manage operational risk and measure internally thecapital requirement, compliant with the Advanced MeasurementApproaches (AMA) recommended by Basel Committee on BankingSupervision …
JP Morgan Chase’s Dublon retires
Dina Dublon, chief financial officer at JP Morgan Chase, will leave the bank she has worked at for 23 years. She will be replaced by former Bank One executive, Michael Cavanagh, who is a close associate of Jamie Dimon, the combined group’s chief…
Will it come out in the wash?
Special focus financial crime
FSA officially scraps op risk systems and controls
The UK's Financial Services Authority (FSA) has officially announced that it is putting the implementation of 'SYSC 3A - Operational Risk', part of the 'Prudential Sourcebook', on ice.
Sponsor's article > The Home Host Headache
Basel II's advanced measurement approach (AMA) requires that the operational risk capital charge be allocated to banks' international subsidiaries. This means that individual banks will have to run multiple AMA models to meet multiple local regulatory…
Dow Jones expands hedge fund index offerings
Dow Jones Indexes is to add another index to its strategy benchmark Dow Jones Hedge Fund Indexes (DJHFI) series. Beginning in October, DJHFI will publish the Dow Jones Hedge Fund Strategy Benchmark Equity Long/Short (US), which complements the five…
Nomura hires head of pass-through desk
Nomura Securities International has hired Peter Leonard to head the pass-through trading desk that trades mortgage-backed securities. He will also trade the 30-year conventional position.
Dow Jones expands hedge fund index offerings
Dow Jones Indexes is to add another index to its strategy benchmark Dow Jones Hedge Fund Indexes (DJHFI) series. Beginning in October, DJHFI will publish the Dow Jones Hedge Fund Strategy Benchmark Equity Long/Short (US), which complements the five…
ING secures derivatives licence in China
Dutch financial group ING has secured a derivatives licence to operate in the Chinese city of Shanghai.