Book contributions by Risk Staff
Portfolio Construction and Management
Edited by Brice Benaben and Julien Jarmoszko
Articles by Risk Staff
The Enron effect
Lawsuits filed by investors in Enron against two of the fallen energy giant’s arranging banks, Citigroup and JPMorgan, have called into question the very structure of investment banking in the US, as John Hintze discovers
Tullett plans new data launch
Tullett Financial, the data sales arm of broking group Collins Stewart Tullett (CST), is readying the launch of a new currency data product for June.
Covenants: crisis of confidence
Financial covenants that rely too heavily on ratios are just not sophisticated enough to predict the likelihood of default, argues Sarah Woo . Loan originators must learn a trick or two from their colleagues in portfolio management and develop…
Enron veteran quits rates IT role at UBS
Jay Webb, a managing director for fixed-income rates and currencies derivatives IT at UBS, has resigned, bank officials have confirmed.
The waiting game
The Italian power market has finally opened to competition, but how long willenergy users have to wait until they can trade on the new electricity exchange? Joe Marsh reports
A history lesson
Abstract: The size of bid/ask spreads in electricity options has both valuationand credit implications. Here, Ted Kury of The Energy Authority shows how toderive theoretical spreads using historical option price data so they can beused as liquidity…
Nord Pool’s back-up
Nord Pool Clearing is the first pure electricity clearing house to obtain capitalsupport through insurance to cover defaults by its trading counterparties. Areenergy companies set to follow suit? Joe Marsh reports
Simulating spots
Abstract: The use of Monte Carlo simulation is becoming increasingly importantin energy trading and risk management. Here, Les Clewlow and ChrisStrickland present the first in a series of articles looking at the implementation of simulationtechniques and…
Heroes or cowboys?
Banks and energy companies alike are sceptical about the role that hedge fundsplay in energy markets. Are they really an aid to market stability, or is theirpresence compounding market volatility? Paul Lyon reports
Thomas Brooks
Thomas Brooks, president of Constellation Power Source, outlines his contributionto the Constellation Group’s success. By Joe Marsh
Reliably informed
Pat Wood, chairman of US interstate energy regulator the Federal Energy RegulatoryCommission, talks to James Ockenden about reliability, regulation, and wherenext for the competitive market in the US
Fair weather future
Judging from the success of the weather risk market in the Asia-Pacific region,the Chicago Mercantile Exchange couldn’t have picked a more opportune timeto launch Japanese weather futures. By Paul Lyon
Isda raises Basel-linked concerns
Bankers have been preparing for the implementation of the Basel II Capital Accordfor a number of years. But Isda says that it is still concerned about the effectthe Accord may have on the commodities markets. By Paul Lyon
ESB wins Esso price battle
Esso and Ireland’s Electricity Supply Board entered into a seemingly straightforward15-year contract for the sale and purchase of natural gas in 1999. But the contracthas raised the issue of how to define ‘market price’. By James Ockenden
EU adopts linking directive...
The European parliament has given the thumbs-up to the so-called linking directiveallowing companies within member states to benefit from emissions projects outsideof the EU. By James Ockenden and Paul Lyon
Ex-head of risk at Millennium joins JP Morgan Chase
Clinton Lively has joined JP Morgan Chase as head of market risk management for institutional equities in New York.
Steady progress - but could do better
Op risk data: Special focus
Matador Fund, Victor Niederhoffer - May 2004
Victor Niederhoffer was one of the world’s best-performinghedge fund managers. Then he lost it all. But now the renowned speculator and five-times US squash champion hasbounced back, as Navroz Patel explains
Ampere CM, Perennial Growth Fund, Wayne Wilkey - May 2004
Playing to the strengths of its management team, Ampere Capital Management's Perennial Growth Fund seeks opportunity in the technology and media sectors, as John Butcher explains.
Fitch highlights discrepancies in banks’ op risk processes
Measurement Advances
IMF/World Bank to integrate assessments
Financial Crime