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Portfolio Construction and Management
Edited by Brice Benaben and Julien Jarmoszko
Articles by Risk Staff
Both sides of the fence: a statistical and regulatory view of electricity risk
Ernst Eberlein and Gerhard Stahl analyse price series of 25 energy spot rates simultaneously using Lévy models. This model class allows the capture of stochastic behaviour of these financial instruments. The implications of this analysis will form the…
Isda and EEI collaborate on Power Annex
The New York-based International Swaps and Derivatives Association (Isda) and US trade body the Edison Electric Institute (EEI) published a North American Power Annex to the Isda Master Agreement in August.
Onus now on dealers to guard against currency derivatives scams
Under new rules that become effective on December 1, dealers will have to take greater responsibility for the actions of unregulated individuals that use them as counterparties in off-exchange currency derivatives transactions with investors.
DTCC signs collaboration agreement withTaiwanese counterpart
The New York-based Depository Trust & Clearing Corporation (DTCC) and the Taiwan Securities Central Depository (TSCD) have signed an agreement to co-operate in their business activities, including sharing information on risk management.
CBOT partners with Taiwan Futures Exchange
The Chicago Board of Trade (CBOT) announced that it has signed a memorandum of understanding with the Taiwan Futures Exchange to share information on market and product development and potentially work toward developing markets for new derivative…
BoA: single-tranche CDOs compensate well for their risks
The additional spread available from single-tranche collateralised debt obligations (CDO) – compared to other portfolio credit products - more than compensates investors for the particular risks associated with tranched products, claims Bank of America …
Bloomberg hires Hagan for new quant team
Pat Hagan – a former managing director in Bear Stearns’ fixed income research group – has joined Bloomberg’s nascent quantitative research and development group.
Donohue to replace McNulty at CME
The Chicago Mercantile Exchange (CME) announced that James McNulty, president and chief executive, will step down at the end of the year, only one year after taking the exchange public. Craig Donohue will take over as chief executive on January 1…
New study underlines troubled state of op risk tech industry
A new study published by risk consulting firm Raging Torrents International concludes that vendor risk is very high in the operational risk technology area, and notes that the environment for financial institution spending on op risk vendor solutions is…
Deutsche bridges private banking and forex
Deutsche Bank is seeing increased foreign exchange business from its private clients following the recent appointment of David Bee in London, Risk's sister publication FX Week reports. Bee is working with Jim Turley, global head of forex in London, and…
STP break puts banks at risk
Third-party banks using the continuous-linked settlement (CLS) service may be subject to increasing operational risk as a result of a breakdown in straight-through processing (STP), reports Risk's sister publication FX Week .
FSA study shows wide gap in firms' op risk frameworks
LONDON - In late July, the UK's FSA published a study of the practical implementation challenges that financial firms face when putting together an op risk infrastructure.
US investment banks create myriad problems for Basel II
NEW YORK - As financial institutions and banking regulators settle down to the challenge of implementing Basel II, a substantial problem has emerged for US investment banks.
Basel II creates myriad problems for US investment banks
Basel II is causing substantial problems for US investment banks whose overseas subsidiaries may receive harsh treatment under the new capital regime and whose home regulator, the Securities and Exchange Commission (SEC), says it is unsure when it will…
Italy's Abaxbank builds treasury unit with forex options appointment
Milan-based Abaxbank has hired its third new treasury team member this year. The new arrival is Cinzia Lacopone in foreign exchange options.
Forex dealers leave Fimat Chicago
Fimat, the brokerage arm of French investment bank SG, shed four staff from its US dealing team earlier in August, sources close to the company told RiskNews ' sister publication FX Week .