Book contributions by Risk Staff
Portfolio Construction and Management
Edited by Brice Benaben and Julien Jarmoszko
Articles by Risk Staff
Structured products
Despite hedge funds promising absolute returns, plenty of buyers want guarantees on top
Eurex to offer Stoxx sector futures in US
Eurex, the Swiss-German derivatives exchange, will start offering Dow Jones Stoxx 600 Bank and Dow Jones Euro Stoxx Bank index futures in the US today after receiving the regulatory go-ahead.
CME and GSCC team to offer eurodollar futures cross-margining
Clearing members of both the Chicago Mercantile Exchange (CME) and the Government Securities Clearing Corporation (GSCC) can start cross-margining buy-sell and repo US government securities against eurodollar futures and options from April 12.
Deutsche Bank eyes Canadian energy market
Deutsche Bank has expanded its energy derivatives trading business by opening a Calgary office.
Citi joins State Street's FX Connect liquidity pool
Citigroup, which failed in efforts to create a merger of e-FX portals FXall and Atriax, ahead of Atriax's collapse late last week, has joined State Street's FX Connect as a liquidity provider.
US trade associations step up opposition to Feinstein bill
A number of prominent US trade associations, along with leading financial and energy institutions, have called for the US Senate to veto efforts by Senator Dianne Feinstein to amend US energy legislation that would see more oversight of derivatives.
Cognotec in Asian sales push with new hire
Irish e-commerce FX trading services company, Cognotec, has hired Patrick Lim from Standard Chartered to boost its sales in Asia.
Deutsche hires head of IT for global markets derivatives
Deutsche Bank has hired Diane Brunsden from JP Morgan Chase spin-off Arcordia Solutions as global head of information technology for its global markets derivatives division.
HSBC rolls out Rolfe & Nolan back office system in US
The UK's largest bank, HSBC, has started rolling out derivatives back office technology developed by Rolfe & Nolan (R&N) in New York and Chicago.
Green scheme down under
Robin Lancaster reports on Australia’s government-mandated renewable energy certificates market, which – after a slow start – is expected to pick up fast
Can we say goodbye to currency crises?
Currency divergency
At the end of the tail
When fat tails are present, extreme value theory provides a framework for estimating value-at-risk at higher confidence levels with greater accuracy than traditional Var methods. Naveen Andrews and Mark Thomas explain
Covering the threat
Since September 11, energy companies have had to re-assess the threat of terrorist attack. Despite the insurance industry introducing new terms and products, some companies remain unprotected, as Joel Hanley discovers
Building blocks for complex probability distributions
Brett Humphreys demonstrates how to construct more accurate return distributions and use them to price options
Counterparty concerns
Following the California crisis and the fall of Enron, energy firms are finally paying more attention to credit risk. Here Fred Cohen, Satyan Malhotra and Rafael Cavestany present some overarching issues senior management must address in implementing an…
