Feature
Coal facing changes
Coal
Trading routes open
Coal
Back to the future
Current developments in exotic interest rate products push the demand for more sophisticatedinterest rate models. Here, Jesper Andreasen presents a new class of stochastic volatility multifactoryield curve models enabling quick calibration and efficient…
A smaller piece of the pie
Inter-dealer survey 2005
Balancing the capital structure
Cover story
Falling short of the mark
Operational risk
Big is beautiful
Inter-dealer survey 2005: Brokers
We've come a long way...
Automated trading
Life, death and structures
Mortality risk
Demanding disclosure
Hedge funds
First step to free floating yuan
Renminbi revaluation
Countdown to quantos
Chinese structured products
Malaysian central bank governor cautions on Basel II
Zeti Akhtar Aziz, the governor of the Central Bank of Malaysia, has said that other financial leaders in emerging economies should be cautious about how they implement Basel II.
Sponsor's article > SunGard Launches New Version of BancWare ALM Incorporating Credit Risk Analysis into Asset/Liability Management
SunGard today announced the availability of version 5.6.2 of BancWare Asset Liability Management (ALM). The new version incorporates credit risk simulation into ALM, providing the ability to model, analyze and manage the credit risk associated with…
New York Fed picks up on confirmation issue
The New York Federal Reserve Bank will meet regulators and leading banks next month in an attempt to deal with backlogs of unconfirmed credit derivatives trades.
New York Fed picks up on confirmation issue
The New York Federal Reserve Bank will meet regulators and leading banks next month in an attempt to deal with backlogs of unconfirmed credit derivatives trades.
GFI buys Starsupply
Interdealer broker GFI Group has agreed to acquire Starsupply Petroleum, a leading broker of oil products and related derivative and option contracts.
Diversification could reduce capital requirements by 50%, says ABI
Risk diversification should typically reduce capital requirements for British life insurers by between 25% and 50% under the Financial Services Authority's new individual capital assessment regime, according to a report commissioned by the Association of…
Philippine Central Bank issues IAS 39 guidelines
The Philippine central bank, Bangko Sentral ng Philipinas (BSP), has issued guidelines for the adoption of financial reporting standards set by the International Accounting Standards (IAS) Board, including IAS 39 which deals with derivatives.
SGX teams up with CBOT
The Singapore Exchange (SGX) has teamed up with the Chicago Board of Trade (CBOT) to establish a commodities derivative exchange in the city-state.
CRO Forum study released
Industry body the Chief Risk Officer (CRO) Forum, which consists of the chief risk officers of Europe's leading insurers, is advancing the case for the use of proprietary internal models under Solvency II with the publication of a new in-depth report.
Thinking positively
How does one produce positive probability of default estimates if there are no default observations? Katja Pluto and Dirk Tasche propose a statistically based methodology to derive non-zero probabilities of default for credit portfolios with none or very…