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Foreign exchange

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Economic capital ideas

This month sees the start of Charles Smithson's fourth series of Class Notes, which will run in alternate issues of Risk through the remainder of this year and into 2008. Class Notes is an educational series, designed to pull together the threads of…

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Quants' tail of woe

Liquidations of large quantitative equity portfolios prompted widespread misfiring of hitherto robust quant models. Historically unusual returns volatility and multi-billion-dollar mark-to-market losses ensued. Leading hedge fund managers talk to Jayne…

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No silver bullet

The emergence of contingent credit default swaps has presented banks with a new way to manage their counterparty credit exposures. However, they have important limitations, argues David Rowe

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