Foreign exchange
Engle readies new correlation model
New Angles
Economic capital – how much do you really need?
Class notes
Understanding the expected loss debate
Commentary
Job moves
People
Barra joins crowded market for Merton models
Credit Risk
The Bank One swaps market precedent
Swaps valuations
When is best practice good enough?
Risk analysis
Betting on principal finance
Cover story
US regulators seek public comment on proposed treatment of expected and unexpected losses under Basel II
US regulators are seeking public comment on proposed changes to the treatment of expected and unexpected losses in the internal ratings-based approach of credit risk measurement.
Glass-Steagall and Dingell?
Congressman John D. Dingell, the indefatigable Democrat from Michigan, has embarked on a crusade against the practice of 'tying' – where banks use loans to secure further business.
S&P versus Basel II: A fragile accord
By publicly casting doubt over aspects of the Basel II Accord's methodology, rating agency Standard & Poor's is voicing concerns shared by many in the banking industry. Joanne Hart asks how this dispute may affect bondholders and the market in general.
Speakers voice synthetic credit and capital structure arbitrage fears
A number of speakers at Risk ’s Credit Risk Summit USA 2003 voiced concerns about investments in credit derivatives and capital structure arbitrage yesterday. Sivan Mahdevan, an analyst in Morgan Stanley’s credit derivatives research group, when opening…
CP3 comments: Any last words?
The comments elicited by the Basel Committee's third consultative paper (CP3) show just how little consensus exists between regulators and banks on the Basel II capital Accord. Dwight Cass highlights some of the telling comments.
Koch markets first volatility swap
Koch Supply & Trading, a division of energy conglomerate Koch, has marketed the first energy volatility swap in a deal with hedge fund Centaurus, a move the Wichita, Kansas-based oil trader hopes will increase its share in options markets and attract…
Bill of rights
A group of 25 institutional investors have released a manifesto outlining their aims for a better world for bondholders. Stronger covenants, greater transparency and improved ratings practices are amongst their demands.
GFI buys exotic options model
Inter-dealer broker and market data firm GFI Group has bought options pricing model dVega and integrated it with the latest release of its flagship options pricing tool Fenics FX.
JP Morgan Chase prepares first syndicated synthetic CDO
JP Morgan Chase has taken a leaf out of the bond and loan markets by putting together the first syndicated synthetic collateralised debt obligation (CDO).
Operational risk is main cause of bank failures, says FDIC
Operational risk continues to be the root cause of bank failures, according to the Division of Resolutions and Receiverships at the Federal Deposit Insurance Corporation (FDIC), based in Washington DC.
HSBC closes $380 million synthetic balance sheet securitisation
HSBC has closed a HK$3 billion ($380 million) synthetic balance sheet securitisation transaction backed by its taxi and public light bus hire purchase agreements. It is the first synthetic transaction backed by such asset classes in Asia.
Credit derivatives set to hit $10 trillion by 2007, says Deutsche’s Misra
The credit derivatives market is set to hit $10 trillion in notional value within five years, with the number of actively traded credit default swaps set to double by 2007 to 600, according to Deutsche Bank’s global head of integrated credit trading…
Breaking down the model
Brett Humphreys and Andy Dunn outline a method to help energy companies minimise potential model risk and thereby avoid costly errors in valuing deals.
Geithner to replace McDonough at New York Fed
Timothy Geithner, currently the director of the Policy Development and Review Department at the International Monetary Fund (IMF) in Washington DC, has been named the next chief executive of the Federal Reserve Bank of New York.