Foreign exchange
Risk USA 2003: Schachter hits out at hedge fund disclosure
Barry Schachter, head of risk management at US hedge fund Sac Capital Advisors, believes quantitative hedge fund information disclosure to investors is relatively meaningless, and that they would be better served by disclosures about the risk management…
Risk USA 2003: Loan managers increasingly rely on credit derivatives, says CIBC's Bennett
Stephen Bennett, global head of portfolio management at Canadian Imperial Bank of Commerce (CIBC), believes credit derivatives are playing an increasingly important role in the loan market, both as hedging instruments and by helping facilitate mark-to…
Risk USA 2003: convertible bond replication soon possible, says hedge fund chief risk officer
Prospects for the replication of convertible bonds with other corporate securities and their derivatives are improving, said Jim Vinci, chief risk officer of Greenwich, Connecticut-based convertible bond arbitrage fund Paloma Partners, at the Risk USA…
Delayed trac-x Europe launches today
Trac-x Europe, part of a family of credit default swap indexes being assembled by JP Morgan Chase and Morgan Stanley, debuted trading today. A funded format is due to start trading the week of June 30. This follows a delay of about six weeks.
Insurance: evolution beyond CP3
NEW YORK - Stringent new requirements for the use of insurance to offset capital charges for operational risk have been spelled out in the Basel Committee’s third consultative paper (CP3).
A new direction
Taiwan
Risk USA 2003: Schachter hits out at hedge fund disclosure
Barry Schachter, head of risk management at US hedge fund Sac Capital Advisors, believes quantitative hedge fund information disclosure to investors is relatively meaningless, and that they would be better served by disclosures about the risk management…
Risk USA 2003: Loan managers increasingly rely on credit derivatives, says CIBC's Bennett
Stephen Bennett, global head of portfolio management at Canadian Imperial Bank of Commerce (CIBC), believes credit derivatives are playing an increasingly important role in the loan market, both as hedging instruments and by helping facilitate mark-to…
Risk USA 2003: Jarrow describes new research on liquidity risk
Robert Jarrow, professor of finance and economics at Cornell University and an originator of the seminal Heath-Jarrow-Morton interest rate term-structure model, has described a new method for incorporating liquidity risk - the additional price volatility…
Spitzer calls for greater institutional investor involvement
New York Attorney General Elliot Spitzer, widely known on Wall Street for having led recent legal attacks on conflicts of interest between underwriting and stock analysis at investment banks, told attendees of the PRMIA 2003 summit today that…
US foreign exchange dealers revise operational risk standards
The Foreign Exchange Committee, a 20-dealer industry liaison group to the New York Federal Reserve Bank, has made new recommendations for the exercise of in-the-money foreign exchange options in a revision to its 1996 forex operational risk best…
Sarbanes-Oxley requirements could complement Basel compliance
NEW YORK - Banks and financial institutions currently establishing processes to comply with Sarbanes-Oxley section 404 reporting requirements should be able to use those same processes to comply with future Basel II operational risk reporting…
Risk USA speakers call for loan commitments to be marked to market
Bank loan commitments should be marked to market, according to speakers attending the first day of Risk magazine's ninth annual Risk USA conference in Boston today.
Hancock calls for more enterprise-wide risk management
Peter Hancock, the former chief financial officer and head of risk management at JP Morgan, who now runs financial boutique Integrated Finance, believes risk managers should spend more time developing enterprise-wide risk systems that can help top…
Derivatives concentrated in largest US banks, says OCC
Seven banks in the US account for almost 96% of the total notional amount of derivatives in the commercial banking system, the Office of the Comptroller (OCC) of the Currency has said in a report.
Carr kicks off quant presentations at Risk USA in Boston
Peter Carr, recipient of Risk 's 2003 quant of the year award, discussed the pricing and hedging of volatility derivatives in the first of a series of quantitative modelling talks at Risk USA today.
Spitzer calls for greater institutional investor involvement
New York Attorney General Elliot Spitzer, widely known on Wall Street for having led recent legal attacks on conflicts of interest between underwriting and stock analysis at investment banks, told attendees of the PRMIA 2003 summit today that…
European buy side still lags in risk management
The findings of a recent survey show that buy-side firms have increased their focus on risk management, but are still well behind their sell-side counterparts.
US foreign exchange dealers revise operational risk standards
The Foreign Exchange Committee, a 20-dealer industry liaison group to the New York Federal Reserve Bank, has made new recommendations for the exercise of in-the-money foreign exchange options in a revision to its 1996 forex operational risk best…
German regulators begin industry dialogue
FRANKFURT - Germany's regulators are about to change the way they interact with the banking industry as they gear up to implement the operational risk portion of Basel II by 2006.
CSFB debuts Cindi
Credit Suisse First Boston (CSFB) has launched a pair of credit default swap indexes called the Credit Indexed-Note Default Index (Cindi).
Operational Risk and the CIO
Today's CIOs are cutting costs, addressing increased regulatory pressure, and exploring new, cheaper technologies. But are they also introducing more risk into the firm?
Securitisation will not be damaged by Basel II, says Mercer Oliver Wyman
Securitisation and related forms of credit risk transfer are unlikely to suffer in the long-term under the Basel II proposals, according to a report published today by financial and risk management consultancy, Mercer Oliver Wyman.
Sponsor's article > Basel II much?
US regulatory authorities are considering allowing smaller banks exemption from Basel II. But who would gain from this - and who would lose? Alan Bright, marketing communications manager at SunGard Trading and Risk Systems, takes some soundings.