Infrastructure
Deciding on a future
A handful of companies are exploring how markets can improve decision-making, while academics are using futures trading to predict influenza outbreaks. Prediction markets have come a long way since the collapse of a controversial Pentagon-funded project…
Caruana to end stint as Basel Committee chairman
Jaime Caruana will step down as chairman of the Basel Committee on Banking Supervision in July, when his six-year tenure as head of the Spanish central bank expires. A Bank for International Settlements (BIS official says the Committee plans to discuss…
DTCC developing trade warehouse for credit derivatives
The Depository Trust & Clearing Corporation (DTCC) is developing a central trade information warehouse and support infrastructure in an attempt to standardise how credit derivative trades are processed across the industry.
Isda, ICMA and TBMA form joint capital markets body
Three capital markets associations are to form a joint body that aims to streamline industry-wide co-operation between the derivatives, securities and bond markets. The Global Capital Markets Board (GCMB) will develop a common policy on market,…
BarCap survey shows options e-commerce still lags behind
A Barclays Capital survey of its corporate customers has found that electronic trading of foreign exchange options is lagging behind, as the market attempts to shift trading from voice brokerage to e-commerce systems.
DTCC continues post-trade processing push
The Depository Trust & Clearing Corporation (DTCC) has appointed Gina Ghent as a vice-president for business development. Ghent will be responsible for expanding the New York-based clearance and settlement firm’s over the-counter derivatives post-trade…
MiFID support high, despite the costs
In the first of a new series of articles surveys exploring in more detail the inner workings of the op risk and compliance disciplines, Georgina Kenyon examines the results of a recent survey into the controversial MiFID directive
A case for convergence?
With Basel II regulatory capital becoming increasingly more risk-sensitive, the value of a separate economic capital system must be questioned. Christopher Hall of Risk Advisors considers the differences between economic capital and regulatory capital,…
Too much power in hedge funds' hands?
city debate: hedge funds and power
Editor's letter
Editorial
Riding the bulls
Market view
Fuelling change
Airlines
Know your market
Profile
Introduction - New frontiers in credit
Rising energy prices have thrown the issue of credit into stark relief, and credit lines are being used up increasingly quickly. How should credit managers react?
Correlation - The energy price factor
Navneet Arora provides empirical evidence that significant correlations exist between the movements of commodity prices and the credit quality of firms in the energy sector
Questioning dollar cost averaging
When implementing a hedging strategy, the popular dollar cost averaging approach may sometimes be less prudent than the lump-sum method for managing energy risk, writes Tim Simard
At the flick of a switch
Jesper Andreasen and Martin Dahlgren present a regime-switching model for electricity derivatives that incorporates spiky spot-price dynamics and allows for closed-form pricing of forwards, options and swaptions