Infrastructure
New op risk papers explore insurance challenges
INSURANCE OVERVIEW
Index infighting
indices
The Latin quarter
argentina
Hedge clipping
hedge funds
Op Risk database reveals fraud costs
New angles
Barra joins crowded market for Merton models
Credit Risk
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.
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.
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.
Operational and market risks of a regulated power utility
Victor Dvortsov and Ken Dragoon present an analytical method for including market and operational risks when estimating utility portfolio value-at-risk.
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.
Black Thursday
The costs of the recent power outage in large parts of northeast USA and Canada range from $6 billion to $10 billion. Hardeep Dhillon looks at the consequences of the blackout and analyzes the impact on the utility and insurance industries.
'A good deal for regulators and banks'
Paul Kupiec's article in the August issue of Risk – Does CP3 get it right? – raised a number of concerns about the application of Basel II to retail portfolios.
What price regulatory compliance?
The US banking industry has been inundated with a set of mandatory changes such as Basel II, the Sarbanes-Oxley Act and the Patriot Act, which, responded to individually, represent a significant portion of an organisation's change budget. Dai Bedford,…
Industry Slips on Phase One of BCP Tests
NEW YORK - The U.S. securities industry will wind down Phase 1 of industry-wide business continuity planning (BCP) tests later than expected and will begin Phase 2 in the third quarter of next year, confirm officials who are taking a lead role in the…
Investors and auditors differ on Sarbanes-Oxley's effectiveness
WASHINGTON, DC - Institutional investors and auditors remain at odds over how effective the Sarbanes-Oxley Act has been so far, with the former advocating a broader scope for the act and the latter warning that it may have already gone too far.
Time-series pioneers share Nobel Prize for Economics
Recipients’ work on the analysis of time-series data has provided powerful mathematical tools for research in derivatives pricing, risk management and economics
Banks get set to prepare feisty responses to the US ANPR
NEW YORK - US banks are going to hit back hard at the country's regulatory agencies in their responses to the advance notice of proposed rulemaking (ANPR).
Isda opens Washington office in lobbying push
The International Swaps and Derivatives Association, the New York-based trade association for the over-the-counter derivatives industry, is opening an office in Washington DC to increase its lobbying of the US government.