Infrastructure
what’s new on the web
@risk
A localised flood
Weather derivatives
Fimat to launch volatility arbitrage index
Fimat, the brokerage subsidiary of Société Générale, plans to launch what it claims will be the first volatility arbitrage strategies index by the end of the first quarter.
Top dealers plot ‘Project Red’ revival
The backers of ‘Project Red’, a credit derivatives reference entity database (Red) set up by top dealers Deutsche Bank, Goldman Sachs and JP Morgan to remove basis risk in credit trading, have conditionally agreed to sell the service to UK credit risk…
Software survey 2003
Credit technology hogged the spotlight in 2002, as the spectacular collapse of a host of corporate giants combined with movement on the Basel II Accord focused everyone's attention on this class of exposures.
CreditTrade launches credit derivatives web service
CreditTrade, the London-based inter-dealer broker and provider of credit derivatives data, has launched its new web-based data service, CreditTrade Insight.
An operational risk scorecard approach
Operational risk scorecards have been in the spotlight since the Basel Committee on Banking Supervision’s 2001 paper on op risk treatment under Basel II. In the first of two articles, Ulrich Anders and Michael Sandstedt of Dresdner Bank examine what,…
Sponsor's article > The role of correlation
David Rowe surveys recent research on the role of correlation between probability of default and recovery rates, as well as among default probabilities.
Bottom to top
The Amex European Equity Market Neutral Fund battles with volatile and irrational markets to achieve returns of Libor plus 4% to 8%
Knowing when the price is right
Volatile markets have led to a change in risk procedures, with VaR and manager-led stop/loss strategies being favoured over automated controls
Measuring the operational risk of fund valuation companies
How can we model the losses due to operational risk in asset management? The loss process approach provides an answer specifically suited to this question for the fund valuation business and is in line with the work in progress of the Basel Committee on…
CreditTrade to supply benchmark data through Reuters
CreditTrade, the London-based inter-dealer broker and provider of credit derivatives data, has signed an agreement with Reuters, the UK information and technology group, to distribute CreditTrade's benchmark credit derivatives data via its screens.
Schroders to enter HK retail hedge fund market
Schroders Investment Management plans to launch its flagship fund of hedge funds products in Hong Kong, says Nicholas Chalmers, associate director in the alternative investment group at Schroders in Hong Kong. The move follows regulatory changes last May…
UK banking bodies expect further revisions to Basel II op risk plans
British banking industry bodies said in December they continue to expect that the operational risk aspects of the proposed Basel II bank safety accord will be revised in the light of banking industry experience.
Reflated economy must be Japan’s priority, claims Moody’s
The outlook for Japanese sovereign debt would improve if the Bank of Japan (BoJ) took measures to reflate the economy, according to rating agency Moody's Investors Service. As the BoJ decides on a new governor to replace outgoing Masaru Hayami in March,…
Agricole Indosuez to launch new credit-tracking index in Asia
Credit Agricole Indosuez is launching a new tracking index in Asia aimed at better representing the performance of the underlying credit market than current bond indexes in the region.
Canada's shifting credit scene
Canadian banks' attitude towards loan portfolio management is changing, and the impending Basel II Accord is accelerating the evolution of internal practices.
Kat to set up Alternative Investment Research Centre in London
Harry Kat, a former derivatives banker and quantitative finance academic, has been made professor of risk management at the Sir John Cass School of Business at City University in London. Kat, an author of numerous quantitative finance papers and former…
Isda publishes new master agreement
Industry trade body the International Swaps and Derivatives Association has produced a new ‘master agreement’, a legal contract designed to standardise over-the-counter derivatives deals. It is the first time the document has been revised since 1992
In search of transparency
The open secret of index price manipulation in the natural gas sector is officially out, and the industry is scrambling to reform the system. Kevin Foster reports
Digesting acquisitions
Profile
The warning signs
Cover story
Nasd to broaden bond information
Credit tech
Credit deals of the year 2002
Deals of the year