Infrastructure
Credit Crunch
Clive Horwood
JPM Merits CDOs
Credit tech
Slim pickings
New Issues
Losses and lawsuits
LOSS DATABASE
Back to Bayesics
RISK INDICATORS
Basel II will lead to more instability, critic argues
BASEL II UPDATE
The Basel II capital accord: op risk proposals in brief
BASEL II UPDATE
QIS 3: Banks can use internal pricing for standardised approach
BASEL II UPDATE
Microsoft seeks to reduce cost of STP
TECHNOLOGY
Reaping integration rewards
In the October issue of Risk, Clive Davidson discussed the integration of ALM and ERM technology. Here, in a second article, he profiles the firms that have tackled this project and reviews the challenges, advantages and pitfalls of the integration…
RiskNews review
October’s leading stories from RiskNews. Breaking news on derivatives and risk management, see RiskNews – www.RiskNews.net
Banding together for SME credit risk analytics
Germany’s banking associations are taking a leading role in getting the country’s fragmented banking sector ready to comply with the Basel II capital Accord. Germany’s savings banks association, in particular, says it has internal ratings-based systems…
Currency overlay set to hit $500 billion
Currency overlay, the management of currency exposures in an investment portfolio separate from underlying asset exposures, is set to become a $500 billion dollar industry within the next three years, according to Piero Overmars, Dutch bank ABN Amro’s…
Fallacies about the effects of market risk management systems
This paper takes another look at allegations that risk management systems have contributed to increased volatility in financial markets, with the particular example of the summer of 1998. The paper also provides new evidence on the potential effect of…
RMS publishes daily weather derivatives data
Risk Management Solutions (RMS), a California-based provider of software for the management of natural hazard risks, has begun publishing daily weather market price data on the internet.
Thomson reorganises in Europe and targets low-cost data provision
Thomson Financial Europe has promoted its sales and trading head, Donal Smith, to the newly created position of chief operating officer as part of a reorganisation today that centralises sales, application and product management, and customer services…
Gensec structures first South African weather derivatives contract
ZZ2 Ceres, one of South Africa’s largest fruit and vegetables businesses, has become the first company in the country to use weather derivatives. Its frost protection contract was structured by Gensec Bank, and runs from October 14 to November 30 2002…
QIS 3 suggests Basel II op risk charges and insurance role
BASEL - The third Basel II quantitative impact study, or QIS 3, brings bankers up to date with the latest thinking of global banking regulators on the treatment of operational risk under the complex Basel II bank protective capital accord.
BofA develops new credit risk model
Bank of America is developing a sophisticated model that uses derivatives data to help asset managers get a better handle on credit risk within their portfolios.
No op risk surprises in QIS 3
BASEL - Some 265 banks in more than 50 countries were absorbing the contents of the key QIS 3 survey, which seeks information on how the complex Basel II capital pact would affect them, as Operational Risk went to press.
Credit risk systems: Getting the risk right
The requirements of the new Basel Accord are prompting some banks in Asia to begin implementing sophisticated credit systems, but there are still some obstacles to overcome.