Infrastructure
Losses and lawsuits
LOSS DATABASE
The Basel II capital accord: op risk proposals in brief
BASEL II UPDATE
UK accepts large banks could use basic op risk approach
BASEL II UPDATE
Letter to the editor: Forbearance measures needed for Basel II
From Tom Wilde, director, risk management, Credit Suisse First Boston
The energy traders’ trader
Danny Masters co-founded a hedge fund to exploit the untapped potential for risk management in the energy market
Volatility dealers’ conundrum
Margins on dollar-denominated swaptions and constant maturity swaps have narrowed sharply. This is great for clients, but dealers are caught in a bind. Gallagher Polyn asks why
Job moves
QUOTE OF THE MONTH: - “An infectious greed seemed to grip much of our business community” Alan Greenspan, on the corporate governance scandals hitting the US Source: Reuters, July 16
Strategic shortcomings
A survey of 13 private banks’ risk management practices reveals some dangerous shortcomings. Lisa Kastigar of Sherwood Alliance, a Switzerland-based financial consulting firm, examines the challenges for risk managers at these institutions
Clearing the obstacles
Credit quality is essential to every energy firm’s success, as recent problems at Aquila and Dynegy attest. Couple this with the post-Enron threat of increased regulation for OTC energy derivatives and it is clear that the energy trading market needs…
From strategy to tactics
Effective tactical use of risk management information has long been an aspiration of many organisations, but technical obstacles have stood in the way. In this third of four articles on integrated credit risk management, David Rowe argues that the…
Running for cover
Energy
The debt dilemma
New angles
Beyond the pail
Basel accord
European banks report decline in equity derivatives volumes
Despite another surge in implied volatility this month, the European equity derivatives business has seen a decline in volumes in 2002, say dealers. Implied volatility on the FTSE reached a high of 39.5% this month, compared with the average daily figure…
Goldman Sachs claims proprietary leap in MBS options pricing
Goldman Sachs claims it has developed a revolutionary new model for pricing mortgage-backed securities (MBS). Alan Brazil, head of mortgage, ABS and rates research at Goldman Sachs in New York, said the new valuation model enables the increasing…
Isda requires CDS reference obligation specification at trade date
The International Swaps and Derivatives Association has decided that confirmations should specify reference obligations as of the trade date for credit default swap (CDS) transactions.
CreditTrade prepares credit volatility pricing tool
Credit derivatives inter-broker dealer and data provider CreditTrade is developing an algorithm to price options on credit default swaps for 20-25 European corporate credits.
Japan Credit Market Update: Spreads track US and Europe wider
Japanese credit default swap spreads were wider this week, tracking the trends in the US and Europe in a generally bear market, traders said.