Book contributions by Risk Staff
Portfolio Construction and Management
Edited by Brice Benaben and Julien Jarmoszko
Articles by Risk Staff
KBC Bank/CBC Banque
Quant Analysis
House of the year - equity derivatives; Innovation of the year - SG Corporate and Investment Banking
Structured Products European Awards 2006
FSA sets out near-final rules on Transparency Directive and regulatory reporting and COB requirements
Policy statements have been issued for implementation of a series of directives and principles-based regulation.
CBA of Mifid finds compliance costs will be ‘substantial’
Industry has been calling for a CBA of Mifid since the FSAP was introduced. A study that the FSA will use in its full CBA has been released – showing industry fears of high costs.
Surveying risk management
How is risk management viewed in your company? Are there risks you would like to measure but don’t? Which methodologies are most commonly used? What should the discipline tackle next? Energy Risks’ survey reveals recent trends in risk management.
Upgrading the rating process
As the debate rages over the usefulness of credit ratings, Moody's unveils a set of credit risk indicators derived from market movements. Will 'market implied ratings' silence the agencies' critics?
Downsizing and consolidation continues to be the trend in the EU banking sector
The ECB’s annual report on banking structures shows that consolidation remains the most important structural development in the EU banking sector.
FSI report shows country-specific plans for Basel II implementation in non-BCBS countries
The report updates 2004 global results for Basel II preparation.
Economic instability does not preclude banks from using IRB, finds FSI award winner
Valles’ paper on using a TTC rating system for credit risk allows developing countries to use IRB, even after a crisis.
In brief: BIS releases second quarter report
Locational and consolidated banking statistics have been published.
SG to launch tradeable CDS Index
France’s SG is planning to launch a tradeable credit derivative index, which has initially been dubbed Credindex. The product aims to make investing in credit derivatives simpler in order to appeal to segments of the market that are currently…
Nvesta to be sold as EAG goes into administration
UK structured products provider Nvesta is to be sold off earlier than previously planned. Its parent company, Eurolife Assurance Group (EAG), went into administration in August. EAG was due to make a second payment in September to investors in its…
Abbey launches its first commercial property bond
Abbey in the UK has launched the first capital guaranteed commercial property-linked bond. The bond has a five-year or seven-and-a half-year investment term, offering 100% or 125% of any growth of the FTSE All UK Property Index (NAV).
Immunisation charity granted 0% risk weight
The BCBS has allowed supervisors to treat the IFFIm like a multilateral development bank.
Main challenge to sustainable growth is regulatory convergence, says vice-president of the ECB
Faster and sustainable growth may be hindered if the ultimate goal of regulatory convergence is not met, according Lucas Papademos.
CESR sets out work programme and consultations for Mifid
The EU securities regulators have outlined their programme to implement Mifid requirements, marking the end of the legislative phase for the directive.
The correlation debate
In response to an article on asset value correlations for retail banking portfolios, published in the July issue of Risk, Ashish Dev of KeyCorp argues that the current Basel II rules are slightly too liberal for high-quality credit cards and overly…
FSA plan to implement Mifid released
The Financial Services Authority has set out a Markets in Financial Instruments Directive plan with details on upcoming consultations and publications before transposition and implementation of the directive.
US regulators to assess international differences in Basel II rules for fairness
Fed chairman promises to see if US version of Basel II imposes costs that outweigh the benefits to US banks.
Bush signs regulatory relief bill into law
The first regulatory relief bill for US banks in over a decade has been passed, although industry will push for more reforms next year.
NDF’s new plan links to DJ Eurostoxx
NDF, a UK structured products provider, has launched an investment plan linked to the performance of the Dow Jones Eurostoxx 50 Index. The five-year NDF 7.5% Annual Income Plan October 06 offers a potential income of 5.5% paid annually, or 1.80% paid…