Risk Staff
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Portfolio Construction and Management
Edited by Brice Benaben and Julien Jarmoszko
Articles by Risk Staff
Both sides of the fence: a statistical and regulatory view of electricity risk
Ernst Eberlein and Gerhard Stahl analyse price series of 25 energy spot rates simultaneously using Lévy models. This model class allows the capture of stochastic behaviour of these financial instruments. The implications of this analysis will form the…
Isda and EEI collaborate on Power Annex
The New York-based International Swaps and Derivatives Association (Isda) and US trade body the Edison Electric Institute (EEI) published a North American Power Annex to the Isda Master Agreement in August.
Onus now on dealers to guard against currency derivatives scams
Under new rules that become effective on December 1, dealers will have to take greater responsibility for the actions of unregulated individuals that use them as counterparties in off-exchange currency derivatives transactions with investors.
DTCC signs collaboration agreement withTaiwanese counterpart
The New York-based Depository Trust & Clearing Corporation (DTCC) and the Taiwan Securities Central Depository (TSCD) have signed an agreement to co-operate in their business activities, including sharing information on risk management.
CBOT partners with Taiwan Futures Exchange
The Chicago Board of Trade (CBOT) announced that it has signed a memorandum of understanding with the Taiwan Futures Exchange to share information on market and product development and potentially work toward developing markets for new derivative…
BoA: single-tranche CDOs compensate well for their risks
The additional spread available from single-tranche collateralised debt obligations (CDO) – compared to other portfolio credit products - more than compensates investors for the particular risks associated with tranched products, claims Bank of America …
Bloomberg hires Hagan for new quant team
Pat Hagan – a former managing director in Bear Stearns’ fixed income research group – has joined Bloomberg’s nascent quantitative research and development group.
Donohue to replace McNulty at CME
The Chicago Mercantile Exchange (CME) announced that James McNulty, president and chief executive, will step down at the end of the year, only one year after taking the exchange public. Craig Donohue will take over as chief executive on January 1…
New study underlines troubled state of op risk tech industry
A new study published by risk consulting firm Raging Torrents International concludes that vendor risk is very high in the operational risk technology area, and notes that the environment for financial institution spending on op risk vendor solutions is…
Deutsche bridges private banking and forex
Deutsche Bank is seeing increased foreign exchange business from its private clients following the recent appointment of David Bee in London, Risk's sister publication FX Week reports. Bee is working with Jim Turley, global head of forex in London, and…
STP break puts banks at risk
Third-party banks using the continuous-linked settlement (CLS) service may be subject to increasing operational risk as a result of a breakdown in straight-through processing (STP), reports Risk's sister publication FX Week .
FSA study shows wide gap in firms' op risk frameworks
LONDON - In late July, the UK's FSA published a study of the practical implementation challenges that financial firms face when putting together an op risk infrastructure.