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Mark up the scorecard
Sergio Scandizzo and Roberto Setola explore the application of a scorecard approach to the measurement of operational risk, assessing both its reliability as a risk-management tool and the practicalities of its implementation.
Mark up the scorecard
Sergio Scandizzo and Roberto Setola explore the application of a scorecard approach to the measurement of operational risk, assessing both its reliability as a risk-management tool and the practicalities of its implementation.
No Nera for agencies
Moody's and S&P claim that a recently commissioned study supports their belief that not all agencies' ratings are equal. Fitch, meanwhile, takes a different line of argument. Saskia Scholtes examines the notches that have driven a wedge between the…
Reporting: a better performance measure
Past performance is no guarantee of future returns. RiskMetrics' John Matwey says more and more investors will therefore inevitably demand third-party reporting of risk positions taken by hedge funds.
End of the line. All change
The Financial Services Authority has released an update to CP171, its consultation paper on conflicts of interest within investment research. Now its impact on the future of credit research is becoming clearer, as Hardeep Dhillon discovers.
No industry consensus on op risk spending for 2004
Spending on operational risk management software looks set to grow in 2004 compared with last year, but will not reach its peak for another year or two.
Sovereign overhaul
The International Swaps and Derivatives Association (Isda) has released its first master confirmation agreement to standardise the trading of credit derivatives referenced to sovereign issuers.
CDO exposure to Parmalat €660 million, says Moody's
A total of 65 collaterised debt obligation (CDO) contracts have “a direct exposure on Parmalat or its relevant subsidiaries”, said rating agency Moody’s Investors Service.
Putnam invests $6.5 million in fund administrators
Derivatives Portfolio Management (DPM), a New Jersey-based fund administration outsourcing company, will receive a $6.5 million investment from Canadian investment bank Putnam Lovell NBF.
Strong CDO market next year, says S&P
The pipeline of collateralised debt obligation (CDO) deals remains “extremely strong”, promising a busy start to 2004, especially for single-tranche, leveraged loan and CDOs of asset-backed securities (ABS) transactions, said credit rating agency…
New ABS and MBS standards
The European Securitisation Forum (ESF) has responded to calls from investors in asset-backed securities for better disclosure by releasing market practice guidelines for the securitisation market.
BNP Paribas tailor-makes Japanese CDS index
French bank BNP Paribas has created a sub-index to its CJ50 index of the 50 most liquid Japanese credit default swaps (CDS). Called CJ Flex, the sub-index is referenced on about 30 investment-grade credits, worth a total notional amount of more than ¥10…
Investors should buy credit protection, warns Morgan Stanley credit strategist
Investors should use the range of credit derivatives products to hedge their exposure to European corporate bonds, Morgan Stanley fixed-income analysts said today, adding they are bearish on the prospects for European credit next year.
iBoxx developing credit futures contract
Three investment banks behind credit default swap (CDS) index provider iBoxx – ABN Amro, Citigroup and Deutsche Bank – today jointly announced the development of a new credit futures contract.
Mind the gap
UK mortgage lenders are grappling with Basel II. But there are still concerns about a credit risk management gap between the large and small lenders.
Cash upfront
New frontiers