Structured products
'A good deal for regulators and banks'
Paul Kupiec's article in the August issue of Risk – Does CP3 get it right? – raised a number of concerns about the application of Basel II to retail portfolios.
Weasel parade
Investment bank CIBC has been found guilty of multiple counts of deception in underwriting a bond deal for cosmetics company Renaissance. Linda Corman reports on the evidence that emerged from the court case.
JP Morgan Chase and Morgan Stanley launch Trac-x Asia
JP Morgan Chase and Morgan Stanley have made yet another addition to the family of Trac-x global credit default swap indexes created by both firms, with the launch of Trac-x Asia.
Korean consumer default likely to affect Asian securitisation, says S&P
The deteriorating credit quality of South Korea’s securitised credit card portfolios has not only meant Korean asset-backed securities issuance has ground almost to a halt this year, but that it is likely to negatively affect consumer finance…
What price regulatory compliance?
The US banking industry has been inundated with a set of mandatory changes such as Basel II, the Sarbanes-Oxley Act and the Patriot Act, which, responded to individually, represent a significant portion of an organisation's change budget. Dai Bedford,…
Geopolitical futures: The politics of betting
Using markets to forecast political events may not be as strange an idea as it seemed in July, when a terrorism futures scheme collapsed. But there is still scepticism as to whether such an approach would be ethical or effective.
BarCap lures Joshi from CSFB
Barclays Capital (BarCap) has appointed Dixit Joshi as a managing director in its equity-linked products group. He will assume responsibility for running the UK bank’s global equity derivatives trading and arbitrage business.
Industry Slips on Phase One of BCP Tests
NEW YORK - The U.S. securities industry will wind down Phase 1 of industry-wide business continuity planning (BCP) tests later than expected and will begin Phase 2 in the third quarter of next year, confirm officials who are taking a lead role in the…
Investors and auditors differ on Sarbanes-Oxley's effectiveness
WASHINGTON, DC - Institutional investors and auditors remain at odds over how effective the Sarbanes-Oxley Act has been so far, with the former advocating a broader scope for the act and the latter warning that it may have already gone too far.
Schwarzenegger promises market-based energy programme
Arnold Schwarzenegger, newly elected governor of California, has vowed to use market-based approaches to address the state's ailing wholesale energy markets.
Forum codifies Chinese Walls in credit trading
The Joint Market Practices Forum - an ad hoc group of four market trade associations – has produced a set of principles and recommendations tackling the contentious issue of Chinese Walls between credit trading and lending functions.
Forum codifies Chinese Walls in credit trading
The Joint Market Practices Forum - an ad hoc group of four market trade associations – has produced a set of principles and recommendations tackling the contentious issue of Chinese Walls between credit trading and lending functions.
Banks get set to prepare feisty responses to the US ANPR
NEW YORK - US banks are going to hit back hard at the country's regulatory agencies in their responses to the advance notice of proposed rulemaking (ANPR).
New fund taps computational trade models for forex trading
US-based online futures commission merchant FX Solutions is set to launch a managed currency fund next week based on newly developed computational trading models, senior officials told RiskNews ' sister publication FX Week .
Corporate Statement > Alliance & Leicester Choose WhiteLight
After an extensive review of vendor solutions, Alliance & Leicester, one of the UK's major financial services groups, has chosen WhiteLight, a SymphonyRPM company, to provide their Basel II Retail Credit Risk solution.
First Taiwanese offshore primary CBO in doubt
The attempt to offer the first offshore primary Taiwanese collateralised bond obligation (CBO) appears to be in serious jeopardy, with credit rating agency Standard & Poor’s (S&P) withdrawing its preliminary rating on a tranche of notes.
Reliant settles with Ferc for up to $50m
The US Federal Energy Regulatory Commission (Ferc) yesterday reached agreement with subsidiaries of Houston-based Reliant Resources to settle all its investigations in connection with its review of manipulation of the Californian energy markets. The…
Getting away with merger
As acquisitions heat up more, more funds of funds are buying into M&A arbitrag
A new paradigm for m&a managers
MERGER AND ACQUISITION ARBITRAGE
Emerging markets could give distressed funds a good boost
DISTRESSED SECURITIES
The debate continues...
INDICES
Vital Statistics
FIXED INCOME
Gold rush
COMMODITIES
On the dependence of equity and asset returns
Asset returns play an important role in credit risk modelling. Here, Roy Mashal, Marco Naldiand Assaf Zeevi investigate the co-dependence behaviour of asset returns semiparamatrically.They find that the Student-t copula outperforms the normal copula as…