Structured products
Economist questions banks’ approach to VAR analysis
Bank risk managers must use more intra-day price data – also referred to as high-frequency data – to improve their value-at-risk analyses, according to Richard Olsen, an economist and founder of Zurich-based hedge fund and risk services company Olsen.
Beyond the pail
Australia’s regulator has hinted that it may work outside of the Basel Accord to set its own risk weightings for residential mortgages if adjustments aren’t made, writes Nick Sawyer.
Back to the floor
Australia’s major banks are all targeting the advanced measurement approach for calculating operational risk capital under the new Basel Accord. As such, the concept of a floor is proving irksome, writes Nick Sawyer.
Japan Credit Market Update: Fujitsu and bank spreads hit in tighter general market
The cost of credit protection was higher on Japanese banks and some electronics names this week, amid a more stabilised market.
True Quote trading platform adds electricity products
APB Energy has added electricity options to its online energy trading platform, True Quote.
HypoVereinsbank moves for Japanese credit derivatives licence
HypoVereinsbank is preparing to apply for a licence that would allow it to trade credit derivatives in Tokyo. The move comes as the German bank has significantly beefed up its credit derivatives and securitisation teams in Asia.
Credit Markets Update: Iberian credits tighten following IMF's Brazil bail-out
The International Monetary Fund's (IMF) $30 billion rescue package for Brazil, announced yesterday, generated a positive response from financial markets participants and caused the credit default protection on Iberian names to narrow.
Pardue resigns from Morgan to set up alternative investment house
Charles Pardue has resigned as co-head of marketing for structured finance at JP Morgan in Europe to establish Prytania Alternative Investment Management. He plans to launch Prytania in early 2003.
Lehman finds link between high volatilities and SEC investor confidence measure
The Lehman Brothers equity derivatives and quantitative research group has found the current trend of high implied and realised volatilities for US stocks partly attributable to a US Securities & Exchange Commission (SEC) order aimed at bolstering…
Danish regulator scotches rumours of favourable hedge fund ruling
Denmark's chief regulator, the Financial Supervisory Authority (FSA), is unlikely to relax rules that block locally domiciled investment funds from using leverage, FSA financial inspector Jens Vestergaard told RiskNews .
Credit Markets Update: Spreads in Europe stay wide
Credit default swap spreads on European corporates continued to widen across the board this week, albeit at relatively more moderate levels than witnessed in the past few weeks. Traders said poor corporate earnings reports, negative rating actions and…
ABN offers Multi-Strategy hedge fund to Singaporean retail investors
ABN Amro Asset Management has started offering Singaporean retail investors access to its ABN Amro Multi-Strategy Fund.
Tullett completes restructuring of European operations
UK interdealer broker Tullett & Tokyo Liberty has completed the restructuring of its European operations - following the merger of Tullett & Tokyo and Liberty back in December 1999 - by naming five managing directors to drive the broker towards its goal…
Aquila finally buries energy trading business
Missouri-based energy trader Aquila today said that it has put the lid on the coffin of its energy trading division, following almost two months of speculation. In June, Aquila unveiled plans to wind down its trading book, but said it was looking for a…
SG launches another capital guaranteed fund in Hong Kong
SG, a division of French banking group Société Générale, has launched another capital guaranteed fund into the Hong Kong retail market, this time linked to stock market volatility.
Deutsche Bank forex up 15%
In line with its top-tier rivals, Deutsche Bank has bucked the mid-tier trend of lower forex earnings from reduced market volatility, to report a 15% increase in first-half FX profits.
How Japan got it covered
The fast-growing Japanese weather derivatives market is unique in both its product diversity and the range of small business end-users it serves. But where are the big players? Rob Dwyer reports
Basel II could reinforce economic cycles more than expected, says BIS study
BASEL – The Basel II bank capital accord could reinforce economic cycles to a greater extent than expected, according to a working paper issued today by the Bank for International Settlements (BIS), the so-called central bankers’ central bank.
Credit Markets Update: Traders see rush for protection on European bank debt
Traders have seen a big increase in demand for debt protection on European bank debt, following a string of results announcements that saw a big increase in bad debt provisions, along with disappointing profits at European banks.
Japan Credit Market Update: Spreads rise on weak stocks and rating downgrades
The cost of credit protection on Japanese companies continued to rise this week, as weakness in the stock market prompted many players to hedge their credit exposure.
GIA unveils first of four multi-strategy products
passive strategy fund targets both retail and institutions
Don't settle for second best
Investors need to take extra care when crossing over to multi-strategy funds ' managers may not be all they're cracked up to be, lacking the relevant expertise
Laying down the money laundering law
The Patriot Act passed in the US last year to combat money laundering is adding to the compliance headaches of the European hedge industry