Structured products
Basel II credit risk charge to be lower with modifications, says survey
Banks using a more complex risk measurement approach under the Basel II bank Accord, once potential modifications are put in place, would have lower credit risk capital charges than under the current Basel I Accord. This is the view of global banking…
Fitch first to report CDO exposure to WorldCom
New York-based Fitch is the first rating agency to report WorldCom exposures on the collateralised debt obligations (CDOs) it has rated.
Q1 scapegoats: energy and weather
Risk’s second quarterly round-up of corporate risk disclosures provides some evidence that companies are becoming more forthcoming. But losses on hedgeable exposures, especially energy and weather, continued to plague many
Esops: time to hedge?
With share prices depressed, now seems a good time for companies with large employee stock option plans to hedge them. Why aren’t corporate treasurers acting?
Getting the deal done
Falling equity valuations have made funding a merger or acquisition with stock difficult. Equity derivatives dealers are devising and updating hedges to ensure deals get done despite the bear market. Rob Dwyer examines the latest techniques
An aggressive agenda
Dresdner’s chief risk officer, Heinrich Linz, is masterminding a credit revolution at the German bank.
The evolving art of pricing cliquets
Cliquet options are widely traded and embedded in many retail structured products. But they are hard to value and some dealers claim their rivals are mis-pricing them. Navroz Patel reports on the debate and some initiatives that may help
Insurers embrace risk systems
Insurance companies have been slower than banks to adopt advanced risk modelling techniques and technologies. But regulatory changes and business exigencies are spurring them to adopt a new generation of risk and capital management systems
Basel II focus switches to securitisation after SME loan solution agreed
Experts working on the Basel II bank capital rules are focusing on the technically difficult issue of asset securitisation after agreeing a solution this month to the politically sensitive problem of how lending to small and medium-sized enterprises …