Credit Suisse
US credit protection narrows following Wall Street equity rally
The price of credit default swaps for major US names tightened this week following two days of equity purchasing on Wall Street.
Letter to the Editor: Forbearance measures needed for Basel II
Wilson Ervin and I published an article in Risk last year on the danger that the Basel II proposed reforms of bank capital will lead to procyclicality, ie, pressure on banks to sell assets or raise capital at inopportune times, due to the risk…
US agency forms working group on Basel II’s third pillar
A working group of financial services industry members and regulators is being formed by the US Federal Deposit Insurance Corporation (FDIC) to recommend a four-point disclosure policy for the third pillar of the Basel II bank Accord.
BBSP launches FX implied volatility forecasting
French technical analyst forecasting company BBSP has launched a service that charts and forecasts implied volatilities for currencies, officials at the firm said.
DrKW names Harata new head of rates trading in Tokyo
Dresdner Kleinwort Wasserstein (DrKW) has hired Jun Harata as managing director and head of interest rate derivatives trading in Japan.
A cost/benefit approach to Basel II
The cost of implementing Basel II could put banks at a competitive disadvantage compared with non-banks, and spur them to ‘de-bank’ to avoid this regulatory burden. Harry Stordel and Andrew Cross say regulators must look at the provisions from a cost…
Measuring the Unexpected
The events of Sept. 11 brought increased attention and confusion to the practice of managing operational risk.
Derivatives expert Calello made new head of CSFB Asia-Pacific
Credit Suisse First Boston (CSFB) has named Paul Calello chairman and chief executive of the Asia-Pacific region including Japan, Australia and New Zealand. He will relocate to Hong Kong from New York, where he was head of the firm's global equity…
CSFB hires structurer in NY
Tony Capozzoli has joined Credit Suisse's investment banking arm, CSFB, in New York as a corporate structurer, leaving his role as a senior risk analyst at Bank of America, also on Wall Street.
Calls mount for bank and rating agency disclosure on Enron
Leaders of the US House Energy and Commerce Committee yesterday called on 10 investment banks and three credit-rating agencies to turn over records linked to Enron. Questions to the banks focused on loans to Enron and whether future business with Enron…
Changes afoot at rating agencies
Rating agencies are under fire once again, this time for failing to anticipate Enron’s bankruptcy. But they are looking to improve their methodology. What do the changes mean for banks that will have to rely on their ratings under Basel II?
FSA's new rules turn up heat on risk managers
The UK’s Financial Services Authority (FSA) has caused a stir in the upper ranks of London-based investment banks with new rules that effectively force senior executives to accept unlimited liability for risk management errors.
CSFB closes precious metals business
Leading global investment bank Credit Suisse First Boston is to close its London, New York and Sydney precious metals market-making and structured derivatives, clearing and vaulting businesses.
Pro-cyclicality in the new Basel Accord
Could Basel II worsen recessions? By backtesting the proposed capital rules to the last recession, D. Wilson Ervin and Tom Wilde argue that the increased risk sensitivity of loan portfolio regulatory capital in the new Accord could have unwelcome…
Probing granularity
The granularity adjustment, which adjusts risk weightings for credit portfolio diversification, is one of Basel II’s key modelling assumptions. Here, Tom Wilde uncovers a weakness in this assumption arising from the differences in the underlying credit…
IRB approach explained
At the end of this month, the consultation period for the new Basel Accord on bank capital will end. We have prepared a technical section this month devoted to various issues surrounding Basel II. In the first paper, Tom Wilde sheds light on the…
Basel part two: the jury's verdict
Twelve risk experts and regulators assess the impact of the Basel Committee's proposals.
Hedge funds: changing the rules of the game
Spurred by new guidelines from the Basel Committee on Banking Supervision, investment banks have seized the initiative and are changing the way they conduct prime brokerage and other business with hedge funds.
Reconcilable differences
H Ugur Koyluoglu and Andrew Hickman explore the common ground between the new credit risk models and the implications for risk management and regulatory capital reform.
CS First Boston Launches Two Risk Services For Futures/Options Users
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Crédit Suisse Taps Fame For Central Historical Time-Series Data Server
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