JP Morgan
JP Morgan accuses WestLB on $165m Enron swap
JP Morgan Chase has accused WestLB of failing to make payment on a $165 million letter of credit (l/c) backing an Enron-related swap. JP Morgan Chase made the dispute public, though it did not name West LB, instead merely referring to “a European…
Top investors in credit
This year has been an eye-opener for investors in European credit, with some fund managers living dangerously by under-investing in credit expertise
JP Morgan Chase admits $500 million exposure to Enron
JP Morgan Chase said today that it has $500 million of unsecured exposure to Enron.
Banks move to boost credit derivatives liquidity
JP Morgan Chase and Morgan Stanley have agreed to standardise most of the items on their European credit swap master agreements, in a move designed to increase liquidity in the credit derivatives market.
JP Morgan joins ISE via Actant
JP Morgan, the investment banking arm of JP Morgan Chase, has joined the International Securities Exchange (ISE) as a competing market maker, using the Actant Aqtor front-end platform for trade execution and risk strategies. JP Morgan will use Aqtor for…
Basel regulators may scrap 90% IRB floor for credit risk
Global banking regulators will soon abandon their controversial 90%, two-year floor on the benefit banks could reap by moving to the advanced internal ratings based (IRB) technique for calculating capital charges against credit risk under the Basel II…
JP Morgan and Deutsche move to offer broad indexes
JP Morgan Chase and Deutsche Bank have signed up to US technology solutions provider Longitude’s Parimutuel Digital Call Auction (PDCA) technology, which could herald the introduction of broader index trading based on economic data. The PDCA technology…
Volvo’s Jarlen denies credit derivatives deal
Magnus Jarlen, risk manager at Volvo Treasury, has denied trade press reports that Volvo has signed up to its first credit derivatives deal, saying that although the Swedish truck manufacturer had met with investment banks like JP Morgan Chase to discuss…
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…
Wake-up call for Basel’s insurance neighbours
With liquidity draining away from the credit markets, banks have turned to the insurance industry to underwrite credit risks. But how prepared are insurers and reinsurers to takethese risks?
Basel: the new Accord
The Basel Committee’s second consultative paper on reform of the 1988 Accord on capital holds some surprises. Some believe regulatory capital will now have to rise. Dwight Cass reviews the changes, while market experts offer their reaction.
Basel's new credit model
The Basel Committee’s new consultative paper allows banks to internally rate individual credits. But at the portfolio level, Basel wants to apply a single model framework, based in part on a technical paper published in Risk magazine in October 1998.
Documentation dilemmas
Concerns over credit event definitions and the Basel Committee’s ‘ w ’ capital charge on credit mitigation instruments will not be easily resolved.
Basel part two: the jury's verdict
Twelve risk experts and regulators assess the impact of the Basel Committee's proposals.
Basel reform: why the market should decide
The 1988 Basel Accord made bank capital rules more precise. But this did not save the Japanese banking system or slow the erosion of credit intermediation by US banks. Mark Brickell, managing director at JP Morgan in New York, has been an architect of…
Calculating with counterparties
Masterclass – with JP Morgan
Modelling credit migration
Masterclass – with JP Morgan
The price of credit
Masterclass – with JP Morgan
Optional events and jumps
Masterclass – with JP Morgan
Swaptions with a smile
Masterclass – with JP Morgan
Wrong-way exposure
Masterclass – with JP Morgan
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.
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