Risk magazine - January 2014


Pension fund risk manager of the year: PKA

After moving to Eonia discount rates for its swaps in 2011, Denmark's PKA decided to make Eonia the benchmark for its hedge portfolio at the end of 2012. It's a smart move, dealers say - but one with some risks of its own

Corporate risk manager of the year: Microsoft

The first US clearing mandates came into force last year in three separate phases. While most corporates looked to take advantage of the corporate hedging exemption, Microsoft decided right from the start to voluntarily clear everything

EBA: Common credit risk definitions vital

European regulators have overhauled bank reporting standards to ensure comparability, with new Finrep and Corep templates to be rolled out from this month. The latest step has been to agree common definitions for forborne and non-performing exposures…

The white elephant of the trading book review

The Basel Committee’s fundamental review of the trading book raises some serious issues, but David Rowe argues its central proposed revision to the market risk capital regime is little more than a costly distraction

Quant of the year: Michael Pykhtin

The banking rulebook is becoming increasingly complex, so regulators need good quants to design and explain it - but they must also tackle the big questions of the crisis

Exchange of the year: Ice

It took Ice six years to find a way into the interest rate futures market. Its arrival - via the $8.2 billion acquisition of NYSE Euronext - will intensify competition in over-the-counter derivatives clearing

Cutting Edge introduction: another FVA?

Including funding costs and benefits in derivatives prices is a controversial topic, closely tied up with the credit and debit valuation adjustments of counterparty risk. But new research suggests that, even with no default risk, differences in the…

Risk awards 2014: The winners

Derivatives users had a lot on their plate last year with the rollout of new Dodd-Frank rules on clearing, reporting and trading. Firms have had to adapt to the new reality – and some have been more successful than others. This year’s Risk awards…

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