Risk magazine - VOL 15 / NO 1
Articles in this issue
Enron and systemic risk
Regulators worry that concentrating derivatives market-making in a few major dealers poses severe systemic risk issues. Could one big player’s failure break the whole system? David Rowe says Enron is an ideal test case, with some encouraging indications
Collateralised loan obligations
Enron’s bankruptcy highlighted the problems that the lack of portfolio transparency and diversification in the collateralised loan obligation (CLO) market causes investors. Barrie Wilkinson and Andrew Kuritzkes of Oliver, Wyman & Co argue a ‘multi-bank…
Enron collapse a test, not threat, to credit market
Enron’s bankruptcy may be the biggest test of the credit derivatives market to date. But when the dust settles, its most profound effect may be on credit investors’ preference for managed portfolio transactions. Rob Dwyer reports
Review of the year
A look back at the significant risk events of 2001.
Software survey 2002 |
Some online risk management products failed to live up to expectations last year, but software vendors forge ahead, developing products that support fast-growing markets such as credit derivatives and CDOs, and tools to help banks meet Basel II…
Fallout for energy markets
Enron’s collapse led to short-lived increases in electricity and natural gas volatility. As the markets settle down, the question now is who will fill Enron’s shoes? By Kevin Foster
Race to replace Enron in freight
Sarfraz Thind talks to firms with the potential to take up the slack following Enron’s departure from the freight derivatives market
Turbo-charged models
Derivatives dealers get a substantial edge if they can model and price positions faster than their competitors. So system vendors are seeking to rev up the Monte Carlo simulation engines that power many of their analytics.
Job moves
QUOTE OF THE MONTH: - “The FSA has successfully put the fear of God into senior managers” Simon Gleeson, a partner in the regulatory group at Allen & Overy in London, on the FSA’s new unlimited liability rules for risk management errors Source: RiskNews,…
The silver lining
Enron’s collapse could ironically give a boost to the telecoms market, as Enron Broadband Services bows out of the limelight. By Laurence Neville
2002 winner | ASSET MANAGEMENT RISK MANAGER OF THE YEAR Pimco
Pimco’s 125 investment specialists meet quarterly to vote on which fixed-income risk factors to hedge and exploit. The firm’s risk-centric decision-making has allowed it to consistently beat its benchmarks.
2002 winner | CURRENCY DERIVATIVES HOUSE OF THE YEAR UBS Warburg
UBS Warburg has given clients powerful currency derivatives analytics and trading tools, and boosted its retail and structured businesses.
2002 winner | DERIVATIVES HOUSE OF THE YEAR, INTEREST RATES DERIVATIVES HOUSE OF THE YEAR, CREDIT DERIVATIVES HOUSE OF THE YEAR JP Morgan Chase
JP Morgan Chase takes three Risk awards, and sheer presence in the industry aside, manages to top the polls via that most important commodity – client satisfaction.
Risk awards
The third annual Risk awards recognise excellence and innovation in the fast-changing risk management and over-the-counter derivatives businesses
2002 winner | SOFTWARE PRODUCT OF THE YEAR LiveCluster
DataSynapse’s LiveCluster software takes the spare processor capacity from a company’s dormant machines and puts it to work on large, power-draining analytical computations.
2002 winner | CORPORATE RISK MANAGER OF THE YEAR Microsoft
Software giant Microsoft’s risk management system and hedging strategies have allowed it to hit aggressive return targets on its investment portfolio.
2002 winner | RISK MANAGER OF THE YEAR Mark Lawrence
Someone needed to bring clarity to the opaque area of measuring operational risk. Enter ANZ’s firm-wide risk manager Mark Lawrence.
2002 winner | ENERGY AND COMMODITY DERIVATIVES HOUSE OF THE YEAR GFI
GFI has built one of the leading energy brokerage businesses in Europe and North America during an exceptionally volatile year in the electricity markets.
2002 winner | EQUITY DERIVATIVES HOUSE OF THE YEAR SG
How has SG sustained its ability to price innovative equity structures more competitively than any other firm? There’s no real secret about ingredient X: it’s innovation.
2002 winner | QUANT OF THE YEAR Richard Martin
A regular contributor to Risk’s Cutting Edge technical papers, Richard Martin receives his award for outstanding work in the field of credit portfolio risk management
Credit portfolio products proliferate
Large fixed-income investors want to take or shed sizeable diversified credit positions efficiently, without incurring lot cost or liquidity risk. Dealers are responding with a variety of new products. But which will succeed?
2002 winner | TECHNOLOGICAL DEVELOPMENT OF THE YEAR Twist
The Treasury Workstation Integration Standards Team (Twist) aims to create a single standard interface that simplifies systems integration for anyone signed up to it.
2002 winner | LIFETIME ACHIEVEMENT AWARD Oldrich Alfons Vasicek
Vasicek’s 1977 paper on the term structure of interest rates provided insights that catalysed the development of the interest rate derivatives market. He was just getting started.
2002 winner | DERIVATIVES EXCHANGE OF THE YEAR Intercontinental Exchange
Despite a difficult year for electronic trading platforms in the US energy sector, the Intercontinental Exchange has been exceptionally successful.
