Risk magazine - Volume 22/Number 10

Shortfall: who contributes and how much?

Understanding risk contributions is a key part of successful risk management and portfolio optimisation. Richard Martin extends the discussion from value-at-risk to expected shortfall and shows that saddlepoint approximation preserves the convexity…

Regulating speculation

The role of speculation, the likely introduction of position limits and financial regulatory reform has dominated the agenda of the US Commodity Futures Trading Commission in recent months. Chairman Gary Gensler speaks to Mark Pengelly in an exclusive…

A matter of trust

More than a year on from the collapse of Lehman Brothers, administrators are still trawling through the estate of Lehman Brothers International (Europe). A scheme of arrangement designed to speed up the return of trust assets to clients failed to win…

Fixed returns?

Banks have reported huge profits this year in fixed income, with swaps desks benefiting from flows off the back of sovereign and corporate debt issuance. Exotic desks, in contrast, have seen a substantial decline in investor interest. Peter Madigan…

Trouble brewing

Despite early signs the US recession may be over, the short-term future for many of the country’s small and medium-sized banks looks grim as they struggle to deal with mounting losses on whole loan portfolios. By Rob Davies

The Thomson test

A restructuring of debt by Paris-based media and electronics firm Thomson has provided an early test for the small bang protocol. The initial stages of the settlement process highlighted a number of outstanding issues, not least the treatment of index…

Credit pricing principles

In the wake of the financial crisis, some dealers acknowledged they were lax in pricing credit into derivatives trades, and pledged to be more attentive in future. With confidence now returning to the market, will competitive pressures overrule these…

Spotlight on exposure

The pricing of derivatives credit charges and risk management of counterparty credit risk portfolios pose many challenges. Julian Keenan reviews the approaches available and makes some recommendations

A variable response to pro-cyclicality

Ensuring banks put in place counter-cyclical capital buffers has become a key area of focus for regulators across the globe, with some proposing capital buffers be based on financial or macro variables. Alessandro Conciarelli and Mario Quagliariello…

Eurex cuts no Ice

The July 31 deadline for central clearing of credit default swaps in Europe was successfully met by dealers and clearing platforms. Both Eurex and IntercontinentalExchange have launched clearing services in Europe, but take-up for Eurex’s has so far been…

Stung by BEE

Black economic empowerment has been a big source of profits for South African banks in recent years. But market turmoil means many deals are underwater, and some market participants have likened the situation to the US subprime mortgage crisis. Mark…

Absolutely fabulous

A readiness to adapt to changed market circumstances has generated an impressive track record for Cape Town-based Alpha Macro Managers’ Absolute Alpha Fund, helping it avoid the worst of last year’s market upset. By Mark Pengelly

A ripening market

Market dynamics and the chequered history of structured investments in South Africa have recently favoured vanilla products featuring capital protection. But some local issuers are gaining traction with more sophisticated offerings. John Ferry reports

Less complexity for pricing analytics

A number of software suppliers sprang up in the early part of the decade offering pricing and analytics software for ever more complex derivatives structures. In the new age of less complexity, how are these firms adapting? By Clive Davidson

Confidence crunch

Many financial institutions calibrate their required level of economic capital by considering the probability of default associated with a target debt rating. However, as the financial crisis has shown, confidence in a bank can erode before its Tier I…

Disposal expert

John Crompton, head of market investments at UK Financial Investments, talks to Alexander Campbell

Risk South Africa rankings 2009

After the failure of Lehman Brothers, the global financial crisis has finally caught up with the South African derivatives market. Against this tough backdrop, Standard Bank has topped Risk's South Africa rankings once again. By Matt Cameron, with…

Sponsored Q&A: Transformational change

BNY Mellon this year launched Derivatives Collateral Net (DCN), a unique netting service for derivatives collateral management. Scott Linden and Mark Robinson of BNY Mellon talk about how they see it transforming the industry

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