Risk magazine - Volume 22/Number 10
Articles in this issue
Beyond comparative statics
David Rowe says it is time to extend stress testing to include more than just analysing the immediate impact of selected extreme events
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
Sponsored forum: Quantifying the qualitative – striking a balance
Sponsored by Credit Risk Management LLC and chaired by Risk, a panel of industry professionals convened in New York to discuss the dynamic between banks and capital markets, particularly on the issues of raising capital and the nature of credit analysis,…
Sponsored survey: Liquidity Survey 2009: Where are the lessons from the crisis?
The Risk and Thomson Reuters liquidity survey reveals how organisations are tackling the challenges of liquidity risk management
Sponsored statement: The implied volatility surface in the presence of dividends
Standard Bank quantitative analyst Roelof Sheppard shows how absolute and proportional dividend payments give rise to arbitrage constraints on the implied volatility surface
Sponsored statement: FX e-commerce – shaping the future of the FX business environment
The electronic foreign exchange (eFX) market has been growing at an exponential rate, even during these uncertain times. This surge in use can be attributed to the advantages eFX has over the traditional methods of FX trading. In this article, Absa…
