Risk magazine - Volume 23/Number 1

A Firms hand

Lou Eccleston, executive managing director of Fixed Income Risk Management Services, talks to Alexander Campbell

Putting the smile back on the face of derivatives

Cross-asset quadratic Gaussian models have been limited in the scale of their implementation by the difficulty in ensuring the correct drift conditions to omit arbitrage. Here, Paul McCloud shows how to exploit the symmetries of the functional form to…

Modest means

Credit loss models typically calibrate default separate from loss given default. Here, Jon Frye calibrates simultaneously, using credit loss data. This produces a surprising test result: the credit loss models do not significantly outperform a…

Cross-factor challenges

Banks realise the importance of measuring and managing risk on an enterprise-wide basis, but aggregating data across various business lines and obtaining consistent information remains difficult. How are banks responding to the challenge?

Exceptions to the rule

Regulators have traditionally seen value-at-risk exceptions as an early warning of weaknesses in bank risk models. However, the financial crisis has shown VAR exceptions cannot be used to predict bank failures or distress.

Hub hubbub

New rules coming into force in many jurisdictions in Asia are challenging the ability of global financial institutions to operate a hub-and-spoke business model for their derivatives businesses. By Jacqueline Low, Jing Gu and Keith Noyes

Bargain basement in the Baltic states

Scandinavian banks are set to become huge owners of Baltic real estate. A large proportion of home loans in the region come from Nordic lenders and repossessions are rising. Some banks are already making preparations to take over and service large…

Scuppered by sukuk

Dubai World was bailed out by Abu Dhabi in December, but the near default of sukuk issued by Dubai property company Nakheel could have much broader implications for the development of Islamic finance.

It will end in tiers

Regulators are intent on bolstering capital at financial institutions, with most citing common equity as the key component needed to absorb losses in financial downturns. What implications does this have for mutually owned institutions, and what can they…

Questioning the compensation carrot

Regulators on both sides of the Atlantic have demanded that bank compensation packages are adjusted for risk. A variety of proposals have been released by individual supervisors, but they are simpler – and in some cases, more draconian – than many were…

Where there's a (living) will

Living wills have quickly emerged as a new measure to ensure banks are better prepared for the next crisis. But clear definitions of exactly what information they should contain and how they should be drawn up do not exist.

Risk Awards 2010

Last year was another turbulent 12 months for financial markets, with continued volatility, dislocations in markets and a rash of new regulation. Risk magazine recognises those institutions that continued to provide derivatives and risk management…

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