Risk magazine - Volume 23/Number 4
Articles in this issue
'Litmus test' case as banks charged with fraud over Milan restructuring
Four banks to stand trial over Milan restructuring trade
Protect to survive
The Lehman minibond scandal put Hong Kong firmly in the spotlight, with television images of protesting investors beamed across the world. In response, the Securities and Futures Commission (SFC) is making changes to investor protection rules. Martin…
A dynamic model for correlation
Equity markets have experienced a significant increase in correlation during the crisis, resulting in exotic derivatives portfolios realising large losses. As larger correlations in downward scenarios are already implied in the index option market in the…
Fast correlation Greeks by adjoint algorithmic differentiation
Adjoint methods have recently been proposed as an efficient way to calculate risk through Monte Carlo simulation. Luca Capriotti and Mike Giles extend these ideas and show how adjoint algorithmic differentiation allows for fast calculation of price…
Progress by the dashboard light
Increasing numbers of banks and vendors have built dashboards into risk management systems, designed to provide easy-to-comprehend, real-time indicators of risk. How do they work, what information do they provide and how effective are they? By Clive…
Mastering sharia
The International Swaps and Derivatives Association and the International Islamic Financial Market published the long-awaited Islamic master agreement in March after more than three years of negotiations. Market participants welcome the document, but say…
The problem is severity
Financial reformers talk endlessly about the too-big-to-fail problem, but they often fail to address the heart of the issue, argues David Rowe
Predicting the unthinkable
Raj Singh, chief risk officer at Swiss Re, talks to Alexander Campbell
Ticked off with the uptick rule
The US Securities and Exchange Commission revealed a revised uptick rule in February, eliminating a key exemption for options market-makers. But some participants say these new rules will impede liquidity and price efficiency in US options markets. Peter…
Dividend growth
Dealers and hedge funds were hammered by sharp falls in dividends during late 2008 and early 2009. Since then, liquidity has recovered as a wider range of market participants take advantage of the dislocation. Mark Pengelly reports
A sting in the tail
After recent financial turmoil, market participants are thinking much more rigorously about ways to protect themselves against the possibility of rare but extreme events. However, effectively hedging tail risk is not straightforward. By Mark Pengelly
Happier times for distressed assets?
The distressed assets sitting on the balance sheets of financial institutions have increased in value in recent months, with a variety of firms reporting paper gains. Has the turning point been reached in distressed structured credit assets? Peter…
Contingency plans
Following recent issues of contingent capital by Lloyds Banking Group and Rabobank, other firms are eyeing similar issuance as a means of meeting higher capital requirements in a cost-effective way. But the Basel Committee, which is due to discuss the…
Reconsidering the fixed-floating mix
Yield curves for sterling, the euro and the dollar are the steepest they have been for well over a decade, leaving companies with outstanding fixed-rate debt and large amounts of cash on balance sheets facing significant negative carry. Many corporates…
Risk corporate survey 2010
Price is still the most important factor for corporates when choosing which dealer to trade with. However, a wide divergence in pricing among banks means transparency is now a key issue. By Matt Cameron, with additional research by Alexander Campbell,…
Binge then bust
Politicians have recently expressed alarm at a cross-currency swap conducted between Greece and Goldman Sachs in 2001, which allowed the sovereign to reduce the debt it reported in its public accounts. But other examples now coming to light show the…
Sponsored statement: Standard Chartered – winning for clients in Asia, Africa and the Middle East
Standard Chartered delivered an impressive set of results for 2009 even as its competitors across the world continued to suffer the fallout of the financial crisis. Group head of financial markets, Lenny Feder, talks about the successes of the year and…
No guarantee from Lehman?
Lehman Brothers Holdings Inc is expected to challenge an apparent pledge to its subsidiaries to guarantee their liabilities and obligations. If successful, the bankrupt estate could render hundreds of billions of dollars worth of claims invalid, and even…
People moves
A round-up of the latest people moves in derivatives and risk management in March
What does VAR mean in 2010?
Value-at-risk figures fell across the industry in 2009, while exceptions dropped significantly from levels in 2007 and 2008. But discussion over what VAR figures actually show and how the numbers are interpreted by senior management continues. By…
