Risk magazine - Volume22/No1
Articles in this issue
Portal combat
The first central clearing houses for credit default swaps were expected to start business at the beginning of December, but hold-ups in regulatory approval delayed the launch in the US. With four ventures now due to take off within months of each other…
Brought to account
Conrad Hewitt, chief accountant of SEC, talks to Alexander Campbell
A regulated new year
Regulators are widely expected to increase their oversight of the financial sector in the coming year, with derivatives likely to come under particular scrutiny. In the latest in the current series of Class Notes articles, Charles Smithson and Steve…
Crossing the floor
The inflation market has experienced a severe dislocation, with breakevens plunging during October and November. It has left dealers scrambling to hedge their exposures to 0% floors embedded in structured notes. By Duncan Wood
Go east
Once on the periphery of risk management technology, Asia has become the focus for research and development of risk and trading systems. Various technology vendors have bolstered their activities in the region, but what is driving the move? Clive…
A time for special FX
Dealers are beginning to think a lot more seriously about credit-adjusting the prices they quote on foreign exchange derivatives. How are they calculating this, and how are clients responding to the move? By John Ferry
Time for change
The US has been at the centre of the storm raging through financial markets over the past year, and the country's regulators have been tasked with stemming the fallout from the crisis. John Dugan, comptroller of the currency, discusses the regulatory…
Corrosive feedback
Innovations create their own feedback loops, and many of these are dangerous. Risk managers need to pay greater attention to such effects in the future, argues David Rowe
Risk Awards 2009
Last year saw the collapse of Bear Stearns and Lehman Brothers, unprecedented volatility in the market and capital injections into financial institutions by governments across the globe. Risk magazine recognises those institutions that continued to…
Seasonally adjusted prices for inflation-linked bonds
Inflation-linked bond markets are used ever more frequently by policy-makers, economists and commentators to assess the market's opinion about the future path of inflation and real yields. But important effects such as seasonality and carry are often…
Rates squared
Vladimir Piterbarg introduces a conveniently parameterised class of multi-factor quadratic Gaussian models, develops calibration formulas, and explains the advantages of this class of models over alternatives currently available for pricing and risk…
Mastering the storm
The succession of credit events in September and October revealed that many investors did not know what to do in the event of a default of a counterparty. What recourse do parties have under the Isda master agreement? By Joshua Cohn and Jillian Ashley
Under control
ClusterSeven and CCH Sword recently took part in a forum to discuss the implementation, costs and benefits of good control initiatives and how they reduce risk. This roundtable provides technology vendors a unique forum in which to disperse intellectual…
Basel's not faulty
Basel II has attracted its fair share of criticism in the wake of the financial crisis. Ahmet Yetis argues much of this criticism is unfair
Fair enough?
Fair-value accounting has been blamed for exacerbating the scale of the financial crisis, leading for calls from some politicians for it to be suspended. The accounting standards boards have rushed out clarifications on mark-to-market rules, but are they…
