Risk magazine - Volume22/No7

Too many cooks?

The financial crisis has revealed the failure of regulators to detect major threats to the stability of the financial system in advance. A number of new authorities are now emerging to monitor systemic risk, but is it possible problems could still fall…

The data dilemma

While institutions continue to put huge resources into creating standard repositories holding 'golden copies' of financial data, there is growing support for the view that the industry would be better off standardising the data at source, and thereby…

Building up Basel II

In an exclusive interview with Risk, Stefan Walter, secretary-general of the Basel Committee on Banking Supervision, discusses everything from capital to pro-cyclicality, while outlining the reform agenda for Basel II. Rob Davies reports

Yen for yield

The Japanese government inflation-linked bond market has received a severe battering over the past year. The resulting dislocation has prompted the Ministry of Finance to consider restructuring the market, but what options are on the table? Matt Cameron…

The Bair necessities

Federal Deposit Insurance Corporation chairman Sheila Bair has argued that systemically important financial institutions should hold more capital as a disincentive to growth, while a new entity should be set up to manage the orderly resolution of…

Central concerns

The European Central Bank (ECB) has been pumping liquidity into the financial markets since August 2007, extended the list of assets eligible as collateral for credit operations and cut rates to record low levels. Jose Manuel Gonzalez-Paramo, a member of…

Tales of leverage

Regulators are proposing the introduction of leverage caps on banks. However, Satyajit Das argues leverage achieved through derivatives does not always show up in traditional leverage measurements

The reality of risk-free

Warnings over the stability of the UK's AAA rating by Standard & Poor's in May have caused analysts to question whether other AAA rated sovereigns - including the US - are at risk of downgrades, given ballooning debt levels. What implications does this…

Avoiding dividend meltdown

Dealers are starting to pay closer attention to dividend risk housed on their exotic books after many incurred sizeable losses last year. What are banks doing differently and can another dividend meltdown be avoided? Matt Cameron reports

Retention rage

The European Parliament and the US Treasury are pushing ahead with plans to introduce retention charges for securitisation deals in an effort to align the interests of investors and originators. But market participants complain the move is ill-conceived…

The art of debt

Governments across the globe face huge increases in borrowing requirements, sparking concern over possible rating downgrades, while many have seen their credit default swap spreads widen dramatically. Despite this, sovereign debt management offices claim…

The bespoke conundrum

The dealer community has pushed towards standardisation of credit default swaps contracts, enabling them to meet a regulatory goal of ensuring a large chunk of the credit derivatives market is cleared through central counterparties. What implications…

The bank capital burden

Keenly awaited Basel II trading book rules were due to be decided upon as Risk went to press. Market participants worry the measures could retard the development of risk models and even kill off whole business lines Mark Pengelly reports

Fast Monte Carlo Bermudan Greeks

In recent years, much effort has been devoted to improving the efficiency of the Libor market model. Matthias Leclerc, Qian Liang and Ingo Schneider extend the pioneering work of Giles & Glasserman (2006) and show how fast calculations of Monte Carlo…

Stepping through Fourier space

Diverse finite-difference schemes for solving pricing problems with Levy underlyings appear in financial literature. Invariably, the integral and diffusive terms are treated asymmetrically, large jumps are truncated, and the methods are difficult to…

Damage limitation

Efforts are under way to formalise the resolution process for collateral disputes, while other initiatives are planned to improve processes for posting collateral, valuation and margin practices. What are the challenges to meeting these targets? Ryan…

Carry in favour?

Long popular among hedge funds, the financial crisis battered the carry trade towards the end of 2008. But despite massive losses stemming from the trade, there is evidence market participants are putting it on again. By Mark Pengelly

Trade set and match

The ultimate objective of regulators and participants in the derivatives business is to see submission and matching on the date of trade. How far is the industry from reaching this goal? By Ryan Davidson

Get connected

Regulatory demands for the derivatives industry to improve operational efficiency have become increasingly stringent in the past year. To meet the targets, dealers say interoperability between technology platforms is vital. But in the competitive vendor…

Forex realignment

Many company treasury departments were slow to respond to rising volatility in the foreign exchange market, along with a shift in the direction of the US dollar last year. Are corporates changing their hedging policies in response? By Peter Madigan

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