The risk of one

Fund derivatives

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Market volatility has ravaged global hedge fund returns since July. Top-tier managers such as DE Shaw and Renaissance Technologies have experienced unusual returns volatility, but while they have ridden out the storm, some hedge funds have not fared so well. Halted redemptions, suspended net asset value (NAV) calculations and outright collapses have ensued.

Bear Stearns Asset Management (BSAM) is among the most seriously affected high-profile fund managers. In June, plummeting values of

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The wild world of credit models

The Covid-19 pandemic has induced a kind of schizophrenia in loan-loss models. When the pandemic hit, banks overprovisioned for credit losses on the assumption that the economy would head south. But when government stimulus packages put wads of cash in…

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