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Market risk

VAR exceptions reflect volatile season

Investment banks reported increased numbers of high trading losses in the third quarter of this year, highlighting the volatility in the financial markets and casting doubt on their risk modelling.

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Cutting the Gordian knot

Basel II remains wedded to incremental extensions to the market risk rules. It is time for a bolder approach in this area, argues David Rowe

Old hands, steady heads

Mustafa Jama joined Morgan Stanley's FoHF team as CIO four years ago – and tells Solomon Teague there are not that many houses whose engagement with hedge funds stretches back 16 years

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Quants' tail of woe

Liquidations of large quantitative equity portfolios prompted widespread misfiring of hitherto robust quant models. Historically unusual returns volatility and multi-billion-dollar mark-to-market losses ensued. Leading hedge fund managers talk to Jayne…

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Berating agencies

Rising delinquencies in the US subprime mortgage sector have triggered a flood of downgrades by credit rating agencies. As a result, confidence in ratings has been shaken, and they have come under fire from investors and regulators. Is the criticism…

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