Asia Risk
KO-ed in Korea
Derivatives litigation has reached a new level in South Korea, where early court rulings on corporate currency options positions went against financial institutions and threatened the legal enforceability of derivatives contracts in the country. A change…
Asia Risk commodity survey 2009
Volatile commodity prices and heightened counterparty credit risk concerns saw dealers and brokers faced with unprecedented challenges during the past year. But some market participants have turned the upheaval to their advantage. Ben Marquand reports
Japanese exchanges move to set up CCPs next year
Risk mitigation systems for over-the-counter derivatives set to go live in 2010
Structural simplicity
Restoring confidence in structured products is top of equity derivatives dealers' agenda as they move to offer less complex instruments to jittery investors. But the industry faces a long haul to bring business back to levels witnessed in 2007. Jill Wong…
Piloting policy
The privately negotiated derivatives industry congregated in Beijing last month for the International Swaps and Derivatives Association's annual general meeting. Top of the agenda were efforts to formulate a strategic response to calls for more…
On the move
People
Fair's fair?
Fair value accounting has received much criticism during the financial crisis of the past 20 months. While it is unlikely to be suspended, its execution in inactive markets remains the subject of much debate. Could independent valuation providers offer a…
Exploiting Japan's renegade repos
Japanese equities
Hong Kong ring-fenced assets prior to Lehman Bros collapse
HKMA puts 19 foreign banks on its watch list; conducts 'swine flu' stress test
Exchange proliferation
Regional commodity exchanges are expanding to secure more corporate hedging business and flows from speculators keen to exploit pricing anomalies at a time when volatility is high and bilateral counterparty risk is a major worry. Georgina Lee reports
It's all relative
Commodity-focused hedge funds have faced a torrid past nine months, suffering large losses and widespread redemptions. Yet some funds, notably relative-value arbitrage strategies, have performed better than most. By Richard Jackson
Transition revamp
The asset transition business is undergoing a major transformation, with strong risk management and pre-trade analysis capabilities becoming an increasingly important service differentiator. How are transition managers meeting the needs of Asian clients?…
Joining the SABR and Libor models together
Fabio Mercurio and Massimo Morini propose a Libor market model consistent with SABR dynamics and develop approximations that allow for the use of the SABR formula with modified inputs. They verify that the approximations are acceptably precise, imply…
Urgency and uncertainty
The Basel Committee published further clarification on its proposal for a new incremental risk charge in January. What challenges does this pose from a systems perspective, and how are banks and technology vendors responding? By Clive Davidson
Information asymmetry
Editor's letter
Fears over future inflation mount
Inflation protection is at cheapest levels in years; investments may also be attractive
Best case scenario
News
Debt dilemma
Refinancing risk