Risk magazine
Quantitative finance "not a theory", says Derman
Emanuel Derman criticises the increasingly abstract and mathematical nature of quantitative finance
ICB capital levels would hurt UK banks, critics say
Report recommends a worst-case capital level of 22.5% for large ring-fenced retail banks and UK-headquartered systemically-important banks
Mifid draft resuscitates CCP open access battle
CCP open access debate rears its head once again in draft rules spun out of Mifid
Société Générale CDS spreads recover after shaky start
French banks see further spread widening, before disclosure by Société Générale on its eurozone sovereign exposure prompts a turnaround for that bank
OTC derivatives reform will lead to algo boom, banks predict
Dodd-Frank and Sefs set to encourage growth in algorithmic execution of OTC derivatives, say dealers
Long Swiss franc players hit by SNB move
Sudden depreciation of the Swiss franc, following an SNB announcement last Tuesday that it would buy unlimited amounts of foreign currency, has left some participants nursing hefty losses
SFOA conference: Eurex supports central bank access for CCPs
Derivatives clearing houses should be able to rely on central bank liquidity support, says Eurex exec at SFOA annual conference
Basel Committee's Walter dismisses reports of LCR overhaul
Basel Committee is working on criteria to decide what counts as a liquid asset, but secretary general says no decisions have yet been taken on how – or whether – to change the LCR
Isda to review close-out value definitions
Absence of a standard approach is stifling attempts to value termination clauses, dealers complain
SNB faces battle to maintain franc currency floor
Swiss National Bank pledges to set minimum euro exchange rate at Sfr1.20, but analysts express concern over central bank’s ability to maintain exchange rate floor
SwapClear may assist OIS development
SwapClear may assist OIS development
Deutsche Bank tops Risk interdealer rankings
Deutsche claims top spot for third year running, with JP Morgan a close second
Volatility of volatility spike drives options liquidity squeeze
Volatility of volatility spike drives options liquidity squeeze
People: Citi ramps up listed and OTC clearing
Citi ramps up listed and over-the-counter clearing
Sponsored statement: RBS
Solvency II – Capitalising on market distortions
Sponsored educational feature: UBS
Risk management tools for the buy side
Risk interdealer rankings 2011: Dealers
Dealers enjoyed a bright start to the year but endured a slow second quarter and a savage start to the third as political wrangling over European and US debt contributed to a surge in volatility and risk aversion. For the third year in a row, Deutsche…
Risk interdealer rankings 2011: Brokers
Talk, don't talk
OTC flash crash: Dealers consider risks of HFT invasion
The fixed-income flash crash
All together now: the tech challenges of Sef aggregation
All together now
Bayesian lessons for payout structuring
Bayesian lessons for payout structuring
A new breed of copulas for risk and portfolio management
A new breed of copulas for risk and portfolio management
Cutting edge introduction
A popular copula