Risk magazine
Dodd-Frank bill sparks end-user margin fears
Reform bill ambiguity means end-users might have to post margin even if they don't clear swaps.
Sifma members lose confidence in risk capabilities
A declining number, falling below 5%, of Sifma member firms are comfortable with their risk management capabilities, according to an updated survey of 240 Wall Street participants conducted by IBM, issued at the Sifma Financial Services Technology Expo…
BIS steps up pressure to end financial sector support
Emergency measures brought in during the crisis are now doing more harm than good, annual report says
Concerns grow on correlation of derivatives collateral
Sovereign debt crisis raises fears about correlation of derivative collateral denominated in domestic currencies
$19 billion risk levy will fund US financial reform
Risk-based charge will cover cost of reform bill passed today
Dealing with funding on uncollateralised swaps
Many banks are now using their own cost of funding as a discount rate when pricing non-collateralised swaps trades. How are banks dealing with the difference in funding rates when quoting derivatives prices, and could this influence a client’s choice of…
Basel Committee: no decision yet to scrap Basel III liquidity rules
Regulators accept reform package will need to be reshaped but claim no decisions will be taken until July's committee meeting
FSA heads push back on regulator's abolition
Chairman and chief executive of the UK regulator say decision to break it up is ill-timed
Pricing distressed CDOs with base correlation and stochastic recovery rates
In 2008 and 2009, the calibration of the standard Gaussian copula model for collateralised debt obligations has frequently broken down. To overcome that problem, Martin Krekel has embedded the model with correlated stochastic recovery rates. He shows…
Subdued times for buyouts
Dan DeKeizer, chief executive of MetLife Assurance, talks to Alexander Campbell
Factors on demand
Attilio Meucci introduces a multi-asset-class return decomposition framework that extends beyond the standard systematic-plus-idiosyncratic approach. This framework, which rests on the conditional link between flexible bottom-up estimation factor models…
Beyond distributional analysis
In the third article in a four-part series, David Rowe considers the need for financial risk management to move beyond distributional analysis to consider more qualitative inputs
China and the renminbi: A Risk.net article collection
The recent financial crisis in the west has presented China with a range of challenges as well as opportunities.
Basel II and Basel III: Top articles from Risk.net
The ink was hardly dry on Basel II when the international financial crisis saw that agreement being ripped up and recreated as Basel III.
Sovereign debt and CDSs: a collection of articles from Risk.net
The world is watching nervously as sovereign debt is rocked by fiscal and economic crises in the eurozone.
Derivatives clearing: a selection of coverage from Risk.net
Derivatives clearing is one of the hottest regulatory topics at the moment around the world.
Meucci and Litterman promise new portfolio system for new hedge fund
Bloomberg risk specialist Attilo Meucci has joined Bob Litterman and two ex-Goldman Sachs colleagues at a new hedge fund.
NY Fed discourages use of bespoke derivatives
Post-trade reporting and collateral seen as way to push OTC derivatives towards central clearing
Regulators hit back at IIF’s doom-laden predictions of Basel III impact
Regulators believe the IIF has over-estimated the effect of the planned Basel III reforms.
Basel Committee adjusts market risk framework
A formal 8% floor is set for correlation trading capital charge following analysis of QIS results.
Ogata named to head SG CIB in Asia
Hikaru Ogata moves from BNP to take over SG CIB in Asia-Pacific
Little progress on US regulatory reform as conference ends first week
Heated debate and vote interruptions slow the reconciliation process
LCH.Clearnet re-values $218 trillion swap portfolio using OIS
Changes in valuation were “relatively small”, says clearing house
The risks of tailoring credit default swaps
Credit portfolio managers could tailor credit default swap hedges as financial guarantees to avoid accounting mismatches on their balance sheet. However, the technique exposes credit hedgers to increased costs and basis risk, argues Dirk Schubert