Risk magazine
A return to domestic inflation
Activity in Europe’s domestic inflation derivatives markets dropped away after the collapse of Lehman Brothers. Now, dealers report buyers and sellers are starting to return. But there is likely to be less warehousing of risk by banks and a greater focus…
Inflation issuers face Greek fallout
Issuance of sovereign inflation-linked bonds is expected to reach record highs this year as governments struggle with vast fiscal deficits. With investors shaken by the crisis in Greece, however, some issuers may have to draw on the lessons of the crisis…
The inflation pricing conundrum
Fear of a spike in consumer prices has created greater demand for inflation protection from a variety of participants. This has increased the need for inflation pricing and analytics tools – but it is not as simple as tweaking existing models used for…
Towards a global valuation model
Banks use a variety of pricing models across business lines, creating discrepancies in the way various financial instruments are priced. But developments in high-throughput computing could lead to the possibility of a global valuation model, argue…
A new VAR terminology
In the first of a four-part series, David Rowe considers the development of financial risk management over the past 25 years and offers some thoughts about its future direction
Capturing fat tails
Financial institutions are more aware of the risks posed by high-impact events since the crisis, but the question is how to encapsulate these in models. Zari Rachev, Boryana Racheva-Iotova and Stoyan Stoyanov discuss three approaches for capturing fat…
Expanded smiles
Implementing models with stochastic as well as deterministic local volatility can be challenging. Here, Jesper Andreasen and Brian Huge describe an expansion approach for such models that avoids the high-dimensional partial differential equations usually…
A dynamic model for leveraged funds
Guido Giese derives a model for the performance and Sharpe ratio of leveraged and inverse index funds that follow a dynamic leveraged trading strategy, that is, they are rebalanced on a daily basis to ensure a constant degree of leverage with respect to…
State benefits for RBS
Jezri Mohideen, head of rates trading for Europe, the Middle East and Africa at RBS, talks to Alexander Campbell
Through-the-cycle haircut in securities financing likely, says senior regulator
Supervisors look to keep a firmer grip on securities lending haircuts to prevent asset bubbles from forming.
Banks call for Basel III rewrite as QIS exercise ends
The industry hopes the impact study will lead to a rewrite of proposed new rules on capital, liquidity and leverage.
TriOptima releases first rates repository figures
The TriOptima-run interest rate derivatives trade repository has registered $448 trillion notional in transactions, as of the end of March.
US financial reform to be debated after Republicans cave in
After three attempts to block debate on financial reform, Senate Republicans gave in last night and agreed to let the bill through.
ECB decision could be critical in Greek debt crisis
If Greek debt is downgraded again, much will depend on whether the ECB decides to keep accepting it as collateral.
Reform bill blocked in Senate despite dropping exchange trading
Republicans voted against debating financial reform again, despite the elimination of mandatory exchange trading from the bill.
Prime brokers move towards independent SAS 70 checks
Prime brokers have focused on bolstering asset security for clients after billions of dollars of client assets were caught up in the administration of Lehman Brothers International (Europe) (LBIE).
Banks run eurozone crisis scenarios as Greece founders
With markets anticipating a Greek debt restructuring, bank traders and risk managers are preparing for a wider crisis that could drag in northern European countries, tip the euro into a tailspin or even threaten the eurozone’s integrity.
CFTC approves film futures despite Hollywood protests
The US Commodity Futures Trading Commission approves exchange-traded film futures, but the industry and Congress might block the business before trading can begin
Property swap analysis could have softened commercial property market crash
Implied total returns suggest UK property market was overheating in 2006.
Isda AGM: collateral drops 20% with market rebound
As the markets recover from the crisis, counterparties are using much lower levels of collateral, an Isda survey has found.
Isda AGM: Reform bill misgivings aired
A speaker from BAML calls for delays to US financial reform proposals.
Isda AGM: 'Trepidation' over central clearing, admits CME
Uncertainty over the final shape of regulatory reform is reportedly making buy-side firms wary of committing to central clearing.
Isda AGM: Greek CDS reflects fundamentals, says UniCredit's Lim
High credit default swap spreads on Greece reflect real concerns, not speculation, and demonstrate the product's usefulness, Isda heard on Friday.