Risk magazine
European Commission admitted to CPSS/Iosco working group on CCPs
The EC says its seat on the steering committee will help keep global regulation coherent.
Progress by the dashboard light
Increasing numbers of banks and vendors have built dashboards into risk management systems, designed to provide easy-to-comprehend, real-time indicators of risk. How do they work, what information do they provide and how effective are they? By Clive…
Fast correlation Greeks by adjoint algorithmic differentiation
Adjoint methods have recently been proposed as an efficient way to calculate risk through Monte Carlo simulation. Luca Capriotti and Mike Giles extend these ideas and show how adjoint algorithmic differentiation allows for fast calculation of price…
A dynamic model for correlation
Equity markets have experienced a significant increase in correlation during the crisis, resulting in exotic derivatives portfolios realising large losses. As larger correlations in downward scenarios are already implied in the index option market in the…
Bank of Spain denies Spanish banks are delaying losses by acquiring NPAs
The Bank of Spain defends Spanish banks' hands-on risk management of non-performing assets related to the property sector.
Limits on metal derivatives meet opposition
The commodity market is divided on position limits for metal derivatives.
Negative carry presents corporate hedging conundrum
Steep interest rate yield curves cause corporate treasurers to focus on the cost of carry.
Basel Committee proposals could break IASB loan-loss deadlock
The Basel Committee has revealed its thinking on loan loss accounting to standard-setters and industry experts.
Protect to survive
The Lehman minibond scandal put Hong Kong firmly in the spotlight, with television images of protesting investors beamed across the world. In response, the Securities and Futures Commission (SFC) is making changes to investor protection rules. Martin…
Euro should not covet reserve role
Panellists in a new CentralBanking.com web seminar say becoming a reserve currency would hamper recovery
'Litmus test' case as banks charged with fraud over Milan restructuring
Four banks to stand trial over Milan restructuring trade
Smaller banks expected to suffer from new regulations
Speakers at a Chatham House conference warn of the unexpected side-effects of tighter financial regulation.