Risk magazine
Help or hindrance?
The financial crisis has caused significant pain to Russian securitisation issuers. But an amendment by the Bank of Russia to include mortgage-backed securities on the list of instruments eligible for its repurchasing facility is fanning hopes of a…
Bridging the gap
Russia is finally set to introduce standardised documentation for derivatives instruments, which should help create the legal certainty participants view as critical to market growth. Mikhail Loktionov and Laila Vildanova look at the mechanics of the…
Reporting riddle
A requirement by the UK Financial Services Authority for financial institutions to run regular reports on their liquidity positions from next year has raised a number of operational challenges. Is this fuelling a move towards enterprise risk management?…
UK banks respond to Cebs criticism
The British Bankers' Association says its members should be able to speed up disclosure and supervisory reporting, after European regulators criticised the delayed and obscure reports issued by many European banks.
Regulators review short-selling restrictions
Regulators from across the globe continue to review and adjust short-selling restrictions.
The shock of the interaction
Banks have long talked of enterprise risk management, but many firms have historically measured risk types separately and aggregated the results. The financial crisis has highlighted that credit and market risk are closely linked. What are the challenges…
Liquidity risk – an integrated approach is the only realistic solution
For many years, financial institutions have been using the Murex enterprise risk platform for market, credit and liquidity risk management. Today, and in view of the recent market volatility, those users are appreciating the advantages of a multi-asset…
Liquidity attracts investors to forex markets
Investors are increasingly turning to foreign exchange markets in search of liquidity and diversity, bankers say.
Sovereign CDS spreads widen in South-east Asia
The cost of credit protection on South-east Asian sovereign debt rose in European and Asian trading today.
Brindley leaves UBS for new pensions service at Mercer
Rupert Brindley has left UBS, where he was a managing director focussing on risk management and liability-driven investment strategies.
Inflation modelling with SABR dynamics
Fabio Mercurio and Nicola Moreni introduce a new forward Consumer Price Index model that is based on a multi-factor volatility structure and leads to SABR-like dynamics for forward inflation rates. Their approach reconciles zero-coupon and year-on-year…
A dynamic model for hard-to-borrow stocks
Traders with short positions in stocks that are subject to short-selling restrictions risk being 'bought in', in the sense that their positions may be closed out by the clearing firm at market prices. Marco Avellaneda and Mike Lipkin present a model for…
Less than zero
A drop in inflation expectations last year sent dealers scrambling to hedge their exposures to 0% floors embedded in structured products, causing a massive dislocation in the inflation swaps market. Have dealers now covered their exposures? By Alexander…
Getting the cycle to work
Regulators are keen for banks to take a through-the-cycle approach, as opposed to point-in-time, when calculating bank capital. But how are banks responding to the change? By Duncan Wood
A return to credibility
The financial crisis has exposed the fact that many banks merely paid lip service to risk management, as well as relying too heavily on quantitative techniques. However, genuine risk management requires judgement and a strong risk culture within a firm,…
Pressure points
Regulators released the results of US bank stress tests last month, forcing 10 banks to raise a collective $74.6 billion in additional capital. But can market participants take any real comfort from the results? Mark Pengelly finds out
