Risk magazine
Power to the investors
Bruised investors are finally calling the shots in the hedge fund market as they seek to reallocate capital. With many now demanding greater liquidity, transparency and security, more of the business is likely to migrate to managed accounts. By Peter…
Risk corporate survey 2009
Risk's corporate survey shows counterparty risk is a key concern for company treasurers, but price continues to be the most important factor when choosing a derivatives counterparty. By Ryan Davidson, with additional research by John Beck, Alastair Marsh…
Prudence reigns
Foreign Exchange
The end for ETNs?
The bankruptcy of Lehman Brothers has hammered home the importance of counterparty risk, fuelling dire predictions for the future of exchange-traded notes. But while some product issuers are retreating from the area, others remain optimistic. By Mark…
Structural shifts
The volume of structured products has declined dramatically over the past 12 months. With equity prices collapsing, some of those that are still investing are focusing on capital-guaranteed, income-generating structures. But do these products represent…
Massachusetts charges Fairfield Greenwich for "profound" due diligence failings
The Commonwealth of Massachusetts has charged New York-based hedge fund Fairfield Greenwich Group over allegations of a "profound disparity" between the due diligence the firm told investors it had conducted into Bernard Madoff, and the actual checks it…
UBS hires Credit Suisse banker for its executive board
UBS has appointed Credit Suisse's Ulrich Körner as group chief operating officer (COO) and chief executive of its corporate centre.
SEC official hopes G-20 will establish “broad parameters” for regulation
Ethiopis Tafara, director of the Office of International Affairs at the US Securities and Exchange Commission (SEC), expects the Group of 20 to establish a broad framework for regulation of financial markets over the next two days.
Madoff fallout
A growing number of lawsuits have emerged accusing fund management firms of investing client money with Bernard Madoff without conducting adequate due diligence. Do these accusations have merit? What are fund managers doing to improve their due diligence…
Auction held on CDSs referencing Station Casinos
An auction run by data vendor Markit and broker Creditex yesterday determined final settlement values for credit derivatives trades referencing Las Vegas-based casino operator Station Casinos.
SEC's markets chief steps down
Erik Sirri, director of the division of trading and markets at the US Securities and Exchange Commission, will resign at the end of this month.
CDO managers hamstrung by market constraints, says Fitch
The ability of firms managing synthetic collateralised debt obligations (CDOs) has been “dramatically reduced” because of deal constraints, spread widening and market illiquidity, according to London and New York-based credit ratings agency, Fitch…
Scaling conditional tail probability and quantile estimators
John Cotter presents a novel procedure for scaling relatively high-frequency tail probability and quantile estimates for the conditional distribution of returns
Factor models for credit correlation
Stewart Inglis, Alex Lipton and Artur Sepp present an extension of the static factor model for pricing credit correlation products introduced by Lipton (2006) and detailed in Inglis & Lipton (2007)
Accelerated ensemble Monte Carlo simulation
Traditional vanilla methods of Monte Carlo simulation can be extremely time-consuming if accurate estimation of the loss distribution is required. Kevin Thompson and Alistair McLeod show that the ensemble Monte Carlo method, introduced here,…
History repeating
The spreading of the crisis to central and eastern Europe has caused local currencies to plunge. With financial institutions and corporates struggling to service foreign currency debt, the situation bears similarities to the Asian financial crisis…