Risk magazine
Trusted to make the right decision
Dr Laurence Wormald, head of research at SunGard's APT, discusses new research that illustrates how the right risk analytics can help firms manage their portfolios during this volatile time
Error of VAR by overlapping intervals
When overlapping intervals in time series are used, volatility and price changes' percentiles are underestimated. Consequently, value-at-risk is also underestimated. Heng Sun, Izzy Nelken, Guowen Han and Jiping Guo measure the size of this underestimation
Joining the SABR and Libor models together
Fabio Mercurio and Massimo Morini propose a Libor market model consistent with SABR dynamics and develop approximations that allow for the use of the SABR formula with modified inputs. They verify that the approximations are acceptably precise, imply…
Clear benefits
The role of central counterparties is being given increased prominence in the over-the-counter markets, with regulators calling for clearing houses for credit derivatives. But how do central counterparties manage their risks? By Clive Davidson
CDS risks
Claims that credit derivatives were a major cause of the financial crisis have prompted regulators to threaten to clamp down on the market. In the latest in the current series of Class Notes, Charles Smithson examines some of the risks of credit default…
Capital Smorgasbord
Questions are being asked about the level of capital held by banks, after the financial crisis forced governments across the world to make emergency capital injections. Will this change what qualifies as tier-one and tier-two capital? By Duncan Wood
Long overdue
New due diligence and risk weighting guidance for resecuritisations aims to prevent a repeat of the credit crisis, but should these measures have been included in the 2006 version of Basel II? By Peter Madigan
From Scratch
Vincent van Pelt, global head of equity derivatives andcommodities, Standard Chartered, talks to Rachel Morison
Systemic risk capital
We have seen what can happen when the size of financial institutions rivals - or even surpasses - that of their home countries. It may be time to limit the size of institutions through imposition of systemic risk capital requirements, argues David Rowe
Contract counterattack
Efforts to recover the value of nearly 200,000 derivatives transactions conducted with Lehman Brothers have been frustrated by a provision of the International Swaps and Derivatives Association master agreement. But the bankrupt estate is fighting back…
Challenging times for VAR
With the release of three new consultation papers in January, the Basel Committee has come up with its most ambitious plans yet for tackling the challenges presented by the financial crisis. But its proposal to overhaul VAR models is coming in for some…
Where rocky horror assets go
With injections of government capital seemingly having little effect on restoring confidence in ailing banks, thoughts have once again turned to quarantining distressed assets. Rob Davies examines the options available to policy-makers