Risk magazine
Quant Congress Europe: VAR models still essential
Despite criticism over the accuracy of value-at-risk models through the financial crisis, chief risk officers speaking at Quant Congress Europe said they were still invaluable.
GMAC may seek government aid after losses
US consumer finance giant GMAC may tap the US government's Troubled Asset Relief Program (TARP) after announcing a third quarter net loss of $2.52 billion.
Quant Congress Europe: Regulatory focus to switch to leverage
At the keynote address at the European Quant Congress in London today, Peter Praet, executive director in charge of financial stability at the National Bank of Belgium, said that the Basel II regulatory framework will be revised to look more closely at…
BoE announces 1.5% rate cut
At 1200 GMT, the Bank of England (BoE) announced a 1.5% reduction of the official bank rate, while interbank lending rates fell further.
Kaupthing debt set at 6.625% and 2.375%
Senior debt on failed Icelandic bank Kaupthing has been settled at 6.625% and subordinated debt at 2.375% in a credit event auction on November 7.
CDS spreads move out on financial institutions
The cost of credit protection on UK banks widened in early trading today, following falls in equity markets across the globe yesterday.
DTCC launches weekly CDS update
The Depository Trust and Clearing Corporation (DTCC), the largest derivatives clearing house in the US, released its first weekly snapshot of the credit derivatives market yesterday.
Ted spread and Libor drop again
Confidence in the interbank lending markets improved today, with the Ted spread and Libor continuing to fall.
JP Morgan closes prop positioning unit
JP Morgan is closing its proprietary positioning unit, entailing significant job losses among its 80-strong staff.
Ambac and MBIA record heavy Q3 losses
Battered by mortgage-related positions and credit losses, bond-insurance companies Ambac and MBIA both took a hit in the third quarter.
Glitnir debt settled at 3% and 0.125%
Another failed Icelandic bank, Glitnir, has seen its senior debt settled at 3% and subordinated debt at 0.125% in a credit event auction today.
CDS losses hit Swiss Re
Swiss Re, the world’s second largest reinsurer, has reported a third quarter net loss of SFr 304 million ($262 million) after being hit by heavy mark-to-market writedowns on its structured credit exposures.
UK CDS spreads widen
The cost of credit protection on UK financial institutions increased in early trading this morning, though market sentiment towards US banks improved on the eve of the presidential elections.
US and European CDS spreads tighten
The cost of credit protection on eurozone financial institutions dropped this morning, with markets continuing to stabilise after recent government interventions.
Landsbanki bonds settled at 1.25% and 0.125%
In an auction to cash-settle credit default swaps (CDSs) tied to Icelandic bank Landsbanki, recovery rates on its senior and subordinated debt were set at 1.25% and 0.125% today, respectively.
UBS risk chief steps down
Joseph Scoby, who has led UBS' risk department during one of the most disastrous years in the bank's history, has stepped down, to be replaced by his deputy, Philip Lofts.
Interbank markets remain stable
Confidence in the interbank market climbed today, reflected in the decline of the Ted spread and Libor rates.
RBS announces further credit market hit
Royal Bank of Scotland (RBS), one of three British banks to receive capital injections under a £50 billion government bailout package, on Monday announced writedowns of £206 million of credit assets in the third quarter, following £5.9 billion of…
New York Fed hires Bear Stearns' ex-CRO
The Federal Reserve Bank of New York has hired Michael Alix, previously chief risk officer at Bear Stearns, as a senior vice-president in the bank supervision group.
November target for CDS central counterparty
Dealers have pledged to the Federal Reserve Bank of New York to begin using a central counterparty for clearing credit derivatives by the end of November.
Maybank reshuffles senior execs
Kuala Lumpur-based Maybank, Malaysia's biggest bank by assets, is reshuffling its senior management team as part of its plan to be a leading regional financial services group by 2015.
CDS spreads stable after quiet weekend
The cost of credit protection on eurozone financial institutions remained stable this morning, with recent government interventions boosting market confidence.
Ted spread and Libor continue to fall
Interbank confidence continued to rise today, reflected in the fall of the Ted spread and certain Libor rates.
Bernanke: covered bonds "attractive" replacement for GSEs
Government-sponsored enterprises (GSEs) could be replaced by a US mortgage-backed covered bond market, Federal Reserve chairman Ben Bernanke suggested on Friday.