Risk magazine
Markit appoints head of bespoke index service
London-based data provider Markit has hired Scott Stark as a director in its index division, leading a new bespoke index service.
Creditex and Markit to run Isda's tear-up service
Interdealer broker Creditex and London-based market data provider Markit will run an industry-wide tear-up service for credit default swaps under the aegis of the International Swaps and Derivatives Association (Isda), starting later this month.
Forging a niche
Profile
Inflated or deflated?
Inflation trading
Crude figures
Oil
The state of freight
Freight derivatives
Fund managers bought products they didn't understand, survey finds
A recent survey by auditing firm KPMG reveals a chasm in the level of derivatives and risk management knowledge at global fund and investment managers.
The simple life
Structured products
New fixing for the Livret A - More demand, more imbalances, more opportunities
Sponsored Statement
Reporting for duty
Reporting
Fitch unveils new structured product ratings
Rating agency Fitch has revealed its proposed new system of rating structured products, originally suggested in April this year.
Moody's shakes up structured finance team as CPDO scandal grows
The head of structured finance at New York-based rating agency Moody's is leaving after the firm announced disciplinary proceedings over mis-rating of European constant proportion debt obligations (CPDOs).
Four UBS directors to leave as bank steps up risk oversight
Four directors of UBS will step down in October as the bank attempts to overcome the stigma of its massive writedowns over the past 12 months.
BNP Paribas reshuffles investment bank
BNP Paribas has reorganised its commercial and investment banking arm to concentrate more attention on its valued major clients.
Explaining the Levy base correlation smile
Joao Garcia and Serge Goossens look at base expected loss at maturity both in the Gaussian copula and Levy-based models, and link it to base correlation in these frameworks. They report on the existence of smile in both base correlation curves and…
Inflation is normal
Chris Kenyon introduces normal-based smile models for year-on-year inflation motivated by the observation that market lognormal caplet volatilities of less than 1% imply normality for maturities of up to 30 years. He is also motivated by the range of…
Estimating intrinsic currency values
Forex market practitioners constantly talk about the strengthening or weakening of individual currencies. In this article, Jian Chen and Paul Doust present a new methodology to quantify these statements in a manner that is consistent with forex market…
Time for a rethink
Foreign exchange
The blame game
Accounting