Risk magazine
In cerca di un miglioramento
Value at risk
Necessità di cambiamento
Commento
La tabella della discordia
Basilea 2
Fuori moda
Fondi di investimento
Giro di vite sulla corporate governance
Corporate governance
Copule archimediane implicite nei dati di mercato
Approfondimenti. Derivati creditizi
Equity correlation – explaining the investment opportunity
Sponsored Statement
Dealers work towards clearing house for credit default swaps
A group of dealers hoping to avoid the systemic implications of counterparty risk is working with the Clearing Corporation on establishing a central clearing house for certain credit derivatives products.
Mifid MTFs produce cost savings for brokers and dealers
More and more multilateral trading facilities (MTFs) are starting to compete with European equities exchanges, producing 4-5 basis points in savings for some of their users.
Auction rates securities investigations gathering steam
Regulatory investigations into the collapse of the auction rate securities (ARS) market are getting under way in the US, while investors stuck holding illiquid paper turn to the fledgling secondary market in an attempt to unwind their positions.
Looking forward to back testing
With increasing challenges to measure value-at-risk and meet high regulatory requirements, the focus has turned to back testing as a way of assuring models' adequacy. Carsten S Wehn proposes a new regime of back testing, combining state-of-the-art…
A bridge between mortgage TBA options and swaptions
Interest Rates
Banks pushed to change incentives
Banks are coming under increasing pressure from regulators, politicians and bank shareholders to review their pay and bonus structures to ensure traders are not incentivised to take excessive risks.
Really too big to fail?
Are bulge-bracket investment banks really too big to be allowed to fail? Despite the upheavals such a failure would cause, the consequences may have been overblown, argues David Rowe
Finding a balance
Large Exposures
Regulators push for operations changes
The derivatives industry is facing regulatory demands to improve operations-related issues. In recent weeks, both the President's Working Group on Financial Markets (PWG) and the Financial Stability Forum (FSF) have pushed dealers to enhance the…
FSF calls for rating agency changes to aid market
Banks, investors and rating agencies are bracing themselves for a barrage of new regulatory guidance, consultation papers and capital charges in the wake of a report by the Financial Stability Forum (FSF) on April 12, which made a series of…
Flight plan
British Airways' Group treasurer, George Stinnes, talks to Alexander Campbell
EC outlines changes to CRD
The European Commission (EC) has launched a public consultation on more than 50 technical changes to the Capital Requirements Directive (CRD).
Credit derivatives volumes continue to rise
The credit derivatives market grew by 81% in 2007 to reach $62.2 trillion in outstanding notional, according to figures from the International Swaps and Derivatives Association.
A long road ahead
Basel II
Tails of the unexpected
Credit Models
BIS to modify Basel II rules
The Basel Committee on Banking Supervision is to make changes to the Basel II capital framework in response to the ongoing financial crisis. The modifications are expected to include the upping of Pillar I regulatory capital requirements, as well as the…