Risk magazine
Vanilla's the flavour
Interest rates
Valuing CDOs of ABSs
Charles Smithson and Neil Pearson discuss the valuation of collateralised debt obligations (CDOs). Following on from their December 2007 article, which focused on CDOs referenced to corporate credits, the authors turn their attention to CDOs of asset…
Subprime and punishment
Legal Risk
Credit crisis costs RBS $5.6 billion
Royal Bank of Scotland (RBS) has suffered $5.6 billion (£2.9 billion) in writedowns, due to exposures to US subprime debt exposures and losses in its leveraged finance portfolio.
Peloton ABS fund suspended as ABS market worsens
Peloton Partners, the London-based hedge fund, has suspended its $1.8 billion Peloton ABS Master Fund.
MF Global sacrificed risk protection for speed, CEO says
MF Global, which announced $141.5 million losses from a single rogue trade earlier this week, had deliberately disabled controls on its US internal trading terminals to speed up processing of voice orders, chief executive Kevin Davis admitted yesterday.
SuperDerivatives partners Liffe
SuperDerivatives, a London-based option pricing services provider, and the London International Financial Futures and Options Exchange (Liffe) have announced a strategic partnership to provide SuperDerivatives’ users with direct access to the Liffe…
HSH Nordbank alleges fraud by UBS over CDO
HSH Nordbank has filed a suit against UBS, claiming fraud caused it significant losses on a $500 million investment in a subprime mortgage-linked synthetic collateralised debt obligation (CDO) sold to the German bank in 2002.
Citigroup replaces chief risk officer after just three months
Citigroup has announced the appointment of Brian Leach as the firm's new chief risk officer (CRO), just three months after the bank appointed Citi veteran Jorge Bermudez to the same position.
Rogue trade loses MF Global $141.5 million
Interdealer broker MF Global has lost $141.5 million after it was forced to cover trading losses made by one of its employees.
SEC help sought as auction securities crisis deepens
The trade association representing broker-dealers has confirmed it has been in contact with the US Securities and Exchange Commission (SEC) regarding measures to restore confidence in the troubled auction-rate securities (ARSs) market.
Standard Chartered reports $4 billlion profit
London-based Standard Chartered has reported a $4.04 billion profit, despite $300 million in US subprime debt-related writedowns.
Merrill Lynch misplaces $43 billion in derivatives cashflow
A book-keeping mistake led Merrill Lynch to overestimate cashflow from its derivatives business by $43.1 billion over the past three years, the bank has revealed.
ANZ names Wakelin head of markets, Europe & America
Melbourne-based Australia and New Zealand Banking Group (ANZ) has appointed Greg Wakelin as head of markets, Europe & America.
JP Morgan and Munich Re enter mortality bond market
JP Morgan has placed $100 million of extreme mortality bonds for reinsurer Munich Re, in the first foray into the mortality bond market for both firms.
Auto loan ABS delinquencies rise
With uncertainty blighting the US economy, auto loan delinquencies have hit 10-year highs.
Deutsche Bank names five global markets executive committee members
Deutsche Bank has appointed five new members to its global markets division's executive committee.