Risk magazine
Geometric mean variance
Asset Allocation
Counterparty risk and CCDSs under correlation
Hybrid Products
A return to simplicity
Equity derivatives
Real growth
Inflation
The liquidity link
Liquidity risk
Profiting from divergence
Interest Rates
Dragged down
Monolines
A VAR, VAR better thing?
Banks reported a surge in the number of value-at-risk exceptions during the third quarter of last year following extreme turbulence in the financial markets. Are risk models breaking down? What are banks doing to fine-tune risk management practices and…
The redundant trader
Algorithmic trading
Legal lethargy
Constraining buy-side institutions to hold only investment-grade securities uses a nearly century-old metric with limited contemporary relevance. David Rowe supports one modest proposed reform
Standard Chartered will fund troubled SIV
Standard Chartered has taken a second vertical slice of its Whistlejacket structured investment vehicle (SIV) and will consolidate the whole $7 billion structure onto its balance sheet, the bank announced today.
Merrill continues to shake up senior management
Ahmass Fakahany, Merrill Lynch’s co-president and chief operating officer, is about to retire, leaving on February 1. Fakahany joined the bank in 1987 and has served in a variety of senior roles, including as vice-chairman and chief administrative…
Escoffier credits customer support for SG
Speaking as he accepted the Risk award for equity derivatives house of the year last night, David Escoffier, head of global equities and derivatives for London and head of the bank's hedge fund group, credited SG's clients with helping to keep the bank…
New CEO for Bear Stearns Securities Corporation
Michael Minikes has been named chief executive officer of Bear Stearns Securities Corporation (BSSC), which conducts Bear Stearns’ clearing operations. Robert Upton will assume the title of treasurer of the New York-based parent organisation The Bear…
MBIA announces $2.3 billion Q4 writedown
The situation in the troubled bond insurance sector has worsened, with the announcement of a $2.3 billion fourth-quarter writedown by New York monoline, MBIA.
S&P makes further mass RMBS downgrades
Standard & Poor’s has downgraded 6,389 residential mortgage-backed securities (RMBS) supported by subprime collateral and has placed 1,953 collateralised debt obligations (CDOs) of asset-backed securities on credit watch, in a dire assessment of the…
UBS startles market with $14 billion writedown
UBS revealed this morning that it had taken even more damage from the US subprime debacle than it expected, with writedowns totalling $14 billion.