Risk magazine
Ex-NAB traders to stand trial
Two former National Australia Bank (NAB) forex options traders, Vincent Ficarra and Gianni Gray, are to stand trial for their alleged part in the A$360 million ($275 million) rogue trading scandal uncovered by the bank last year.
BarCap adds precious metals dynamic order book to trading platform
Users of Barclays Capital’s cash and derivatives electronic trading platform, BARX for Commodities, now have access to a dynamic order book function for precious metals. Launched today, the new feature allows clients to submit orders which are then…
Algorithmics wins European credit registry contract
Algorithmics, the Toronto-based risk management software company, is to help run a planned Europe-wide credit data service.
T-Zero expects more trades this month following Friday debut
UK-based credit derivatives platform T-Zero expects to see more trades in the next couple of weeks following its inaugural trade on Friday, says Mark Beeston, the platform's president.
BNP Paribas reinforces structured products team in Germany
BNP Paribas has made two new appointments to its German structured product team and one to its bond team in Frankfurt.
Tullett Prebon launches freight derivatives desk
Tullett Prebon has teamed up with three international ship-brokers to operate in the growing freight derivatives market in London, the US and Singapore.
Barclays boosts inflation-linked business
Barclays Capital has reshuffled its inflation products teams around the world, as it faces up to strong competition in the sector.
The keys to CDS success
Electronic trading
Outsourcing alternatives
Collateral management
A fresh look at credit default swaps
Corporates
The evolution of Freddie Mac
Mortgages
Introduction
Introduction
Spanish hedge funds await rules
New angles
Questioning assumptions
Comment
Looking for clarity
Compliance
Variance swaps and non-constant vega
Variance swaps have gained in popularity due to their ability to provide investors with purevolatility exposure – a fairly stable gamma exposure despite changes in the value of theunderlying. The vega exposure of this product, however, varies linearly…
Time for multi-period capital models
Several financial institutions use single-period models to determine their credit portfolio lossdistribution, calculate their loss volatility and assign economic capital. Here, Kevin Thompson,Alistair McLeod, Panayiotis Teklos and Shobhit Gupta…
Smile dynamics II
In an article published in Risk in September 2004, Lorenzo Bergomi highlighted how traditionalstochastic volatility and jump/Lévy models impose structural constraints on the relationshipbetween the forward skew, the spot/volatility correlation and the…
Katrina sparks model rethink
New angles
Hedge fund losses help secondary trading
New angles
A pooled solution
Liability-driven investment
Bayou fraud puts focus on due diligence
New angles
Structured products: the ripple effect
Hedge funds