Risk magazine
Hedge funds should be more consistent, says industry survey
Thirty-two percent of respondents in a global hedge fund survey believed the pricing of illiquid instruments was the most significant challenge in portfolio valuation. The survey, conducted by the Alternative Investment Management Association (AIMA) on…
Monte dei Paschi’s asset management unit backs new hedge fund
Monte Paschi Asset Management (MPAM), the asset management arm of Banca Monte dei Paschi di Siena, plans to back a fixed-income specialist hedge fund called TrinityCapM with €25 million in seed capital.
Financial regulation hits saturation point, say top risk managers
The level of regulation in financial markets has reached saturation, and now poses a significant risk to institutions, said a panel of chief risk officers (CROs) speaking at Risk’s annual Global Risk Management Conference in Monte Carlo today.
Leung leaves Moody’s KMV for credit portfolio managers’ association
Som-lok Leung, a senior director of client solutions at Moody’s KMV, is to leave the San Francisco-based credit analytics specialist next month to take on the role of executive director at the International Association of Credit Portfolio Managers (IACPM…
BGI hires in fixed income ahead of hedge fund launch
Barclays Global Investors (BGI), the San Francisco-based asset management arm of Barclays Bank, has made four hires in its fixed-income department in anticipation of the launch of new long/short fixed-income products fund.
Goldman loses CDO co-head to Deutsche
Deutsche Bank has hired Michael Henriques as a managing director responsible for origination, structuring and risk management of principal finance opportunities within its special situations group (SSG).
Barclays hires quartet to structured credit group
Barclays Capital has hired four staff to boost its structured credit products sales team in New York.
HKEx launches Xinhua futures
The Hong Kong Stock Exchange (HKEx) has signed an agreement with index provider FTSE Xinhua Index (FXI) to list futures and options linked to the FXI China 25. Trading in the instruments is expected to begin on May 23.
Deutsche Bank boosts SSG
Deutsche Bank has appointed Michael Henriques, formerly of Goldman Sachs, as a managing director within its special situations group (SSG).
Barclays launches targets smaller trading firms in Hong Kong
Barclays today launched a new unit in Hong Kong to offer tailor-made advice to small trading companies via its wealth management unit.
NAB gets green light on forex options
National Australia Bank (NAB) is set to reopen its foreign exchange options business on May 9, over 12 months after it was forced to close the desk in response to a derivatives trading scandal that enveloped the bank early last year.
DrKW combines derivatives trading and structuring teams
Dresdner Kleinwort Wasserstein (DrKW) has opted to combine its derivatives trading and structuring capabilities across multiple asset classes, creating a single global derivatives group within its capital markets business.
Deutsche's Derhalli to head emerging market equities
Deutsche Bank has appointed Kerim Derhalli as global head of emerging market equities. He runs the equities businesses in Latin America, and central and eastern Europe, the Middle East and Africa (CEEMEA) region.
Options traders top pay bracket
UK forex options dealers raked in the largest pay packets this year, with total packages averaging more than £500,000, according to a survey by City-based executive search firm, Napier Scott.
RBS hires five in derivatives sales team
RBS Greenwich Capital, the Connecticut-based fixed income business of the Royal Bank of Scotland (RBS), has made five new hires for its North American financial institutions and corporate sales teams.
Merrill Lynch loses two equity derivatives staff in Hong Kong
Merrill Lynch has lost John Robson, a managing director responsible for the bank’s Asia-Pacific structured products business, to Nomura, where he will head the firm’s equity derivatives sales effort in Asia.
Goldman's co-head of prime brokerage joins hedge fund
Emmanuel 'Manny' Roman is to join UK-based multi-strategy hedge fund GLG Partners from Goldman Sachs. The move follows a number of defections by senior employees at the bank.
Lehman poaches senior Merrill employee
Lehman Brothers has hired Joonkee Hong as managing director and head of global finance, Asia-Pacific, in Tokyo.
Highland Capital buys European investment manager
Dallas-based Highland Capital Management has bought ING Capital Management Limited (ICML) in a bid to break into the European collateralised loan obligation market.
HSBC hires AIG’s Lee as head of currency exotics
Don Lee, the former head of currency options at AIG Financial Products, has joined HSBC in New York as global head of foreign exchange exotics and head of foreign exchange derivatives for the Americas.
JP Morgan rationalises marketing units in credit and rates
JP Morgan Chase has rationalised sales and marketing in its European credit and rates business, according to a internal memo by Tony Best, the London-based head of European investor client management, on April 1.
A forward-looking adjustment
Cutting edge: Operational risk
The impact of PD/LGD correlations on credit risk capital
Guido Giese applies econometric estimates of correlations between default rates and loss given default rates to modern credit portfolio models to quantify their impact on the calculation of credit risk capital
Omega portfolio construction
The omega risk-adjusted performance measure with Johnson distributions accountscomprehensively and non-discretionarily for the first potentially persistent moments includingskewness and kurtosis. The Johnson-omega ratio thus overcomes the shortcomings of…