Risk magazine
BIS triennial survey shows derivatives market up 120%
The latest instalment of the triennial over-the-counter derivatives survey from the Bank for International Settlements (BIS) has shown market growth of 120% in traded derivatives for the three years to June 2004.
Mirant settles price-reporting charges
Atlanta-based energy company Mirant has settled charges with the US Commodity Futures Trading Commission (CFTC) of false reporting of natural gas prices.
DrKW replaces hybrid capital head
Dresdner Kleinwort Wasserstein (DrKW) has hired Ronan Donohue as head of hybrid capital to replace Mark Woolley, who quit to join Deutsche Bank in September.
Broadening horizons
When the investment horizon is of the order of a few years, such as in the context of personalfinancial planning, it becomes necessary to calculate and stress-test the exact distribution ofthe market at the given horizon, as the common first-order…
Excess yields in bond hedging
Litterman & Scheinkman (1991) showed that the term structure of interest rates is reliablymodelled by an affine three-factor model using principal component analysis. Such a modelis inconsistent with no arbitrage. Here, Haim Reisman and Gady Zohar derive…
The value of research
Profile
Will weight of money push down alpha returns?
Hedge funds
Mind your behaviour
Investment
Building success in risk technology
Technology rankings
Recent developments in the variance swap market
Corporate Statement
China Aviation Oil suffers $550 million derivatives loss
Singapore-based China Aviation Oil, the supplier of nearly all of China’s jet fuel imports, has racked up $550 million in losses through speculative oil derivatives trades. This has forced the company to seek court protection from creditors while it…
Risk management for investors
Introduction
Software Survey 2004
Survey
Technology
Introduction
The risk of three markets
Brazil
Freight market hits credit rocks
New Angles
Rio’s risk vanguard
Brazil
São Paolo sophisticate
Brazil