Risk magazine
BIS names new secretary general
The Bank for International Settlements (BIS) today named Peter Dittus as its new secretary general for a five-year term. He replaces Gunter Baer, who has held the position since 1994.
US agencies issue QIS4 and LDCE survey materials
US financial regulators have issued survey materials for the fourth Quantitative Impact Study (QIS4) and the Loss Data Collection Exercise (LDCE) in preparation for the implementation of the Basel II capital framework in the US.
BP pays $100,000 to settle wash trading charges
The energy round-trip trading scandal continued to rumble as BP America today paid $100,000 to the US Commodity Futures Trading Commission (CFTC) to settle charges of illegal wash trading. A wash, or round-trip, trade is one that produces neither a gain…
Fitch upgrades capacity for CDO default risk tool
Fitch Ratings has upgraded its Default Vector model, which evaluates default risk in collateralised debt obligation (CDO) portfolios.
Icap launches electronic CDS broking
Icap has launched an electronic credit derivatives trading service via its BrokerTec platform, which typically handles Treasury bond and repo transactions.
Iris names new chairman
Iris Financial, the trading and risk management software developer, has appointed David Ure as chairman of its board of directors.
Maximum likelihood estimate of default correlations
Estimating asset correlations is difficult in practice since there is little available data andmany parameters have to be found. Paul Demey, Jean-Frédéric Jouanin, Céline Roget andThierry Roncalli present a tractable version of the multi-factor Merton…
Mixed default modelling
Structural and reduced-form models are two well-established approaches to modelling afirm’s default risk. Here, Li Chen, Damir Filipovic/ and Vincent Poor develop a new default riskmodelling strategy based on combining these two frameworks in order to…
Incorporating policyholder expectations into ALM
European life insurers have recently improved their asset/liability management (ALM) skills.However, those efforts have been limited to the matching of guaranteed policyholder benefits.While bringing considerable insight, they also leave management with…
Preparing for an end to deflation
Inflation-linked bonds
Standard Bank: A regional banking force with global reach
Corporate statement
The day of the hybrids
Hybrid structures
Single stock futures on the JSE securities exchange South Africa
Corporate statement
Learning to live with currency normality
Risk management
Helping issuance keep pace with demand
Corporate statement
Hunt for returns brings product innovation
Structured finance
French inflation swaps
Sponsor's statement
Meeting the challenge of Basel II head on
Banking sector
Basel II: the global challenge
Profile
Inflated demand
Investors
Court and the act
Sarbanes-Oxley
