Risk magazine
CSFB appoints derivatives sales director for Germany
Credit Suisse First Boston (CSFB) has hired Konstantin Krebs as a director of fixed-income derivatives sales.
Rio quits Commerzbank to head Swapstream
Swapstream, a medium- and long-term interest rate swaps trading platform, has appointed Stéphane Rio as chief executive. Rio was previously head of rates trading at Commerzbank for five years, and replaces Marcus Grubb, who left Swapstream in early July…
Cairn Capital adds asset-backed specialist
Cairn Capital, a London-based advisory and investment firm specialising in structured credit, has hired Jenna Collins as an analyst. Collins, who will join Cairn in November, was an asset-backed securities analyst at Merrill Lynch in London.
UK standards setter pushes for full implementation of IAS 39
The UK’s Accounting Standards Board (ASB) believes UK companies should implement International Accounting Standard 39 in its entirety, despite a European Union decision to water down the hedge accounting rule across Europe.
BNP restructures European credit research
BNP Paribas, the French banking group, has restructured its credit research division after three members were poached by Lehman Brothers in September.
KIDB-Icap gets approval to launch Korean interdealer broking business
Icap, the world’s largest interdealer broker, said its Korean joint venture KIDB-Icap has received final approval from the Ministry of Finance and Economy to launch a new interdealer broking business.
Deutsche gets China derivatives licence
Deutsche Bank has become the latest institution to gain a licence to trade derivatives onshore in China. A Deutsche official in Singapore told RiskNews that the China Banking Regulatory Commission (CBRC) gave the German bank the go-ahead yesterday.
Barclays boosts Asian credit team
Barclays Capital has continued its drive to boost its Asian credit derivatives business with another new hire in Hong Kong. William Pang joined the bank yesterday as director of Asian credit derivatives with responsibility for market risk.
Cash margin squeeze benefits Japan forex derivatives dealers
Derivatives dealers in Japan are in demand, as spread compression in vanilla foreign exchange has prompted foreign banks to look elsewhere for margin.
Totem adds to its interest rate valuations service
Totem Market Valuations, a provider of over-the-counter derivatives price information, is to expand its interest rate derivatives pricing service to include Swiss francs, Hong Kong dollars and Korean won. The products covered will be interest rate…
Front teams with NIWS to offer Arena in Japan
Front Capital Systems, an operating unit of SunGard, has begun marketing a localised version of Front Arena's treasury trading and back-office solution to regional banks in Japan through a distribution agreement with NIWS, a Tokyo-based business server…
Deutsche sues JP Morgan Chase over credit team defections
Deutsche Bank has filed a lawsuit against JP Morgan Chase and two of the German bank's former employees following the defection of senior Deutsche Bank staff to the US bank more than a month ago.
Northern Trust selects Fitch Risk operational risk software
Northern Trust, a Chicago-based global custody and investment management group, has chosen Fitch Risk’s OpVar software suite and its data offerings, which manage quantitative and qualitative operational risk. The move comes at the expense of risk…
Deutsche Bank hires MBS group heads
Deutsche Bank has hired Neil Ahuja and John Roach as head of mortgage-backed securities (MBS) and mortgage derivatives trading, respectively.
GFI hires five traders to offer dry freight trading
Inter-dealer broker GFI has hired five brokers to start offering dry freight derivatives. The service will complement the company’s commodities trading activities, particularly coal.
CSFB/Tremont launches sector invest indexes
Hedge fund index provider Credit Suisse First Boston Tremont Index has launched 10 new investable hedge fund indexes, collectively called the CSFB/Tremont sector invest indexes, in response to “widespread investor demand”, the company said in a statement.
JP Morgan Chase launches Asian currency index
JP Morgan Chase and market data vendor Bloomberg have teamed up to launch a tradable index of currencies from Asian emerging markets.
Commerzbank hires forex options trader
Commerzbank Securities in New York has hired Carmine Ricciardi as a senior foreign exchange options trader.
Citi hires ABN Amro risk analytics director
Citigroup has hired Matt Daniel, a director of risk analytics at ABN Amro in New York.
Euronext.Liffe slashes prices for equity option trading
Euronext.Liffe, the European derivatives exchange, will cut its fees for trading equity options through its electronic trading platform, Liffe Connect, from November 1.
Deutsche reorganises credit unit after defections to JP Morgan
Deutsche Bank is to reorganise the management of its collateralised debt obligation (CDO) business for the second time in six months. The move comes a month after JP Morgan Chase poached a number of the German bank's senior staff, although a Deutsche…
In the core of correlation
The single-factor Gaussian copula model has become a benchmark for the pricing and risk management of basket credit derivatives and synthetic CDO tranches. However, recent months have seen the development of a market for tranched synthetic indexes,…
Detecting market abuse
Financial regulators need a way to detect market abuse in real time. Marcello Minenna has developed such a procedure that can detect, for each quoted stock and on a daily basis, the presence of market abuse phenomena by means of a set of tripwires that…
Maximum drawdown
The maximum loss from a market peak to a market nadir, commonly called the maximum drawdown (MDD), measures how sustained one’s losses can be. Malik Magdon-Ismail and Amir Atiya present analytical results relating the MDD to the mean return and the…