Risk magazine
Rolfe & Nolan sees profits rise following MBO
Rolfe & Nolan (R&N), a UK-based supplier of exchange-traded derivatives software, recorded its best-ever operating profit of £3.03 million ($5.49 million) for fiscal 2004, ended February 29.
BoA's head of energy trading moves to hedge fund
Julian Barrowcliffe, formerly global head of energy trading for Bank of America in New York, has joined Vega Asset Management. In his new role, Barrowcliffe will manage a commodities trading fund for the New York-based hedge fund with $11 billion under…
Arbitrage under power
When one knows the correct value of a tradable asset and the asset price diverges from that value, future convergence may present a good trading opportunity. However, the trader still has to decide when and how aggressively to open the position, and when…
Generalising universal performance measures
Performance and risk measurement are fundamental quantitative activities in finance, andnew ways of measuring them are always of interest. A recently proposed procedure is theuniversal performance measure. Theofanis Darsinos and Stephen Satchell show…
Correlated defaults: let’s go back to the data
Estimates of asset value correlation are a key element of Merton-style credit portfolio models. Many practitioners have access to asset value data for a large universe of listed firms, so estimation is within reach. Alan Pitts describes a statistical…
Derivatives securitisation takes off
Risk management
False start for True Sale?
Germany
Green shoots for derivatives
Pension funds
Leading in securitisation
Profile
Opportunities in illiquidity
Profile
Risk analytics for the buy side
Measuring risk
Yen volatility boosts BTM revenues
Yen volatility has boosted Bank of Tokyo-Mitsubishi’s (BTM) foreign exchange revenues. The bank also reported soaring client demand for currency options in fiscal 2003.
Risk management for investors
Introduction
Securitisation
Introduction
Mortgage agencies showdown
Regulation
The commodities ‘gladiator’
Profile
The mortgage question
Comment
Italian companies focus on derivatives
New Angles
Algorithmics to add administration capabilities to credit risk tool
Toronto-based Algorithmics has created a new credit administration system, aimed at streamlining management of all operational aspects of the process, including credit approval collateralisation.
ING hires Asian equity derivatives traders
ING Financial Markets has hired two equity derivatives traders, Jean-Guy Renard and Martin Wevers, for its Hong Kong office.
Jarrow tackles mortgage market
New Angles
Risk analytics for the buy side
Feature