Risk magazine
Ex-head of risk at Millennium joins JP Morgan Chase
Clinton Lively has joined JP Morgan Chase as head of market risk management for institutional equities in New York.
Options staff hotly pursued
Currency options traders are finding themselves hotly pursued, as a series of high-profile moves around the world has set off a chain of demand, reports RiskNews’ sister publication, FX Week .
BNP tap Etrali for floors in China
French trading communications technology maker Etrali has done a deal with BNP Paribas to deploy its hardware on trading floors in China, says Henri Vautheny, Etrali’s general manager for Asia, excluding Japan.
ABN Amro targets Asian CDO market
ABN Amro has closed a single-tranche synthetic collateralised debt obligation (CDO) for a Singapore asset manager, its second deal in a month and its first with a Singaporean investor.
NAB currency options desk 'back in the market', with limited trading
National Australia Bank (NAB) has resumed limited trading in currency options, as an April 30 deadline to amend its shortcomings passed last week, reports RiskNews ' sister publication FX Week .
Martin Wiedmann leaves UBS
The departure of Martin Wiedmann from UBS in Zurich last week sparked a guessing game among his peers over which bank he is set to join, reports RiskNews ' sister publication FX Week .
Former JP Morgan Chase derivatives strategist joins PNC
Pittsburgh-based PNC Financial Services has hired JP Morgan Chase’s former head of derivatives strategy, Gagan Singh, as managing director of asset liability management. In addition, Singh becomes chief investment officer of the company’s banking arm,…
Smile at the uncertainty
Smile-consistent alternatives to the Black-Scholes model are often too cumbersome to be used for large portfolios of exotic options. Damiano Brigo, Fabio Mercurio and Francesco Rapisarda propose an intuitive stochastic volatility model that is easy to…
An arbitrage-free interpolation of volatilities
Nabil Kahalé describes a new construction of an implied volatilities surface from a discrete set of implied volatilities that is arbitrage-free and satisfies some smoothness conditions. His method provides an excellent fit to the smile of the local…
Practical relative-value volatility trading
The rapid growth of fixed-income hedge funds has resulted in increased interest in identifying relative-value trade opportunities. Here, the author presents a consistent framework for finding value within interest rate options markets.
A taste of corporate risk
Profiles
The case for independent risk management committees
Corporate governance
IAS 39: the state of play
Derivatives accounting
The costly road to compliance
Sarbanes-Oxley
Comply with me
Introduction
Corporate use of credit derivatives: next stop in risk management
Sponsor's statement
Hedge accounting convergence between IAS and FAS
Sponsor's statement
Coulter considers risk concentration
New Angles
Quantifying market share
Comment
Born to trade
Profile
Shedding the correlation ‘axe’
Equity derivatives
A natural standard 1
Commodities trading
The big get stronger
Rankings and Surveys