Risk magazine
Dembo steps away from CEO role as Algo secures new financing;
Ron Dembo, founder and chief executive of Toronto-based technology vendor Algorithmics, is to step away from his day-to-day running of the company to assume the role of chairman. The move comes as Algorithmics secured new financing from its main…
Deutsche Bank realigns Asian institutional client group
Deutsche Bank has made a number of management changes to its institutional client group (ICG) in Asia and Australia.
DrKW shuffles Asian credit business
Dresdner Kleinwort Wasserstein (DrKW) has transferred Mike Gordon and Carlos Cala from Tokyo to Singapore in an effort to balance its credit business resources between the two cities, according to an official at the bank in Tokyo.
NYCC to offer CLS services
Two firms have signed up for the new continuous-linked settlement (CLS) service of the New York Clearing Corp (NYCC), the clearing house for the exchange markets of the New York Board of Trade (Nybot), reports RiskNews ' sister publication Trading…
BNP Paribas creates credit arbitrage team
BNP Paribas is setting up a global credit arbitrage team, with Stéphane Delacote, previously Tokyo-based head of credit trading and derivatives for Asia-Pacific at the French bank, moving to London to head up the new division.
Unifying volatility models
This article introduces a method for building analytically tractable option pricing models that combine state-dependent volatility, stochastic volatility and jumps. The eigenfunction expansion method is used to add jumps and stochastic volatility to…
Multi-factor adjustment
The author presents an analytical method for calculating portfolio value-at-risk and expected shortfall in the multi-factor Merton framework. This method is essentially an extension of the granularity adjustment technique to a new dimension.
Swap vega in BGM: pitfalls and alternatives
Raoul Pietersz and Antoon PelsserPractitioners who are developing the Libor BGM model for risk management of a swap-based interest rate derivative be warned: for certain volatility functions the estimate of swap vega may be poor. This may occur for time…
Dealing with a dwindling dollar
Corporates
Personal FX
Private banking
Expressing a view on the dollar
Currency focus
Sophistication and integration
Performance and risk
The road to online options
Electronic forex
Risk management in a fund of hedge funds
Hedge funds
Dabbling in hedge funds
Asset allocation
Reputational repair
Mutual funds
FX smashes $600m hole in Anglo accounts
The cost of failing to hedge foreign exchange risk was brought into sharp focus last week, when mining firm Anglo American said its 2003 earnings were down $578 million as a result of currency movements, reports RiskNews ' sister publication FX Week .
Take your positions
Introduction
Take your positions
Introduction
Two of a kind?
Equity default swaps
Hedge funds’ swift exit
Comment
The iconoclast of Brooklyn
Profile