Risk magazine
Moving beyond equity
Structured products
A structured explosion
Introduction
The novel structurer
Profile
The credit derivatives divide
Comment
Reverse cliquets: end of the road?
Plunging equity volatility in the past six months may have hit dealers’ reverse cliquet and Napoleon hedge positions
Denmark opens its risk books
New Angles
Corridor variance swaps
This article studies a recent variation of a variance swap called a corridor variance swap (CVS). For this swap, returns are not counted in the realised variance calculation if the reference index level is outside some specified corridor. CVSs allow…
SGX signs MoU with Dow Jones for Trac-x
New Angles
Accounting risk for European credits
New Angles
Watching the funds of hedge funds
New Angles
Risk appointments awaited
New Angles
What’s a basket worth?
Peter Laurence and Tai-Ho Wang take a significant step in the valuation of basket options with positive and fixed weights. These model all index options, price, cap or equal weighted. Departing from the usual Black-Scholes framework, the authors provide…
New regional directors named for PRMIA chapters
Karina Carerro has been named the new regional director for the Venezuelan chapter of the Professional Risk Managers’ International Association (PRMIA), while Krzysztof Jajuga will take up the same role at Wroclaw in Poland.
Misys recruits in Bangalore
Misys Risk Management Systems has recruited Vinutha Urs from DSL Software, a subsidiary of Deutsche Bank, to lead and expand its office in Bangalore, India.
US insurers’ loss reserves deficient by $30 billion, says Moody’s
Property and casualty insurers in the US are holding inadequate loss reserves, according to a study by Moody’s Investors Services. The extent to which some insurers are exposed to liquidity risk through this inadequacycould even result in future…
SG ramps up financial institutions and hedge fund coverage
French investment bank SG has refined its coverage of financial institutions and hedge funds with two internal promotions.
JP Morgan Chase appoints new Asian structuring head
JP Morgan Chase has appointed Kim Hong as head of its Hong Kong-based investor clients group for Asia ex-Japan and the structured finance/ structuring and solutions group for Asia, including Japan.
Eurex US delays launch date
Eurex has delayed the intended launch of its Chicago-based futures exchange, Eurex US, to February 8. The launch is dependent on approval from the Commodity Futures Trading Commission (CFTC), scheduled to vote on Eurex’s application for "designation as a…
Goldman hires new head of inflation flow business
David Lofthouse has taken up a position at Goldman Sachs as head of inflation flow business in London.
Credit Suisse signs up for RMDS
Credit Suisse is to upgrade the market data platform of its headquarters in Zurich to the Reuters Market Data System (RMDS).