Risk magazine
SG enters HK retail hedge fund market
SG is looking to dispel some of the myths surrounding the dangers of hedge funds with the launch of its first hedge fund product aimed at Hong Kong’s retail investors.
Fitch launches online credit derivatives tool
Fitch, the international rating agency, today launched a new web-based service providing data and analysis for the credit derivatives market.
Australia a hotbed for CLN issuance
Credit-linked notes (CLN) issuance has soared in Australia this year, with the volume of rated notes exceeding A$1.2 billion ($881.3 million) year-to-date, compared with A$240 million in 2002, according to Mei Lee Da Silva, credit analyst in Standard and…
Burns named president of MR3 Systems
San Francisco-based technology company MR3 Systems has appointed John Burns, an ex-Barclays Metals managing director of derivatives finance, as its president.
Kamakura upgrades credit default prediction software
Hawaii-based risk technology vendor Kamakura has upgraded its default probability calculation software. The company said version 3.0 of its Jarrow-Chava default probability KDP-jc is an improvement on previous models that tended to overestimate the…
Abbey National selects Algo Collateral
Abbey National has licensed Algo Collateral from Canadian risk technology provider Algorithmic. The UK bank will start implementing the technology in London immediately.
Dow Jones unveils Trac-x Europe high-yield index
Dow Jones Indexes today gave details of the portfolio for the new Dow Jones Trac-x Europe high-yield index. The index consists of the 25 most liquid European high-yield credit default swaps, and contains many well-known names such as British Airways,…
FSA chief hits out at structured products
Financial Services Authority (FSA) chairman Callum McCarthy has warned of the dangers of banks selling complicated financial products to customers who do not fully understand them.
Former BoA global markets head joins Icap
Duncan Goldie-Morrison has joined Icap as a non-executive director and member of the UK inter-dealer broker's audit, remuneration and nominations committees.
Pepsi to treat executive stock options as an expense
International soft drinks company Pepsi has joined the growing number of US businesses that intend to treat executive stock options as a balance sheet expense.
Credit derivatives innovations essential for health of credit market
Product structurers must continue to develop innovative credit derivatives products to keep people interested in credit, according to Bob Janjuah, ABN Amro’s global head of credit strategy.
Emisphere recruits chief financial officer
New York-based biopharmaceutical company Emisphere Technologies has hired former Ernst and Young derivatives specialist Elliot Maza as chief financial officer. He will be responsible for leading the company's effort in financial operations, planning and…
Gordy rises on Basel credit wave
Who are the most influential authors of articles on quantitative finance? Every year, we total up the citations of sources given at the end of papers published in the Cutting Edge section of Risk.
Shadow interest
Using a Vasicek process for the shadow rate, Viatcheslav Gorovoi and Vadim Linetsky develop an analytical solution for pricing zero-coupon bonds using eigenfunction expansions, and show how to calibrate their model to the Japanese bond market. This…
Index volatility surface via moment-matching techniques
Peter Lee, Limin Wang and Abdelkerim Karim present a basket construction technique using Gram-Charlier-Edgeworth expansions. They show how to express basket option skews and smiles in terms of its underlying components, and demonstrate how market…
A one-way argument?
Contents
Pension funds go for inflation swaps
End users
Expert round table
Industry views
Tips and the iceberg
Government bonds
Regulation to hit UK insurers for £15bn with little tangible gain
New risk-based regulation will cost the UK insurance industry between £10 billion and £15 billion, with tangible benefits measured at less than £1 billion, according to a cost-benefit analysis conducted by the UK’s chief financial watchdog, the Financial…
The diligent diversifier
Profile: University of North Carolina
Reporting: a better performance measure
Data monitoring
The hedge fund index quagmire
Indexes
Take the index high road
Portfolio management