Risk magazine
Forum codifies Chinese Walls in credit trading
The Joint Market Practices Forum - an ad hoc group of four market trade associations – has produced a set of principles and recommendations tackling the contentious issue of Chinese Walls between credit trading and lending functions.
New fund taps computational trade models for forex trading
US-based online futures commission merchant FX Solutions is set to launch a managed currency fund next week based on newly developed computational trading models, senior officials told RiskNews ' sister publication FX Week .
First Taiwanese offshore primary CBO in doubt
The attempt to offer the first offshore primary Taiwanese collateralised bond obligation (CBO) appears to be in serious jeopardy, with credit rating agency Standard & Poor’s (S&P) withdrawing its preliminary rating on a tranche of notes.
CLS impact 'neutral' for RTGS systems
The introduction of the continuous-linked settlement service (CLS) for foreign exchange has had little effect on flows and liquidity on real-time gross settlement systems (RTGS), according to the latest Bank of England (BoE) quarterly bulletin.
EEX head calls for equal treatment of physical forwards
Hans-Bern Menzel, chairman of Leipzig-based European Energy Exchange (EEX), today called for the equal treatment of physical forward and financial future commodity contracts under the EU Investment Services Directive (ISD).
Deutsche reshuffles commodity business
Deutsche Bank has reshuffled its global commodity management structure to boost its derivatives business and deal with increased business flows.
National grid information exchange likely
A web-based information exchange on national grid networks is likely to be approved in the next few days, sources told RiskNews ’ sister publication Energy & Power Risk Management at the World Forum on Energy Regulation conference in Rome today. The…
Isda opens Washington office in lobbying push
The International Swaps and Derivatives Association, the New York-based trade association for the over-the-counter derivatives industry, is opening an office in Washington DC to increase its lobbying of the US government.
BNP Paribas hires flow credit trader in Japan
French bank BNP Paribas has hired Satoshi Yui as a credit derivatives flow trader in Japan.
Reliant settles with Ferc for up to $50m
The US Federal Energy Regulatory Commission (Ferc) yesterday reached agreement with subsidiaries of Houston-based Reliant Resources to settle all its investigations in connection with its review of manipulation of the Californian energy markets. The…
World Cup finals catastrophe-linked bond launched
Fédération Internationale de Football Association (Fifa), football’s world governing body, has launched a catastrophe-linked bond to protect itself against financial losses that would result if the 2006 World Cup finals were to be cancelled.
Fear and moaning in last stages
Introduction
CFTC to sue AEP over false gas trades
Ohio-based utility American Electric Power (AEP) has been charged with reporting 2,800 false natural gas trades to energy price index companies, such as Platts, and attempting to manipulate natural gas prices. The charges, levied by the US Commodity…
Clearing Bank Hannover goes into liquidation
Clearing Bank Hannover (CBH), which offered clearing services for electricity and commodity traders, has gone into liquidation and returned its banking licence to BaFin – Germany’s financial regulator.
SG hires credit derivatives marketers
French bank SG, the investment banking division of Société Générale, has hired Daniel Schlaichert from Crèdit Agricole Indosuez and Edgar Leibovici from Mizuho International to sell credit derivatives.
Looking for the right copula
It is widely accepted that the probability of a company defaulting on its debt is linked to the value of its assets, which can be inferred (not necessarily in a unique way) from its equity price. The intellectual argument is long established, and…
Pay attention to interest
Masterclass – with JP Morgan
On the dependence of equity and asset returns
Asset returns play an important role in credit risk modelling. Here, Roy Mashal, Marco Naldiand Assaf Zeevi investigate the co-dependence behaviour of asset returns semiparamatrically.They find that the Student-t copula outperforms the normal copula as…
Modelling venture capital funds
Modelling venture capital funds is a challenge and has become more important due to recentand upcoming securitisation deals, the need for efficient portfolio management, and Basel II.Here, Thomas Meyer and Tom Weidig summarise the issues both industry…
Survey spotlights doubts on Basel II
Industry response
Credit in context
Systems
Capital structure arbitrageurs build a following
Trading strategies