Risk magazine
VAR for fund managers
Investment management
Collateral damage
Credit risk
IIF calls for Basel and IASB co-operation; warns on Basel II deadline
The Institute of International Finance (IIF), an association of leading banks, has called for more co-operation and discussion on bank capital accounting issues between the Basel Committee on Banking Supervision and theInternational Accounting Standards…
Sydney Futures Exchange to introduce New Zealand equity derivatives
The Sydney Futures Exchange (SFE) has signed an agreement with the New Zealand Exchange (NZX) to develop New Zealand equity derivatives to be listed on the SFE by March 2004.
DoJ forces Merrill to disclose future structured product deals
In a deal struck with the US Department of Justice (DoJ) over charges of conspiracy with Enron, Merrill Lynch has agreed sweeping reforms that will require all complex structured finance transactions effected by a third party with the bank to be…
Banks back FXall prime brokerage messaging hub
Currency trading portal FXall has secured the support of seven leading banks to develop a shared messaging hub for notification of prime brokerage deals.
Eurex to launch US exchange in February
Eurex plans to launch its long-anticipated US futures and options exchange in Chicago on February 1. At a press conference this morning in Chicago, Eurex chief executive officer Rudolf Ferscha said Eurex filed this morning with the US Commodity Futures…
Moody’s KMV upgrades portfolio management tool
San Francisco-based quantitative credit analytics firm, Moody’s KMV, a subsidiary of Moody's Corporation, has updated its portfolio manager tool. The upgrade will give portfolio and risk managers at banks, insurance companies and asset management firms…
Forex options software boosts exotics appetite, say bankers
The use of independent foreign exchange options pricing software by corporates may have narrowed banks' margins, but it has given a substantial boost to the exotics market, bankers told RiskNews sister publication FX Week .
Global foreign exchange head leaves RBS
David White, global head of foreign exchange at Royal Bank of Scotland (RBS) in London left the bank on September 5, according a spokesperson for the bank in London. The spokesperson declined to comment on White's sudden departure after many years at the…
DrKW adds to New York sales effort
Dresdner Kleinwort Wasserstein (DrKW) has continued its sales build-up with four new hires to its team in New York this month, said a spokesperson for the bank.
Data vendors hold key to Measurisk survival
Measurisk, a US-based risk technology provider to buy-side community, is scrambling to secure cheaper new contracts from its data vendors in a last-ditch effort to remain a viable business concern. If it can’t convince these vendors to lower their prices…
BoNY expands hedge fund services in Dublin
The Bank of New York (BoNY) is expanding its European hedge fund services with the hire of Ian Headon as group manager for alternative investment services in Dublin.
PNC selects SunGard asset/liability tool
Pennsylvania-based PNC Financial Services Group (PNC) is set to implement SunGard Trading and Risk Management's BancWare Convergence product for asset/liability and balance-sheet management.
Black-Scholes models lose favour for employee stock options
Companies around the world are likely to come under increasing pressure to change their valuation methodologies for employee stock option schemes from traditional Black-Scholes models to binomial approaches, according to the research department of Bear…
SG expands range of UK currency warrants
SG, the investment banking arm of French bank Société Générale, has launched warrants on the US dollar/yen and euro/US dollar currencies on the London Stock Exchange’s warrants market. SG said it also plans to launch warrants on the Japanese Nikkei 225…
ABN Amro shakes up forex division
ABN Amro’s current global head of foreign exchange options, Douglas Bongartz-Renaud, will transfer to a new role in the bank’s wholesale banking business as part of a reorganisation set to take place over the coming months, a source close to the bank…
Raft of dealers set to market-make Trac-x
A raft of investment banks will start making markets in Trac-x - the global suite of credit default swap indexes created by the merger of the Morgan Stanley's Tracers and JP Morgan Chase's Jeci indexes in April – within the next two weeks.
IBM rolls out SuperDerivatives for currency options
IBM has signed a multi-licence contract with London-based foreign exchange pricing company SuperDerivatives. The company will roll out the SuperDerivatives pricing system for currency options to the IT company's treasury team based in Armonk, New York.
BarCap hires Passaretta in LatAm derivatives drive
Barclays Capital, the investment banking division of UK bank Barclays, has appointed Gianluca Passaretta as director and head of Latin America interest rate derivatives trading.
Another dealer joins CJ 50 Index
Japan’s Aozora Bank has become the eighth credit derivatives dealer to join the CJ 50 Index, a multi-dealer credit index which tracks the 50 most liquid credit default swaps in Japan.
Summit markets new porfolio product
New York-based transaction processing technology company, Summit Systems, has started to aggressively market its new portfolio processing product, Summit FT. The web-based product offers instant delivery of real-time information across a range of primary…
Tokio Marine launches autumn foliage-linked derivatives
Japan’s Tokio Marine and Fire Insurance has launched autumn foliage-linked derivatives contracts referenced to the country’s daily precipitation index.
Derivatech wins first options risk software deal in China
Bank of China has licensed FX options software from US-based vendor Derivatech, in what marks the country’s first forex risk management software deal.