Risk magazine
Escoffier replaces Annandale as SG’s head of UK derivatives
David Escoffier, formerly head of distribution for equity derivatives structured products at Société Générale in the Americas, has replaced Charles Annandale as head of equity derivatives in the UK.
BNP Paribas transfers Lazell to London as head of debt capital markets for European corporates
French banking group BNP Paribas has named Brian Lazell as head of debt capital markets in Europe for corporate borrowers. Lazell will transfer to London from Hong Kong, where he was head of credit markets, Asia-Pacific. In London, he will report to Paul…
Barclays links up with Mark-it
Barclays Capital has signed up to provide global historical and current credit derivatives data to Mark-it Partners, a UK credit data company. In return, the bank will have access to Mark-it’s credit price services, including daily mark-to-market data…
iBoxx launches €500 million of notes
Bond and credit default swap index company iBoxx yesterday debuted a €500 million issue of diversified notes as the latest of its credit default swap-based products.
Bank of Bermuda selects Reech FastVal for derivatives valuation
The Bank of Bermuda has selected Reech FastVal for its global fund services (GFS) division, which provides fund administration services to the alternative funds industry. Reech FastVal will be used to provide independent valuation or validation of the…
Icap extends use of Kalahari software
Inter-dealer broker Icap has extended its use of pricing software company Kalahari’s derivatives pricing system ‘Kace’ to its Singapore, Hong Kong and Sydney offices.
Counterparty credit concerns
Regulators are getting interested in derivatives counterparty credit risk. When Federal Reserve chairman Alan Greenspan noted in May that one dealer (and we understand this to be JP Morgan Chase) accounted for a third of the global dollar interest rate…
Commonwealth Bank of Australia issues five series of Shield CLNs
Commonwealth Bank of Australia (CBA) is issuing five series of credit-linked notes (CLNs), maturing on September 4, 2006 and referenced on a portfolio of 100 equally weighted investment-grade credits.
Ontario Teachers’ Pension Plan licenses credit risk software from Kamakura
Ontario Teachers’ Pension Plan, Canada’s second largest pension fund, has licensed credit risk modelling software from Honolulu-based Kamakura.
Eurex and BOTCC finalise agreement on US exchange
European derivatives exchange Eurex has finalised the terms of a clearing agreement with the Board of Trade Clearing Corporation (BOTCC), opening the way for the launch of a new US exchange next year.
Omhex starts operations
Omhex, the company formed by the merger of Sweden's OM Technology and Finland’s Helsinki Exchanges (Hex), which operates the country’s derivatives exchange, started trading today.
Gain Capital takes $10 million investment from Tudor
Gain Capital, the foreign exchange trading platform aimed at middle-market traders, has secured a $10 million investment from Tudor Ventures, the venture capital and private equity arm of Tudor Investment.
SG appoints interest rate derivatives marketer
SG, the investment banking arm of French bank Société Générale, has appointed Arun Jagannathan from Merrill Lynch to sell interest rate derivatives and structured products to German and Austrian banks.
Dresdner appoints new global head of equity derivatives
Dresdner Kleinwort Wasserstein (DrKW) has appointed Chris Seery as its new global head of equity derivatives.
Rate risks redux
Introduction
Citi, SG and DrKW to market make iBoxx; new index launched
Citigroup, Dresdner Kleinwort Wasserstein (DrKW) and Société Générale will make markets in indexes provided by bond and credit default swap index company iBoxx. They join two existing providers, ABN Amro and Deutsche Bank, and should help improve…
d-cyphaTrade to launch electricity options on SFE
Sydney-based d-cyphaTrade plans to list electricity options on the Sydney Futures Exchange (SFE), with a first phase launch scheduled for the fourth quarter of this year.
BTM expands use of forex pricing system in Japan
The Bank of Tokyo-Mitsubishi (BTM) has extended its use of financial software company Cognotec’s online foreign exchange trading system in Japan.
Scrutiny of the bounty
Introduction
Analysing counterparty risk
In an attempt to improve on existing regulatory approaches to derivatives counterparty creditrisk, Eduardo Canabarro, Evan Picoult and Tom Wilde present a new method based on expectedpositive exposure (EPE). Using a one-factor conditional independence…
VAR: history or simulation?
Greg Lambadiaris, Louiza Papadopoulou, George Skiadopoulos and Yiannis Zoulis assess theperformance of historical and Monte Carlo simulation in calculating VAR, using data from theGreek stock and bond market. They find that while historical simulation…
Signs are good for IAS 39 final preparations
Regulation
What’s in a name-change?
Profile: Capitalia
