Risk magazine
GlobeOp grabs JP Morgan/Cygnifi fixed-income software
GlobeOp Financial Services, a risk management, operations and administration service provider to the global funds management community, has bought a risk reporting and valuation analytics library, developed by JP Morgan and its now-defunct technology…
Cantor subsidiary files patent infringement suit
Interdealer-broker Cantor Fitzgerald’s trading technology subsidiary eSpeed has filed a patent infringement suit against electronic fixed-income trading platform BrokerTec, while separately a court case pertaining to alleged constructive dismissal…
Meeting demand
Introduction
Portfolios: prevalent but problematic
Introduction
Bear Stearns adds CDO evaluator to Pacre
Bear Stearns has added a high-yield collateralised debt obligation (CDO) pricing model to its price-adjusted credit risk evaluator (Pacre) product. The model is designed to calculate credit-adjusted spreads on individual CDO tranches.
Old Mutual Asset Management appoints head of risk management
Old Mutual Asset Management, the US asset management arm of financial services company Old Mutual, has hired Jeffery Howkins from Mellon Institutional Asset Management as its head of risk management and audit.
Questions of error
Consider the following two, difficult, questions. How should a financial institution allocate capital to different businesses? How should a financial institution be valued? The first question is a subject for the senior management of an institution. But…
Revealed: Goldman Sachs’ mega-deal for Greece
Greece uses swaps to hit EU debt ratios
Market-implied ratings
There has been much debate over the respective merits of credit ratings and market-based indicators. Ludovic Breger, Lisa Goldberg and Oren Cheyette present a new approach that tries to incorporate the benefits of both approaches. Starting with agency…
Overcoming the hurdle
How should capital be allocated to different business lines in a financial institution? Thomas Wilson explores this question from an investor’s perspective by constructing a statistical model that measures the risk of individual business types. The…
Correlation evidence
Like ratings, default correlation is an area of fierce industry debate. But any fundamental, long-term investor searching for fair value in credit correlation will want to understand what the historical data actually says. Here, Arnaud de Servigny and…
Cracking correlation
Credit default swaps
Getting to grips with fair value
Derivatives accounting
A natural pillar
Profile: BMW
Dashed hopes
CFOs
Staying away in droves
Credit
Veolia Environnement’s risk revolution
Profile: Veolia
Diversify and conquer
Profile: General Electric
Structurally sound
Profile
The right tools
Portfolio selection
Credit risk models enhance link between credit and equity prices, say BIS
The growing use of credit risk models is helping to strengthen the link between credit and equity prices, said the Bank for International Settlements (BIS).
Borsa boosts Italy’s lagging hedge funds
New angles