Risk magazine
JP Morgan Chase launches 'equity default swaps'
JP Morgan Chase has developed an 'equity default swap', an equity-triggered derivatives product structured like a credit default swap.
New Mexican options exchange to spring out of Spanish alliance
MexDer, the Mexican derivatives exchange, has struck a deal with the Spanish futures and options exchange, Meff, to develop an options exchange in Mexico.
RBS hires Asian credit head
The Royal Bank of Scotland has hired Trevor Vail as head of Asia credit trading, as the British bank looks to expand its credit derivatives business in Asia.
RiskLatte launches new Asian volatility indexes
RiskLatte, a Hong Kong-based business consultancy, has developed a series of market volatility indexes for customers in Asia.
Making the most of Basel II
Introduction
A complex world
Introduction
Prop desks set to reap rewards of forex volatility
Banks could be reaping rewards from their proprietary foreign exchange trading desks, as swift intra-day market moves continue, dealers told RiskNews ’ sister publication FX Week .
Exchange-traded derivatives trading rebounds, says BIS
Aggregate turnover of exchange-traded derivatives rebounded in the first quarter of 2003, according to the Bank for International Settlements (BIS).
A fast-evolving world
Introduction
New problems, old solutions
A quiet revolution is taking place in the equity market. Away from the reverberations of the burst technology bubble, and the continuing debate over retail equity derivatives products, quants are discovering how to reapply old techniques to new problems,…
I will survive
Jon Gregory and Jean-Paul Laurent apply an analytical conditional dependence framework to the valuation of default baskets and synthetic CDO tranches, matching Monte Carlo results for pricing and showing significant improvement in the calculation of…
Bidding principles
Robert Almgren and Neil Chriss show how principal bid programme trades can be priced and evaluated as part of a trading business. By annualising the price impacts and variances of such trades, they construct an information ratio measure that can be used…
Credit barrier models
Claudio Albanese, Giuseppe Campolieti, Oliver Chen and Andrei Zavidonov construct an analytic credit barrier model driven by credit ratings, constrained to fit the term structure of credit spreads
All in Accord
Basel II
Back to school
Investment strategies
Enter the quant enforcer
Cover story
SAB – the magic brew
Company focus
Scenario-based AMA
Asset management
French test for structured products
Online analytics
Competition escalates
Distribution Strategies
Guaranteed evolution
Principal protection
Finding the middle ground
Hedge funds