Risk magazine
BoA links major and emerging forex forwards in risk strategy drive
Bank of America (BoA) has merged its forwards and emerging markets forwards businesses in London, and hired three forwards traders globally as part of a continued drive to move to a strategic risk management model, a senior official told RiskNews' sister…
Survey sees rise in hedge fund investing by US institutions
Of over 1,000 US institutional investors surveyed by Greenwich Associates, a financial research and consulting firm based in Greenwich, Connecticut, one-third of the 203 funds with hedge fund stakes plan to invest more money in 2003, and not one fund…
Reveleus launches Basel II package
Boston-based financial analytics company, Reveleus, has launched a Basel II software product suite for enterprise risk management and compliance with the forthcoming capital regulations as specified by the Bank for International Settlements (BIS).
Insecurity and innovation
Introduction
Best of breed
Introduction
The final countdown
Introduction
Sony hit by poor earnings reports and downgrade threat
Credit default swap spreads on Japan’s largest consumer and electronics group, Sony, widened further this week, following weaker than expected earnings results and the potential threat of a downgrade by Moody’s Investor Services, say traders.
FMCL launches Asian oil forward curve data
The Forward Market Curve Limited (FMCL) has launched the first module of its ForwardMarketCurve (FMC) product – an all-broker methodology for achieving robust and accurate price discovery in forward commodity markets.
The smirking gorilla
Interest rates are the 800-pound gorilla of the derivatives industry. Thus, while the US Office of the Comptroller of the Currency reported that US commercial banks had a total credit derivatives notional exposure of $635 billion in the fourth quarter of…
Black smirks
Fei Zhou presents a simple stochastic volatility extension of the Black interest rate option pricing model widely used by traders. Using a perturbative expansion in volatility of volatility, he derives modified Black formulas that correctly fit the…
Real option valuation and equity markets
Many non-financial assets can be viewed as ‘real options’ linked to some underlying variable such as a commodity price. Here, Thomas Dawson and Jennifer Considine show that the stock price of a well-known electricity generating company is significantly…
Pitfalls and alternatives
Correlation
The road to partition
Applying the ensemble approach developed in these pages last month, Kevin Thompson and Roland Ordovas calculate risk contributions and show how to measure higher-order default dependence using the method of partitions. The results provide tools allowing…
Cofiri’s risk transformation
Investment banking
On the ball
Relegation risk
Flies in the ointment
Outstanding issues
Worth the trouble?
Collateral managers
Bespoke panacea?
Substitution rights
Diversity scoring for market value CDOs
Cutting edge: Risk measurement
Insurance companies’ slow embrace
Credit derivatives
“We need a better Basel Accord”
Securitisation