Risk magazine
HSBC appoints new global markets heads in Hong Kong
Paul Hand and Anita Fung, HSBC’s head of sales and head of trading respectively in the bank’s treasury and capital markets team in Hong Kong, have been appointed co-heads of global markets, Asia-Pacific.
JP Morgan Chase and Morgan Stanley team to launch new credit indexes
JP Morgan Chase and Morgan Stanley plan to issue a raft of new 'Tracx' credit default swap indexes over the coming 12 months. The two have already launched their own versions of such products under the names Hydi and Jeci for JP Morgan Chase, and Tracers…
Reuters and IBM team up in Asia-Pacific
Reuters has teamed up with IBM Financial Services to offer risk management systems and consulting services to small and medium sized financial institutions in Asia-Pacific.
Hong Kong retail credit-linked bond is latest victim of 'atypical pneumonia'
SHK Fund Management, a unit of Hong Kong conglomerate Sun Hung Kai, has postponed the sale of a retail minibond linked to the credits in the Standard & Poor’s 100 Index, due to the deteriorating social and economic environment in Hong Kong caused by the…
The new orthodoxy
Introduction
ABN Amro creates new global head of rates research role
ABN Amro has appointed Graham McDevitt to the new role of global head of rates research in the bank’s financial markets business. McDevitt was previously head of credit strategy.
Canada eyes shift to mark-to-market accounting
The Canadian Accounting Standards Board has entered into a consultation period to assess proposed new accounting rules aimed at improving how financial instruments are reported in financial statements.
Thomson Financial releases new 'Vestek' risk model
Canadian information and technology provider Thomson Financial has released its 'Vestek Fundamental Risk Model', which is designed to identify the sources and size of portfolio risks.
The power of the portfolio
To observers, credit portfolio modelling appears particularly dependent upon making approximations. Derivatives traders may study finite difference schemes, but at least the pricing models are finely calibrated to the market. Asset managers might have to…
Enhancing CreditRisk+
Of the various analytical approaches to credit portfolio modelling, CreditRisk+ has become the most popular due to its tractability. However, the model suffers from the restrictive assumption of sector independence. Moreover, the recursion relation for…
Credit ensembles
Kevin Thompson and Roland Ordovas address the question of how individual counterparties contribute to the total credit risk of a portfolio. They provide an analytic method, new to credit modelling, to estimate all joint default statistics conditional…
Building a risk-efficient portfolio
Investing
A clear winner
Review
Trading places
Recruiting
RMF: a consistent performer
Profile
Trading transparency tug-of-war
Prime brokerage
A liquidity haircut for hedge funds
Cutting edge: Liquidity risk
Deciding hedge fund allocations
Pension funds
Virtual funds
Replication
A surreptitious stampede
Credit derivatives
Equity long-short strategies
Sponsor’s statement
Schering chooses Trema’s 'Finance Kit'
German pharmaceutical, Schering, has chosen Stockholm-based financial services vendor Trema’s flagship product Finance Kit for its treasury and asset management operations.
The data deluge
Systems
Seller’s market for cat bonds
New angles