Risk magazine
Carr to discuss application of integral transforms to option pricing at Risk Europe
Peter Carr, recipient of Risk 's 2003 quant of the year award, will discuss how fast Fourier techniques can be applied to option valuation problems during his address at Risk Europe on April 9.
Martin to present on innovations in credit portfolio modelling
Richard Martin, a quantitative analyst in BNP Paribas’ fixed-income group, will present his assessment of new innovations in credit portfolio modelling at Risk Europe on April 9.
UBS Warburg’s Thomas to discuss next generation of CDO products at Risk Europe
UBS Warburg executive director for global credit derivatives, Alberto Thomas, will discuss the future of collateralised debt obligation (CDO) products during his address at Risk Europe on April 9.
BarCap's Thompson to offer insight into VAR-based pension plan asset allocation decisions
Tim Thompson, head of economic capital at Barclays Group, will present his company’s new value-at-risk method for evaluating and addressing corporate pension plan underfunding under new UK accounting rule FRS 17 at Risk Europe .
Japanese airlines go against credit market’s tightening trend
Technical factors continued to keep Japan’s credit default swaps on a tightening trend this week, except for airlines for which the cost of protection continued to rise on concern that the war in Iraq and Japan’s weak economy will seriously damage the…
BoA’s Mooney joins Trafigura
David Mooney has left Bank of America in New York and joined Trafigura, a privately owned Swiss-based commodity trading company with offices in 30 countries. Mooney, former head of commodity derivatives at BoA, joined Trafigura’s London office as head of…
Offers of protection remain thin in subdued credit markets
Credit default swap spreads have tightened again in Europe in the second half of this week, but markets have remained thin and subdued, say London-based credit derivatives traders.
JP Morgan names Standing’s replacement
Tom Hoppe, global chief operating officer (COO) of JP Morgan Chase’s credit and interest rate markets business, will replace Rob Standing as head of the division. Standing is leaving the bank to run the London Diversified Fund, a hedge fund.
Costs of derivatives “exaggerated” and benefits “downplayed”, say Fed officials
Two officials at the Federal Reserve Bank of Dallas have dismissed suggestions that the light oversight of derivatives during the 1990s has led to a “breakdown” of the banking system.
No change to retail hedge fund regulations, says FSA
The Financial Services Authority (FSA), the main UK financial services regulator, has said it will not change regulations relating to the marketing and distribution of hedge funds to retail investors in the UK.
SEC announces details of hedge fund forum
The Securities and Exchange Commission (SEC), a US financial regulatory authority, plans to hold a hedge fund round table on May 14 and 15 to debate whether such funds negatively affect public investors.
Fitch Risk launches Credit Rating System
CreditVantage, the credit risk management division of Fitch Risk, has launched Credit Rating System (CRS), a suite of credit rating products designed to assist banksin implementing industry best practices in their credit analysis and capital allocation…
SG appoints new head of global forex institutional sales
SG, the corporate and investment banking arm of Société Générale, has appointed Dominick Errichetti, previously head of foreign exchange trading and sales for the Americas, as head of the French bank's global institutional foreign exchange business.
Credit swap spreads edge out on Iraq war fears
Spreads in the credit default swap market started widening in trading this week, as sellers of credit protection left the market due to increasing uncertainty about a quick resolution of the US-led invasion of Iraq, London-based traders said today.
Deutsche hires Letica to head agency CMO trading
Deutsche Bank has hired Nicholas Letica as head of agency collateralised mortgage obligation (CMO) trading.
CBA to use Fenics FX for options trading on worldwide basis
The Commonwealth Bank of Australia (CBA) has employed New York-headquartered GFI Group’s Fenics FX system as its global standard foreign exchange options pricing and analysis tool. The bank will deploy the system as the standard interface in all of its…
FSF calls for more credit risk transfer disclosure
The Financial Stability Forum (FSF), the body set up by leading central banks to examine potential threats to the financial system, has called for greater disclosure and more aggregate data for credit transfer instruments.
Risk management enters a new phase, says Guardian Life's Abbott
Risk management has entered a new phase where continued change to overall risk parameters is the norm, according to Mark Abbott, head of risk management quantitative research at The Guardian Life Insurance Company of America.
BarCap creates new rates sales position
Barclays Capital has hired Chico Khan-Gandapur as a London-based managing director within its European rates sales team. Gandapur will start work in the newly created role within the next few months, a BarCap spokeswoman said.
FASB must not 'cave in' on employee stock options treatment, says S&P index chief
US accounting standards setter, the Financial Accounting Standards Board (FASB), should not "cave in" to corporate pressure by failing to require that companies treat employee stock options as an expense, warned David Blitzer, chairman of S&P's index…
Tullett signs up to SwapsWire
Inter-dealer broker Tullett today said it has joined the industry-backed electronic platform SwapsWire to provide its interest rate derivatives clients with straight-through-processing (STP) capabilities. SwapsWire, built by a consortium of 23…
Corporates not properly hedging equity exposures, says UBS banker
Corporate accounting scandals and weak equity markets have made companies use less equity derivatives strategies, and this is to their detriment, according to a senior investment banker speaking today at the San Antonio Risk Management Conference.
Merrill to settle its forex trades via Citi
Citigroup has won a coveted deal to settle Merrill Lynch’s forex trades on its behalf on the new Continuous Linked Settlement (CLS) service for FX.
Nybot launches market data service
The New York Board of Trade (Nybot) last week launched Nybotlive, which delivers real-time global futures and options data over the internet.