Risk magazine
Extreme forex moves
What is the appropriate statistical description of tail risk in a market portfolio? In the context offoreign exchange, Peter Blum and Michel Dacorogna address this problem using extreme valuetheory. Using 20 years of data, they estimate parameters for an…
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Profile
Credit explosion
Comment
Job moves
People
RiskNews review
RiskNews review
Don’t count on buffers
Risk analysis
Technology briefs
Systems
Self-assessments for scorecards
Operational risk
Top dealers plot revival of ‘Project Red’
New angles
Shaking up hedge funds
Cover story
The Risk 2003 commodity and energy derivatives rankings
2003 Commodity & Energy Rankings
FASB rule baffles CDO market
New angles
Flow business booms
Credit derivatives survey
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Credit default swaps remain tight despite falling equities
Credit default swap spreads in Europe have remained relatively tight this week despite falling equities. The trend is being supported by the current dislocation between credit and equity, and also continued large issuance of synthetic CDOs, according to…
Fimat to launch volatility arbitrage index
Fimat, the brokerage subsidiary of Société Générale, plans to launch what it claims will be the first volatility arbitrage strategies index by the end of the first quarter.
US listed equity option competition set for increase
Competition in the US equity options market is set to increase with the electronic linkage of five exchanges.
ABN and Deutsche roll out iBoxx 100-linked note
ABN Amro and Deutsche Bank have joined forces to launch a credit default swap product linked to the iBoxx 100 index. The iBoxx 100 note reflects the performance of the top 100 names in the iBoxx euro corporate overall index, weighted by their duration…
Morgan Stanley says restructuring will not be required for capital relief
A subcommittee will recommend to the Basel Committee on Banking Supervision that capital relief from credit derivative hedging should not require the inclusion of restructuring as a credit event, Morgan Stanley analysts said in a report yesterday.
Top dealers plot ‘Project Red’ revival
The backers of ‘Project Red’, a credit derivatives reference entity database (Red) set up by top dealers Deutsche Bank, Goldman Sachs and JP Morgan to remove basis risk in credit trading, have conditionally agreed to sell the service to UK credit risk…
Bank of America to set up global forex structuring team
Bank of America plans to set up a global foreign exchange structuring team with the appointment of Eric Ohayon from Lehman Brothers.