Risk magazine
Lehman Brothers hires Singapore Branch GM
Lehman Brothers has hired Catherine Loh as a senior vice-president and general manager of its Singapore branch, effective next Monday.
Bank of Bahrain & Kuwait signs up to SunGard risk management product
Bank of Bahrain & Kuwait (BBK) has signed up to use SunGard Treasury Systems’ Quantum package to manage its back-office treasury operations.
Deutsche appoints head of relative value group in Americas
Deutsche Bank has appointed Erik Falk as head of its global markets division’s Relative Value group sales team, covering all credit products including cash bonds and credit derivatives. The group targets institutional clients including reinsurance…
Loan Pricing Corporation launches European loan mark-to-market service
Global loan market intelligence company the Loan Pricing Corporation (LPC), a division of Reuters, has launched a customised mark-to-market service for European credits. Potential users include bank loan portfolio managers and risk managers, CLO…
Avoiding pro-cyclicality
Basel II and SMEs
Fannie Mae’s duration gap figure down in September
US mortgage agency Fannie Mae took the unusual step of disclosing its September duration gap figure yesterday, in a bid to alleviate concern about its risk management practice. The figures showed that the duration gap had fallen from minus 14 months in…
The credit implosion
Introduction
Fundtech enhances CLS product offerings
Jersey City-based Fundtech has launched two new services to extend its Continuous Linked Settlement (CLS) product range. IOSwaps Manager and a ‘third party’ PayPlus for CLS are aimed at extending the ability of financial institutions to eliminate risk…
New double-counting methodology responsible for greater-than-expected rise in credit derivatives
The International Swaps and Derivatives Association’s mid-year survey of the over-the-counter derivatives market showed a substantial increase in credit derivatives notional volumes, growing from $918.9 billion at the end of 2001 to $1.6 trillion at mid…
Basel II regulators issue key QIS 3 survey
Global banking regulators said they launched their key survey today seeking information on how the Basel II bank capital accord, aimed at making the world’s banking system safer, would affect banks.
SG renews SuperDerivatives FX options pricing service
SG, the investment banking arm of France’s Société Générale, has signed up to use SuperDerivatives’ benchmark pricing system for currency options for another year.
Basel II securitisation paper expected next week
Global banking regulators hope to issue their working paper on the treatment of asset securitisation under the complex Basel II bank capital accord next week, senior Basel officials said.
The industry’s worst nightmare
Counterparty credit risk is the derivatives industry’s worst nightmare. Ever since the early 1970s, when over-the-counter derivatives began their 30-year march to replace gold as the world’s foremost financial hedging tool, it is a nightmare that has…
A bootstrap back-test
Back-testing
Copula vulnerability
Counterparty credit risk
Reconstructing volatility
Options on stock baskets have become a mainstay of the equity derivatives business, but pricing and hedging of such products is highly sensitive to implied volatility and correlation assumptions. Here, Marco Avellaneda, Dash Boyer-Olson, Jérôme Busca and…
Reconstructing volatility
Equity derivatives
The credit risk time bomb
Insurers
Realigning exposures
CDO restructuring
PFE: ahead of its time
Modelling
Modelling default rate dynamics in the CreditRisk+ framework
Credit portfolio risk
Reinventing the market
Cashflow CDOs
CDS: the quest for neutral pricing data
Price data services
The hire ground
Recruitment