Risk magazine
Every currency counts
Overlay management
Convertible bond decline could impact credit derivatives
Falling valuations in the European convertible bond market during the last few months could lead to a decline in credit default swap values, as convertible investors seek to unwind their hedged positions.
Fannie and Freddie’s hedging rockets in 2001
Fannie Mae and Freddie Mac’s first detailed disclosure of their derivatives positions has revealed a dramatic increase in hedging activity by the two US federal-backed mortgage companies.
Derivatives expert to run BarCap Americas
Barclays Capital, the investment banking division of the UK's Barclays, has named Peter Goettler head of its investment banking division in the Americas.
Citi bankers quit to launch FX hedge fund
Citigroup’s former global head of proprietary trading, Patrick Hall, is launching a new macro hedge fund with partners John Banerjee and former Citi economist Michael Burke.
Honour your contribution
What is the best method for determining the risk contribution of a component in a portfolio? An exploration of the pros and cons of three important methods, showing that none dominates the others.
Mean-reverting smiles
Commodity markets such as crude oil exhibit mean reversion as well as option smiles. The authors construct a model suitable for pricing exotic options in these markets
Exotic spectra
Eigenfunction expansions can also be applied to finance. The method is particularly suited to barrier and Asian options, with convergence properties that compare favourably with Monte Carlo.
Catch 22 for corporate liquidity
Companies facing relatively minor business difficulties are being shut out of the commercial paper market, forcing their treasurers to scramble for alternative financing to avoid insolvency. Is there any way to manage this liquidity risk?
Presenting the Risk Awards 2002
Risk Awards 2002
Capital thinking
Manuel Méndez aims to have BBVA among the first to qualify for Basel II’s advanced risk capital approaches.
Job moves
QUOTE OF THE MONTH: - “I have come to you with a problem – we need to outsource our balance-sheet funding” From an e-mail sent last year by John Rusnak to an unnamed counterparty, referring to his deep-in-the-money options trades, or ‘synthetic loans'.
Servicing the e-industry
Investing in IT infrastructure development is essential in today’s often fractured environment of rival software languages and specific trading needs. Clive Davidson discovers what is on offer to bring these disparate elements together
Corporate disclosure | Exposing exposures: how far will it go?
The Enron debacle has spurred investors and creditors to press for greater disclosure of corporate risk and hedging strategies. Companies are beginning to respond. How far will it go? Naomi Humphries reports