Risk magazine
Emerging markets ramp up
Technology
Approach with caution
Indicators
A tough nut to crack
The Basel Accord
Rules and models
Basel II
Averting future liquidity crises
Case study: JP Morgan Chase
Turning ‘risky’ confidence into risk confidence
Sponsor`s statement
European credit quality falls steeply in 2001, says Moody's
Credit rating downgrades outnumbered upgrades by more than two-to-one for corporations and governments outside the US during 2001, according to international rating agency Moody's – a complete reversal on 2000, when upgrades exceeded downgrades by a more…
European tax-exempt firms wary on alternative investments
European tax-exempt institutions are lagging significantly behind their US counterparts in private equity and hedge fund investments, although the appeal of alternative investments is gaining popularity, according to Goldman Sachs.
Israeli exchange upgrades contingency plans
The Tel Aviv Stock Exchange (Tase) has upgraded its contingency facilities for trading and clearing to ensure that in the event of an emergency, such as a terrorist attack on the main exchange, systems should continue to function as normal.
Calibrating Libor
With a rich spectrum of maturities and tenors to contend with, the toughest aspect of pricing interest rate options is calibrating models of forward rates to market data. Here, Damiano Brigo and Fabio Mercurio present a scheme for simultaneously…
A discrete question
How should discrete dividend options be modelled in an equity option pricing framework? As Volf Frishling warns, unthinking use of certain models to solve this problem can lead tosignificant mispricing in some situations
Pricing default baskets
Nicholas Dunbar, Risk’s technical editor, introduces the first in a new series of technical papers written by quants at Deutsche Bank.“Default correlation has been one of the hottest topics in credit derivatives over the past year. So it is a pleasure to…
2002 winner | DERIVATIVES EXCHANGE OF THE YEAR Intercontinental Exchange
Despite a difficult year for electronic trading platforms in the US energy sector, the Intercontinental Exchange has been exceptionally successful.
2002 winner | LIFETIME ACHIEVEMENT AWARD Oldrich Alfons Vasicek
Vasicek’s 1977 paper on the term structure of interest rates provided insights that catalysed the development of the interest rate derivatives market. He was just getting started.
2002 winner | TECHNOLOGICAL DEVELOPMENT OF THE YEAR Twist
The Treasury Workstation Integration Standards Team (Twist) aims to create a single standard interface that simplifies systems integration for anyone signed up to it.
2002 winner | QUANT OF THE YEAR Richard Martin
A regular contributor to Risk’s Cutting Edge technical papers, Richard Martin receives his award for outstanding work in the field of credit portfolio risk management
2002 winner | EQUITY DERIVATIVES HOUSE OF THE YEAR SG
How has SG sustained its ability to price innovative equity structures more competitively than any other firm? There’s no real secret about ingredient X: it’s innovation.
2002 winner | ENERGY AND COMMODITY DERIVATIVES HOUSE OF THE YEAR GFI
GFI has built one of the leading energy brokerage businesses in Europe and North America during an exceptionally volatile year in the electricity markets.
2002 winner | RISK MANAGER OF THE YEAR Mark Lawrence
Someone needed to bring clarity to the opaque area of measuring operational risk. Enter ANZ’s firm-wide risk manager Mark Lawrence.
2002 winner | CORPORATE RISK MANAGER OF THE YEAR Microsoft
Software giant Microsoft’s risk management system and hedging strategies have allowed it to hit aggressive return targets on its investment portfolio.
2002 winner | SOFTWARE PRODUCT OF THE YEAR LiveCluster
DataSynapse’s LiveCluster software takes the spare processor capacity from a company’s dormant machines and puts it to work on large, power-draining analytical computations.
Risk awards
The third annual Risk awards recognise excellence and innovation in the fast-changing risk management and over-the-counter derivatives businesses
2002 winner | DERIVATIVES HOUSE OF THE YEAR, INTEREST RATES DERIVATIVES HOUSE OF THE YEAR, CREDIT DERIVATIVES HOUSE OF THE YEAR JP Morgan Chase
JP Morgan Chase takes three Risk awards, and sheer presence in the industry aside, manages to top the polls via that most important commodity – client satisfaction.