Risk magazine/News
Danske Bank selects Algo Collateral
Denmark’s Danske Bank has implemented Algo Collateral from Toronto-based risk management software provider, Algorithmics, to support the expansion of its margining activities and collateralised counterparties.
Summit to offer multi-asset exotics pricing
New York-based trading technology provider Summit Systems, a unit of the UK’s Misys, has developed a multi-asset derivatives pricing capability due for roll-out with version 3.5 of its flagship front-end trading system within the next two to three months.
Fra-Cross to use SwapsWire for electronic confirmation
Fra-Cross, the matching service developed by inter-dealer broker Icap for crossing forward rate agreements (FRAs) used to manage reset risk, is to use SwapsWire to confirm electronically matched trades.
Tremont Advisers pushes new fund of hedge funds benchmark
Tremont Advisers, a fund of hedge funds with more than $8 billion in assets under management, based in Rye, New York, is proposing a new fund-of-hedge-fund performance benchmark comprising a blend of 70% three-month Libor and 30% S&P 500. If it catches…
RBS selects Algo credit to manage global wholesale credit limits
Royal Bank of Scotland (RBS) has selected Algo Credit to manage its global limits and exposures management from Algorithmics, the Toronto-based provider of risk management software.
ABN Amro adds to global currency options team in Asia
Dutch bank ABN Amro has hired Clifford Bayne as an exotic options specialist in Asia, in a move to boost the bank's global currency options capabilities within its recently established financial markets business.
Debreu sets up new Los Angeles derivatives office for SG
Stanislas Debreu, formerly head of global equity derivatives sales and marketing at SG in Paris, has founded a new equity derivatives sales office in Los Angeles for the French bank. Debreu took up his new role as SG's head of West Coast-based equity…
SunGard upgrades Monis Convertibles with new credit hedging tools
SunGard Trading and Risk Systems, an operating unit of SunGard, has added a credit hedging module to version 5.0 of Monis' Convertibles XL 5.0, the latest version of its spreadsheet-based pricing, analysis and hedging software for convertible bonds and…
Classical volatility estimator may become unreliable, says Deutsche
Increased levels of intra-day volatility in the US interest rate derivatives market could make traditional approaches to estimating volatility unreliable, according to research by Deutsche Bank.
SAS brings in Alexander as risk adviser
US risk analytics provider SAS has recruited British author and financial engineering academic Carol Alexander as a risk management adviser.
QIS3 results released by Basel Committee
A paper outlining the results of the third quantitative impact study (QIS3) was released by the Basel Committee on Banking Supervision yesterday.
Bank One set to launch options desk in London
Bank One has hired two senior dealers to set up a new foreign exchange options desk in London, a senior official at the Chicago-based bank told RiskNews' sister publication, FX Week .
BoA links major and emerging forex forwards in risk strategy drive
Bank of America (BoA) has merged its forwards and emerging markets forwards businesses in London, and hired three forwards traders globally as part of a continued drive to move to a strategic risk management model, a senior official told RiskNews' sister…
Survey sees rise in hedge fund investing by US institutions
Of over 1,000 US institutional investors surveyed by Greenwich Associates, a financial research and consulting firm based in Greenwich, Connecticut, one-third of the 203 funds with hedge fund stakes plan to invest more money in 2003, and not one fund…
Reveleus launches Basel II package
Boston-based financial analytics company, Reveleus, has launched a Basel II software product suite for enterprise risk management and compliance with the forthcoming capital regulations as specified by the Bank for International Settlements (BIS).
Sony hit by poor earnings reports and downgrade threat
Credit default swap spreads on Japan’s largest consumer and electronics group, Sony, widened further this week, following weaker than expected earnings results and the potential threat of a downgrade by Moody’s Investor Services, say traders.
FMCL launches Asian oil forward curve data
The Forward Market Curve Limited (FMCL) has launched the first module of its ForwardMarketCurve (FMC) product – an all-broker methodology for achieving robust and accurate price discovery in forward commodity markets.
Leading dealers sign up to new CDS matching service
JP Morgan Chase, Deutsche Bank and Morgan Stanley have signed up for a new global credit default swap (CDS) matching service that the Depository Trust & Clearing Corporation (DTCC) plans to launch in June.
Deutsche Bank adds to mortgages team
In the latest of a raft of hires to its mortgages team, Deutsche Bank has hired John Critelli as a senior structurer in its agency collateralised mortgage obligation (CMO) group.
Discovery becomes first US asset management client for Trema
Discovery Capital Management, a multi-asset-class emerging market hedge fund with $900 million in assets under management, has introduced Trema Finance Kit, a straight-through processing portfolio analysis, accounting and reporting tool.
TriOptima terminates €420 billion in rate swaps
The delayed first run of TriOptima’s swap tear-up service, TriReduce, eliminated 7,880 euro-denominated interest rate swaps with a notional value of €420 billion – or about a fifth of the notional value of the credit derivatives market.
Standard Chartered hires interest rate derivatives trader
Standard Chartered Bank has hired Cleber Tinidade as a senior interest rate derivatives trader in its London office.
Trac-x gains market maker support
BNP Paribas has signed up to make markets in the Trac-x Europe credit default swaps index initiative established by JP Morgan Chase and Morgan Stanley. Other major dealers are also looking into offering market making services in Trac-x products, with…
Political uncertainty feeds US rates volatility
Despite the end of large scale hostilities in Iraq, continuing political uncertainty in the wake of the war is likely to cause increased intra-day US interest rates volatility in the short term, according to research by Deutsche Bank.