Opinion/Risk management
From VAR to stress testing
Implementation of enterprise-wide VAR models in the 1990s was an important risk management advance, but it's time to rethink some fundamental aspects of how they were designed, argues David Rowe
Credit concerns
Editor's letter
Looking for hidden options
Editor's letter
Aftershocks of the Big Bang
At the end of October, the City of London celebrated the 20th anniversary of the 'Big Bang' – the first big deregulation of the financial services industry in the UK.
Validating EPE
Empirical validation of trading credit exposure simulation models is clearly essential. David Rowe points out, however, that the process must differ significantly from traditional back-tests of VAR models
High yield
Talking point
The EDS dustbin
As the market talks up CDS of ABS and loan CDS as the next big things, StreetCred warns readers not to forget the fate of equity default swaps
Plain English please
Complaints are reaching me about the way in which the US regulators have released the notice of proposed rulemaking (NPR). My sources point out that the advance notice of proposed rulemaking – released way back in those halcyon days of August 2003 – came…
The arrogance of hindsight
Some governments are reportedly becoming more active in using derivatives to manage their debt and funding costs. While arguably quite sensible, public distrust and sensationalist journalism present special dangers, argues David Rowe
Credit derivatives: the next generation
Now that credit default swaps and other credit derivatives are moving into the mainstream of financial trading, a new range of products and structures are being developed using synthetic techniques. Calyon's Loic Fery and Ally Chow review some of these…
Cash-CDS basis
Market graphic
The outlook for Ford
Talking point
Legal Spotlight
US Congress is considering new legislation that could enable CDO issuers to sell greater chunks of their CDOs to pension plan investors. Todd Garvelink and Howard Mulligan explain
An insight into annuities
Review
Awakening giant?
Some circumstances endure long enough to become embedded in the unexamined assumptions of a generation. In the case of the Japanese economy, these assumptions could prove costly, argues David Rowe
