Articles by Mark Pengelly
Stock responses
Exotics
Under scrutiny
Hedge fund regulation
A trick too far
Monolines
Algos to the rescue
Structured products
Sunk by correlation
Equity derivatives dealers faced a grim picture across global markets earlier this year, with steep rises in correlation and volatility together with a slump in dividend expectations decimating exotic books. How have dealers responded? By Mark Pengelly
BIS to modify Basel II rules
The Basel Committee on Banking Supervision is to make changes to the Basel II capital framework in response to the ongoing financial crisis. The modifications are expected to include the upping of Pillar I regulatory capital requirements, as well as the…
Tails of the unexpected
Credit Models
Death by association
CFXOS
Nightmare on North St
Amid countless other subprime-related lawsuits, a showdown is currently taking place between HSH Nordbank and UBS over a stricken collateralised debt obligation, named North Street. The case raises questions about practices employed at banks and across…
Going the wrong way
Counterparty Credit Risk
Treasury-plus
Profile
Offshore insecurity
Securitisation
Second life
Life insurance securitisation