Structured products
US swap spread narrowing set to continue
US swap spreads narrowed during the year’s first week of trading. But despite anticipation that the Fed will soon discontinue cutting interest rates, spreads will continue to be tight over the next few months, according to economic research from JP…
Swiss Re signs up Longitude in weather push
Swiss Re signed up with New York-based risk management software firm Longitude today, to help its development of new weather risk management products.
Institutions in Australia and Asia open their doors to hedge funds
A combination of new regulations and a search for returns is opening up the Australasian market
Now, here's the badnews...
In anticipation of Jacob Schmidt's report 'Worst Performing Hedge Funds', Cate Rocchi looks at the market and who are the worst offenders
Understanding sovereign risk
Cate Rocchi discovers why Ashmore Investment is candid about the success of its Russian Debt Portfolio
Innovative CDOs set to lead the way in 2002
Innovatively structured collateralised debt obligations (CDOs) will spur the growth of structured finance products in 2002, according to a report by rating agency Standard & Poor’s (S&P).
RBS launches new sterling-denominated CDO
The Royal Bank of Scotland (RBS) has become the next in a line of major European banks to launch a collateralised debt obligation (CDO) consisting entirely of leveraged loans in the European market. The new fund, named Cairngorm, has a high proportion of…
On a slow road
Many in the energy industry are touting Italy as the next country in Europe to fully open its energy market to competition. But on closer examination, the country has a long way to go if it is to emulate the UK, the Nordic region and Germany. By Robin…
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.
Linear, yet attractive, Contour
Banks’ Potential Future Exposure models are at the core of the advanced EAD (Exposure At Default) approach to capital requirements for credit risk considered in the New Basel Capital Accord. Juan Cárdenas, Emmanuel Fruchard and Jean-François Picron look…
In search of clarity and focus
Greater precision is needed in defining operational risk, but the Basle regulators' latest thoughts are lost in generalities, says Jacques Pézier, in the final article of a three-part series.
Basel shortcomings: Danger lurks on the rocky road to Basel II
The Basel Accord proposals to define operational risk contain many fatal flaws, says Jacques Pézier. He argues that it would be better to focus management time on managing key risks than on developing op risk databases and measurement procedures.
Approach with caution
Indicators of operational risk are not for the faint of heart, nor are they necessarily bearers of good news. But used properly and effectively, they can help businesses identify potential losses before they happen.
FASB: loan commitments must be treated like derivatives
The US Financial Accounting Standards Board (FASB) ruled last month that some unfunded loan commitments made by banks should be treated like derivatives and marked-to-market. The ruling came nearly nine months after Goldman Sachs first proposed the…
Op risk modelling evolves
Operational risk is devilishly difficult to model, but dealers and software vendors are making headway. Automated op risk reporting, profiling and sophisticated operational value-at-risk (VAR) modelling are finally beginning to catch-on in banks.
Emerging markets ramp up
Asset and liability management systems sales continue to be strong in the US and Europe, thanks to Basel II preparations. But it is in the emerging markets that vendors say strong sales growth will come in 2002.
FSA's new rules turn up heat on risk managers
The UK’s Financial Services Authority (FSA) has caused a stir in the upper ranks of London-based investment banks with new rules that effectively force senior executives to accept unlimited liability for risk management errors.
Basel II sets the pace for operational risk reform
Basel II is set to come into play in 2005, bringing a host of opportunities for vendors along with the new framework for banking supervision. Andrew Partridge examines the potential and some of the challenges for the suppliers and users of financial…