Market risk
Servicing the e-industry
Investing in IT infrastructure development is essential in today’s often fractured environment of rival software languages and specific trading needs. Clive Davidson discovers what is on offer to bring these disparate elements together
Hedge fund risk and VAR uncertainty
External transparency of the risk of hedge funds continues to be a difficult issue. But even internally, traditional risk measures can fail to portray the full implication of highly leveraged positions. David Rowe argues that the parameter sensitivity of…
Fixed or floating?
Corporate debt
Filling the inflation gap
Index-linked securities
Marrying portfolios and PCA
Principal components analysis
A long way from success
Electronic trading
Pinning down portfolio risk
Fixed-income modelling
In pursuit of returns
Institutional investors
Swap spreads uncovered
Sponsor`s statement
Convexity hedging and its impact on US swap spreads
Sponsor`s statement
Slowly but surely
Michael Goldman's steady approach towards his AllWeather Fund has ensured consistent returns
Loss survey supports arguments against capital charges, say fund managers
London - The results of a survey by global banking regulators of banks’ operational loss experience support arguments against using capital charges as the main protection against operational losses in fund management and broker activities. This is the…
Awake at the wheel
While the markets worried that Dynegy could follow Enron into the abyss, Glenn Labhart’s risk management team helped to keep the trading firm out of trouble.
Technical tools of the trade
Philippe Sadock of BBSP discusses how technical analysis can add value to hedge fund managers
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.
Software survey 2002 |
Some online risk management products failed to live up to expectations last year, but software vendors forge ahead, developing products that support fast-growing markets such as credit derivatives and CDOs, and tools to help banks meet Basel II…
Dealers' VAR increases during 2001, says BofE report
Average value-at-risk (VAR) levels among leading dealers has increased over 2001, but despite increased vol across equity and rates markets post-September 11, large trading losses appear to have been avoided, according to the Bank of England’s Financial…
NY Fed notes high variations in stress testing across institutions
The magnitude of shocks used in stress testing by financial institutions varies substantially, the Federal Reserve Bank of New York (NY Fed) has said in a paper.
SAP makes play for risk territory
German software giant SAP is making a firm move into the risk management industry with the further development of its range of industry solutions. The Waldorf-based firm has already developed credit and market risk components for the financial services…