Value-at-risk (VAR)
Bloating CCP default funds. New margin models. Are the two linked?
Dealers grumble that greater guaranty fund payments could undermine the ‘defaulter pays’ principle of clearing
Basel Committee tweaks counterparty risk rules
Basel Committee changes CVA methodology and releases consultation paper on CCP default fund charges
SunGard targets transparency
Front Arena trading system adds credit limit checks
VAR exceptions rise in third quarter
NEW YORK & ZURICH - Volatility in financial markets led investment banks to far exceed thresholds for trading losses in the third quarter, casting doubt on their risk modelling.
Weighing up the alternatives
Jeffrey Lins , Executive Director of Quantitative Analysis at Saxo Bank in Copenhagen, evaluates the pitfalls of using maximum drawdown-based performance measures, and points to recent advances that may help to expand opportunities for investment…
Managing exposure to forex volatility
Manuel Deijk in the structured FX team at UBS looks at a selection of quantitative methods applied in the implementation of FX risk management policies
Predicting the unexpected
Extreme value theory is an effective way of predicting the large moves frequently seen in currency markets, says Collin Crownover, global head, investor risk advisory group at Citigroup in New York
Bayer Group's two-year plan pays off
LEVERKUSEN – As the dollar continues its slide versus all major currencies – it has lost 8% of its value against the euro in the past two months and 9% against the Swiss franc – corporates are struggling to readjust their hedging strategies.
NAB options desk "open again"
MELBOURNE – National Australia Bank (NAB) has resumed limited trading in currency options, as an April 30 deadline to amend its shortcomings passed last week.