Asia Risk - 2009-05-01
Articles in this issue
Urgency and uncertainty
The Basel Committee published further clarification on its proposal for a new incremental risk charge in January. What challenges does this pose from a systems perspective, and how are banks and technology vendors responding? By Clive Davidson
Joining the SABR and Libor models together
Fabio Mercurio and Massimo Morini propose a Libor market model consistent with SABR dynamics and develop approximations that allow for the use of the SABR formula with modified inputs. They verify that the approximations are acceptably precise, imply…
Asia Risk commodity survey 2009
Volatile commodity prices and heightened counterparty credit risk concerns saw dealers and brokers faced with unprecedented challenges during the past year. But some market participants have turned the upheaval to their advantage. Ben Marquand reports
Drastic times
There is a growing consensus that large, global banking groups pose a threat to financial stability. Some have suggested large financial services groups be split up to focus on traditional markets and banking business - but is this the answer? By Duncan…
