Riccardo Rebonato
The quants who kicked the hornets’ nest – to champion causality
A small but influential cadre says the multi-trillion-dollar factor investing industry is based on flawed science
Perverse capital
Perverse capital
Revised CVA capital charge does not go far enough, say dealers
Modifications by the Basel Committee are welcomed, but further changes are needed, dealers claim
CVA and the equivalent bond
CVA and the equivalent bond
Basel Committee to rethink CVA capital charge
Regulators might adapt the bond-equivalent approach amid claims the methodology will lead to perverse incentives
Regulators hit back at IIF’s doom-laden predictions of Basel III impact
Regulators believe the IIF has over-estimated the effect of the planned Basel III reforms.
Industry disappointed by lack of clout in CCP standards
Dealers complain a long-awaited draft of standards for derivatives clearing platforms fails to address key issues.
Pushed to the limit
Stress Testing
If it's broke..
Economic capital models
RBS appoints former Dresdner derivatives head
Matteo Mazzocchi, former global head of equity and credit derivatives at Dresdner Kleinwort, has moved to Royal Bank of Scotland (RBS).
Questioning the numbers
Model risk has become a key focus for financial institutions. But how do dealers ensure their models are implemented correctly and that they accurately reflect the risks an institution is running? By Laurence Neville