Articles by Mark Pengelly
Absolutely fabulous
A readiness to adapt to changed market circumstances has generated an impressive track record for Cape Town-based Alpha Macro Managers’ Absolute Alpha Fund, helping it avoid the worst of last year’s market upset. By Mark Pengelly
Stung by BEE
Black economic empowerment has been a big source of profits for South African banks in recent years. But market turmoil means many deals are underwater, and some market participants have likened the situation to the US subprime mortgage crisis. Mark…
Regulating speculation
The role of speculation, the likely introduction of position limits and financial regulatory reform has dominated the agenda of the US Commodity Futures Trading Commission in recent months. Chairman Gary Gensler speaks to Mark Pengelly in an exclusive…
Warranting approval?
The US Treasury has come under fire for allowing banks to repurchase warrants held under its Troubled Asset Relief Program at a discount. Is the criticism justified? And what effect is an auction of JP Morgan's warrants likely to have? Mark Pengelly…
Opening cards
Unprecedented losses on credit card loans are haunting banks and could cause pain for investors in credit card asset-backed securities (ABSs). But despite this, dealers say government support has rehabilitated the market for credit card ABSs. Mark…
CDPCs: Closed for business
Credit derivatives product companies, the specialised financial insurers who sold protection to structured credit counterparties, have seen the bottom fall out of their market with the demise of the structured products asset class. Some CDPCs, like…
Higher ground
Plans are afoot among global regulators to impose tougher regulatory requirements on large and systemically important firms, including higher capital charges. Will they succeed in curtailing systemic risk? Mark Pengelly investigates
Remake/remodel
The credit downturn has coupled with unprecedented fear over counterparty risk to stymie opportunities for credit derivatives product companies. Some market participants are investigating restructuring, but is there a way forward? By Mark Pengelly
The bank capital burden
Keenly awaited Basel II trading book rules were due to be decided upon as Risk went to press. Market participants worry the measures could retard the development of risk models and even kill off whole business lines Mark Pengelly reports
Carry in favour?
Long popular among hedge funds, the financial crisis battered the carry trade towards the end of 2008. But despite massive losses stemming from the trade, there is evidence market participants are putting it on again. By Mark Pengelly
Pressure points
Regulators released the results of US bank stress tests last month, forcing 10 banks to raise a collective $74.6 billion in additional capital. But can market participants take any real comfort from the results? Mark Pengelly finds out
Net benefit
Meant to minimise counterparty risk, the idea of clearing for credit derivatives has been riddled with questions from the outset. But new research suggests the plans might actually increase counterparty exposures. Mark Pengelly investigates
Out of the comfort zone
US banking supervisors will complete stress tests early this month to determine if the country's largest banks need to hold more capital to withstand a worsening in economic conditions. But industry practitioners raise concerns about the effectiveness of…
An aversion to variance
As volatility spiked in late 2008, variance swaps contributed to huge bank losses, particularly in single stocks. Some dealers have now stopped quoting single-stock variance swaps, while activity in the broader market has been scaled back. Mark Pengelly…