Gamma
'Gamma trap' theory features in US Treasury meltdown report
Official post-mortem considers claims that options hedging amplified October 15 move
Piecing together the October 15 puzzle
Huge US Treasury swing was result of hedge fund crowding and gamma hedging
No flash crash: Paulson, Pimco and the US Treasury meltdown
Market’s big beasts played a part in wild and weird October 15 volatility
Euro inflation floors hit three-year low
Traders point to lower volatility, but one big short is also blamed
Fast gammas for Bermudan swaptions
Fast gammas for Bermudan swaptions
Cutting Edge introduction: viva cross-vegas
Viva cross-vegas
Equity derivatives house of the year: JP Morgan
Risk awards 2012
Cutting Edge introduction: requiem for a probabilist
Requiem for a probabilist
RBS launching gamma hedging algo for forex clients
New algorithm is designed to automatically hedge gamma sensitivity of foreign exchange options
Equity derivatives house of the year: Société Générale
Risk awards 2011
Curbing dispersion exposure
Dispersion tactics
A better approach to operational risk aggregation
Professor Carol Alexander proposes an aggregation methodology that takes account of dependencies between op risk losses that have some common risk drivers.
A major improvement
In May, David Rowe wrote that the Basel Committee ‘could do better’ with respect to the inclusion of operational risk in the capital Accord. Here, he says the working paper the committee published in late September outlines a major and valuable…
Is there hope in the advanced measurement approaches?
Basel II is mistaken in assuming a stable relationship between expected and unexpected losses, argues Jacques Pézier in his second article on the Basel Committee’s recent operational risk working paper.
Advanced measurement approaches
The September working paper on operational risk from the Basel Committee on Banking Supervision confirmed that global banking regulators are looking at a range of advanced ways of calculating op risk capital charges instead of a single method.
Data trouble
Regulators insist that they want a capital charge on banks’ operational risks. But the plan rests on the ability of banks to collect data and model the risks involved, and there’s a frightening lack of agreement on how to do that.
Could do better
David Rowe argues that the Basel Committee can provide better incentives for improved operational risk management than those implicit in the draft revision to the capital Accord.
Banks face challenge assessing benefits of Basel II op risk approaches, says Andersen
Calculating the benefit for banks of adopting the more complex methods of arriving at an operational risk capital charge is very challenging because of uncertainties over the factors involved.
Basel discussion document will centre on internal measurement approach
Global banking regulators intend to issue in June or July a special discussion document on operational risk in the context of Basel II, the new capital adequacy accord proposed for large international banks from 2004.
EU anticipates critics in its Op Risk charge proposals
While debates still rumble on over the new Basel capital accord, the European Union Commission's capital adequacy rules are prompting another set of arguments.
Regulators may issue Basel II discussion document in response to banker fears
Global banking regulators are likely to issue an interim discussion document in June or July on their proposals for a new bank capital accord, in a response to banker concerns about the complexity of those plans.