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Pengelly, Mark
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Risk : managing risk in the world's financial markets
109
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OLC EcoSci
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CREDIT RISK - SPECIAL REPORT - Credit funds - Spreading Credaris - Credaris Portfolio Management originally launched as an investment vehicle to manage HSH Nordbank's structured cr...
Pengelly, Mark
- In:
Risk : managing risk in the world's financial markets
19
(
2006
)
11
,
pp. 80-81
Persistent link: https://www.econbiz.de/10007384634
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2
When hedge funds attack - The financial crisis has combined with catastrophic performances among hedge funds to decimate the fund derivatives industry, staunching new deal flow and...
Pengelly, Mark
- In:
Risk : managing risk in the world's financial markets
22
(
2009
)
2
,
pp. 20-24
Persistent link: https://www.econbiz.de/10008213189
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3
Variance swaps - 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 s...
Pengelly, Mark
- In:
Risk : managing risk in the world's financial markets
22
(
2009
)
5
,
pp. 63-65
Persistent link: https://www.econbiz.de/10008257110
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4
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 wo...
Pengelly, Mark
- In:
Risk : managing risk in the world's financial markets
22
(
2009
)
5
,
pp. 20-24
Persistent link: https://www.econbiz.de/10008257122
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5
CFXOs - Death by association - The application of credit technology to diverse underlyings led to the birth of collateralised foreign exchange obligations in 2006. But despite bein...
Pengelly, Mark
- In:
Risk : managing risk in the world's financial markets
21
(
2008
)
5
,
pp. 68-69
Persistent link: https://www.econbiz.de/10008261279
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6
Credit models - Tails of the unexpected - Credit models have been criticised following their breakdown in the face of market turbulence. Could a new breed of models incorporating u...
Pengelly, Mark
- In:
Risk : managing risk in the world's financial markets
21
(
2008
)
5
,
pp. 24-27
Persistent link: https://www.econbiz.de/10008261290
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7
Clearing - 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...
Pengelly, Mark
- In:
Risk : managing risk in the world's financial markets
22
(
2009
)
6
,
pp. 48-51
Persistent link: https://www.econbiz.de/10008265106
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8
Stress tests - 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...
Pengelly, Mark
- In:
Risk : managing risk in the world's financial markets
22
(
2009
)
6
,
pp. 22-28
Persistent link: https://www.econbiz.de/10008265111
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9
Profile - Protection policies - Swiss Re has been punished for its proximity to financial markets recently, taking sizeable mark-to-market losses on its credit default swap portfol...
Pengelly, Mark
- In:
Risk : managing risk in the world's financial markets
21
(
2008
)
11
,
pp. 50-51
Persistent link: https://www.econbiz.de/10008148079
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10
Rocked by counterparty risk - The demise of Lehman Brothers has triggered fresh concerns about counterparty risk, creating a wave of novations and forcing dealers to think harder a...
Pengelly, Mark
- In:
Risk : managing risk in the world's financial markets
21
(
2008
)
11
,
pp. 20-25
Persistent link: https://www.econbiz.de/10008148087
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