Posted on May 16th, 2008 by tom groenfeldt
The Fed is reluctantly thinking that it might consider taking action against asset bubbles in future. Chariman Ben Bernanke still says it is hard to determine a bubble. Really? When tech stocks were trading at 50-100X earnings? When people in booming states like California were buying houses at 5-6X their income? When mortgage brokers were [...]
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Posted on May 16th, 2008 by tom groenfeldt
Philippe Carrel, SVP at Thomson Reuters, has been rounding up bankers, quants and technologists in New York and London to gauge the satisfaction with existing information on structured assets (very low) and create some standards that market participants can agree upon. Everyone knows Black-Scholes has some underlying problems but it provides an accepted way to [...]
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Posted on April 25th, 2008 by fabien buliard
IT professionals will be happy to learn they can now count star (or is it “rogue”?) trader Jerôme Kerviel as one of their colleagues. The French media revealed yesterday that Kerviel had been hired a couple of weeks ago by an IT consulting firm, LCA. The company’s owner, Jean-Raymond Lemaire, told Agence France Presse Kerviel [...]
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Posted on April 21st, 2008 by tom groenfeldt
The Basel Committee has announced a series of steps to help make the banking system more resilient to financial shocks. These include: Enhancing various aspects of the Basel II Framework, including the capital treatment of complex structured credit products, liquidity facilities to support asset-backed commercial paper (ABCP) conduits, and credit exposures held in the trading [...]
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Posted on April 17th, 2008 by tom groenfeldt
Which parts of the FSA’s guidance is a firm expected to follow? That’s what one attorney asked Roseanne Harford, Manager, Strategy and Risk Division – at the FSA during Tuesday’s MiFID Forum in London. The FSA relies on informal guidance which creates the risk of a soup of materials that firms find difficult to navigate, he [...]
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Posted on April 6th, 2008 by tom groenfeldt
US Treasury Secretary Hank Paulson’s proposals are catching a lot of flak from NY Times columnist and Princeton economist Paul Krugman Although he works in Princeton, nearly 200 miles from Washington, Krugman routinely beats the pants off the Washington press corps by reading legislation and budgets, paying attention when the Bush administration gives five [...]
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Posted on March 20th, 2008 by tom groenfeldt
The Letters page in the Financial Times has become quite interesting in recent weeks On 20 March, the president of the CFA Institute, Jeff Diermeier, defended fair value reporting, i.e. mark to market. “Recent market problems stemming from a lack of transparency in subprime lending and securitisations based on such loans have added a new [...]
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Posted on March 18th, 2008 by sherree decovny
While the nation was embroiled in the Spitzer scandal, a fire sale was in the works. JPMorgan Chase bought Bear Stearns for bupkas – $2 a share, to be exact – the latter having been hit big time by the sub-prime debacle and credit crunch. The Federal Reserve provided special financing for the deal, and [...]
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Posted on March 12th, 2008 by tom groenfeldt
When no active market exists, how do you value assets? Reuters is promoting a plan to develop industry consensus pricing for derivatives and complex securities – see my article in Securities Industry News 10 March. Philippe Carrel, EVP and global head of business development at Reuters, calls the service, announced on 28 January, an open [...]
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Posted on March 6th, 2008 by tom groenfeldt
Hard to pick up a financial paper today without seeing some criticism of mark to market. Writing in the FT, Christopher Whalen observes that “A large portion of the crisis of confidence now affecting global markets comes from non-cash losses reported as a result of the adoption of “fair value” accounting rules in the US. [...]
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