CCDS Unchained
In October, David Rowe argued that contingent credit default swaps offered only limited potential for active
counterparty credit risk management. The convergence of several factors could change that.
Risk Magazine, December 2007
Accounting rules, risk based pricing and reporting arbitrage
Within virtually all commercial enterprises, there is a relentless tension between short-term earnings and long-term value creation. Left unchecked, this trade-off can be dangerous, given that investment and asset allocation decisions can easily be driven by short-term earnings targets, to the detriment of long-term value. This article considers some of the consequences and possible alternatives.Credit Risk Management Part 3: The RMA Journal, December 2007
Risk Magazine, December 2007
Cutting the Gordian Knot
Basel II remains wedded to incremental extensions to the market risk rules. It is time for a bolder approach in this area, argues David Rowe.
Risk Magazine, November 2007
Credit Modelling Innovations
A number of conceptual innovations have been central to the transformation of credit risk theory and practice over the past 25 years. The most significant of these contributions are reviewed in this article.
Credit Risk Management Part 2: The RMA Journal, November 2007.
Risk Magazine, November 2007
Credit Risk Managements 25 year Transformation
The banking industry has undergone a remarkable transformation in the past 25 years. That transformation has included entry into areas once forbidden to banks by the restrictions of the Glass-Steagall Act. Equally dramatic, however, has been the revolution in how banks fulfill their traditional credit management role. This article will outline the history behind and future of this continuing revolution.
Credit Risk Management Part 1: The RMA Journal, October 2007.
Risk Magazine, October 2007
No Silver bullet
The The emergence of contingent credit default swaps has presented banks with a new way to manage their counterparty credit exposures. However, they have important limitations, argues David Rowe.
Risk Magazine, October 2007
Lagging risk management
The rate of growth in the complexity of new derivatives products is causing a worrisome lag in risk management’s ability to keep pace. As credit derivatives markets endure a period of stress, this lag could have serious consequences, argues David Rowe.
Risk Magazine, September 2007
Is it really alpha?
Hedge funds often characterise their mission as the pursuit of pure alpha. A growing body of research, however, argues that a significant proportion of observed hedge fund returns are really alternative beta. David Rowe considers the implications for the hedge fund industry and for investors
Risk Magazine, August 2007
Risk milestones
Anniversaries inevitably inspire an urge to reminisce. David Rowe lists several important public milestones and one personal milestone in the development of financial risk management
.
Risk Magazine, July 2007
Unthinkably favourable
Imagination in stress testing demands unorthodox thinking, as even seemingly favourable events can have negative consequences. In the case of the oil markets, this means stress testing for a fall, as well as a rise, in oil prices, argues David Rowe.
Risk Magazine, June 2007
A dangerous idea
Encouraging and supporting sound internal risk management has become an important aspect of effective financial regulation. Imposing a regulatory capital charge for stress-test losses would undermine this important objective, argues David Rowe.
Risk Magazine, May 2007
The stress-testing trident
While stress testing is a much discussed topic, an accepted definition of best practice remains elusive. David Rowe proposes a three-pronged approach.
Risk Magazine, March 2007
A gathering storm
US default rates for high-yield bonds have remained surprisingly low over the past three years. Some argue this indicates that the world has changed, but we have heard this story before, argues David Rowe.
Risk Magazine, February 2007
Prescription vs. princinples
Over the past decade, the shift of supervisory practice from prescription towards a principles-based approach has been dramatic. This was a valuable and necessary change, but it has also greatly complicated retaining qualified supervisory staff , argues David Rowe.
Risk Magazine, January 2007