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"RiskNews Update" <listadmin@riskwaters.com> on 04/27/2001 11:57:36 AM
To: List Member <vkamins@enron.com>
cc:  
Subject: RiskNews - RiskNews Update - 27/04/2001


RiskNews Update - http://www.RiskNews.net

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RiskNews Update - week ending 27/4/2001
http://www.risknews.net
News for derivatives and risk management professionals
===================================================================

Dear Subscriber,

Welcome to RiskNews Update!

A week full of news for the risk management and derivatives professions
culminated in the RiskNews exclusive that World Bank treasurer and chief
investment officer Afsaneh Mashayekhi Beschloss has stepped down to become
a partner of Carlyle Group, the Washington-based private equity investor.
Beschloss oversaw a $48 billion investment portfolio at the World Bank, as
well as its $12 billion pension fund. A successor to Beschloss, who leaves
in May, has yet to be named.

The BIS, which issued a number of reports this week, found that financial
firms using one-day value-at-risk (VAR) models could be seriously
underestimating their exposure to market risk. The BIS said
liquidity-adjusted VAR models, which estimate risk using holding periods
determined by the length of time that would be required to unwind
positions, produce, on average, five times higher estimates of risk than
standard VAR.

In the operational risk world, two of the leading players PwC and NetRisk
have tied their resources to create a joint initiative called OpVantage
that will be headed by Dan Mudge, a co-founder of NetRisk. It aims to take
advantage of the introduction of an operational risk charge as stipulated
in the Basle II capital accord proposals.

Meanwhile, the value of non-performing loans held by Japanese financial
institutions is _151.1 trillion ($1.25 trillion), representing about 30%
of gross domestic product and 28% of total loans, according to the latest
figures released by the Democratic Party of Japan

On the technology front, GFInet's online FX options broking system is
likely to be postponed until May, due to delays in connecting clients to
the system, the firm said; while BNP Paribas and Commonwealth Bank
invested in BondsInAsia and asiabondportal.com, respectively.

Christopher Jeffery
Editor, RiskNews

Tel: 44 (0)20 7484 9880
E-mail:cjeffery@riskwaters.com

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RiskNews Update - 27/4/01

Headlines/Technology and Exchanges/People/Events

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Headlines - 27/4/2001
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27 April - Financial firms using one-day value-at-risk (VAR) models could
be taking account of just 20% of their exposure to market risk, according
to research carried out by a group of international regulators

27 April - Germany's new national debt agency, founded last September,
will stage its capital markets debut in early June when it takes on the
German finance ministry's debt management activities. Initially, the
Frankfurt-based Bundesrepublik Deutschland Finanzagentur will deal
primarily in money-market instruments - the finance ministry's main tools

27 April - The RISConsulting Group is preparing to roll out in the third
quarter a Web-based aircraft pricing facility, which the Boston risk
management company believes could trigger the creation of a new
derivatives market

27 April - ABN Amro Futures has created a new management structure for its
combined European operations, following the integration of its offices in
London and Paris

26 April - Weather Risk Advisory, the Cambridge, UK-based weather
derivatives software and consulting service, has launched its new weather
derivatives pricing tool, WeatherValue

26 April - UK regulator the Financial Services Authority (FSA) has
launched a review of its best execution rules. This could lead to policy
changes designed to ensure firms obtain the best price for customers when
buying or selling financial contracts, including derivatives

25 April - Global professional services firm PricewaterhouseCoopers has
teamed up with risk analytic provider NetRisk to offer what the firms hope
will become the pre-eminent third-party operational risk management
software provider to financial institutions

25 April - The Bank for International Settlements has published the
results of its first global survey on stress testing at major financial
institutions, reflecting the efforts of regulators to learn more about the
role of stress testing in risk management

25 April - Bear Hunter Specialists, a joint venture between US investment
bank Bear Stearns and Hunter Partners, has completed its purchase of the
specialist rights of Wagner Stott Mercator

24 April - There is still a significant lack of public disclosure from
banks participating in the derivatives markets, said the Bank for
International Settlements (BIS) in a new report conducted on behalf of the
Basel Committee on Banking Supervision

24 April - The value of non-performing loans held by Japanese financial
institutions is _151.1 trillion ($1.25 trillion), representing about 30%
of gross domestic product and 28% of total loans, according to the latest
figures released by the Democratic Party of Japan

23 April - Sovereign Bancorp, the parent company of Sovereign Bank, has
created a new finance function called the office of the chief financial
officer (OCFO) that will be led by James Hogan, who becomes chief
financial officer

23 April - GFInet's online FX options broking system is likely to be
postponed until May, due to delays in connecting clients to the system,
the firm said

To read more now, click http://www.risknews.net

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===================================================================
Technology and Exchanges - 27/4/2001
===================================================================

27 April - The US-based Options Industry Council, a non-profit
organisation set up to provide investor education about equity options,
and the Australian Stock Exchange, have formed an alliance to share
educational resources and options industry research

27 April - Tsterreichische Volksbanken, the central Austrian savings bank
based in Vienna, has chosen New York-based Summit Systems' STP Operations
software to replace its back-office system

26 April - Commodity market maker Chisholm is to implement Triple Point
Technology's Tempest 2000 enterprise-wide commodity trading software

26 April - The Singapore Exchange is soon to launch a futures contract
based on Singapore government securities bonds with a maturity of five
years, according to a report in a Singapore business daily

26 April - eSpeed, the New York-based developer of electronic
marketplaces, has purchased a patent for the electronic trading of futures
products. eSpeed operates the Cantor Exchange, a joint venture with the
New York Board of Trade, and said that its purchase of the Wagner patent
from Electronic Trading Systems Corporation will complement its existing
patent portfolio

26 April - Commonwealth Bank of Australia has made a strategic equity
investment in buy-side, pan-Asian online fixed-income trading platform
asiabondportal.com. The move closely follows an equity investment by BNP
Paribas in competing platform BondsInAsia, made on Monday this week

25 April - Swiss bank Banque Cantonale Vaudoise has selected Front Capital
Systems to provide software infrastructure to support the bank's equity
and fixed-income trading business

24 April - SunGard's Trading and Risk Systems unit has opened an office in
Seoul, South Korea, to help support three local banking clients

24 April - Derivatives contracts listed on the Singapore Exchange's (SGX)
electronic trading system SGX ETS can now be traded via electronic data
provider Bloomberg's terminals, the two organisations have announced

24 April - US banking group First Union has implemented DataSynapse's
WebProc software to enhance trading and straight-through processing in
fixed-income derivatives

23 April - French bank BNP Paribas has become the latest shareholder in
BondsInAsia, the regional fixed income-trading platform set to go live
later this year

To read more now, click http://www.risknews.net

*******************************************************************
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Selected features from the latest April issue are now also available to
view at http://www.telecomscapacity.com

===================================================================
People - 27/4/2001
===================================================================

27 April - General Re Securities, the financial risk management products
dealer recently bought out by a team of former investment bankers,
including former JP Morgan chief financial officer Peter Hancock, has
unveiled a second round of new hires following its extensive marketing
additions earlier this month

27 April - Dan Eudy has been made president of Industrial Risk Insurers,
the Connecticut-based property insurance arm of Employers Reinsurance
Corporation, a GE company, while Ken Brock has been appointed head of GE
Global Asset Protection (SM) services group

26 April - Robert LeBlanc, a former managing director in credit risk
management at JP Morgan Chase, has joined the JP Morgan executive exodus
by leaving to become global head of portfolio management at Dresdner
Kleinwort Wasserstein

25 April - Commerzbank Securities has appointed three analysts to its
expanding credit research team, which means that eight credit analysts
have joined Commerzbank Securities since September 2000, out of global
team of ten

25 April - Electronic foreign exchange trading platform FXall has
appointed Jack Lemonik as its chief technology officer. This latest
addition to the management team comes as the firm claims to be in the last
stages of testing before the start of trading

24 April - Online derivatives services provider Cygnifi, a spin-off of US
investment bank JP Morgan prior to its merger with Chase Manhattan, has
hired Morgan Burkett as its chief legal officer and legal counsel

23 April - Lehman Brothers' expansion in FX derivatives and emerging
markets has been dealt a blow as Matteus Desselberger, who was hired to
manage the new group, decided to return to former employer Deutsche Bank

To read more now, click http://www.risknews.net

********************************************************************
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==================================================================
Events - 27/4/2001
===================================================================

Risk 2001 USA, Boston 12 & 13 June 2001 (

Hear the latest on the New Basel Accord at Risk 2001 USA in Boston, 12 &
13 June, 2001 - Risk magazine's biggest multi-stream event of the year!
Highlights include an interactive panel debate on the future of risk
management, keynotes from professor Robert Shiller, Yale University and
Erwin Zimmermann, Swiss Re New Markets. For a full listing of topics and
speakers please visit
http://www.risk-conferences.com/risk2001usa?caller=risknews_update

EPRM 2001 Houston, 14 & 15 May 2001 (

Book now for EPRM 2001 Houston in May, 14 & 15 - Energy & Power Risk
Management's 5th Annual Flagship Congress.
Delegates will benefit from in-depth presentations and interactive
discussions addressing key regulatory developments, modelling techniques
and risk management approaches that are shaping the energy industry.
http://www.eprm-conferences.com/eprm2001us?caller=risknews_update

CALL FOR PAPERS!  'MATHS WEEK 2001' (
New York, 12 - 16 November 2001
London, 26 - 30 November 2001
If you have a paper you would like to submit for inclusion in 'MATHS WEEK
2001', please contact Victoria Kerridge on +44 (0) 20 7484 0975 or by
email at mailto:vkerridge@riskwaters.com
(Deadline for submission is 1 June 2001)

For further information please visit
http://www.risk-conferences.com/mathsweek

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All event details can be found at either http://www.risk-conferences.com
or http://www.risktraining.com


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