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Risk Management

02:26 PM
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PRMIA taps Columbia University Professor to head committee; SciComp teams with TAF to speed up derivatives pricing models; iBoxx inks deal with RiskMetrics to develop U.S. dollar fixed-income prices and indices.

Paul Glasserman has joined the Professional Risk Managers' International Association (PRMIA) Education and Standards Committee. He will join members from four continents, leading academicians and practitioners, who will develop the Professional Risk Manager certification program, the PRMIA Standards of Best Practice, Conduct and Ethics and the PRMIA Statements of Standards. Glasserman is the Jack Anderson Professor of Business and the Chairman of the Decision, Risk, and Operations Division, Columbia University Graduate School of Business in New York. His research focuses on risk management, pricing and hedging of derivatives securities, Monte Carlo methods and applied probability.

SciComp formed a strategic alliance with TAF Corporation, a provider of high-performance distributed technology. SciComp's solutions for rapidly developing and implementing derivatives pricing models will now include TAF's Paragon-enabled product to accelerate the speed of calculations. Paragon is designed for intra-day trading, reporting and portfolio evaluation. Investment banks use SciComp's products to decrease the turnaround time for derivatives model development.

iBoxx, a joint venture between Deutsche Bourse and seven investment banks, has signed an agreement with RiskMetrics to create and publish a family of U.S. dollar fixed-income prices and indices. The new indices will cover the U.S. investment-grade market and will provide selected multiple-contributor pricing, third-party quality controls, neutrality and open access for all fixed income market participants. They will complement iBoxx's established European indices. The consolidated bond prices, the new indices and a range of analytical prices will be released to the market under the iBoxx brand in the first quarter of 2004.

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