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February 1997 || Vol.2, No.2

Controlling GTE's Global Risk
Plus: Edgar Peters: Valuing Art & Equities...EMU Must Die

Linking Cash, Futures and OTC Markets
Plus: Dow Jones to Options Investors: Drop Dead...A Futures For Futures?

Regulatory Watch
Long Road Ahead for Investor Risk Controls

Exchange Notes
The Canadian Exchange Malaise

European Notes
Playing High-Yield Russian Roulette

Asian Notes
Betting on the Hong Kong Dollar

FX Volatility: How Low Can It Go?


Finding Gamma: A Path of Less Resistance
Peter J. Zangari outlines an efficient method for incorporating gamma into VAR calculations.

Working Liquidity Into Your VAR
VAR isn't worth much, argues Colin Lawrence, unless you figure liquidity and transaction costs into the equation.

Listed Strategies
Protecting Yourself From a Steeper Yield Curve
The Chicago Board of Trade's Keith Schap explains a more flexible approach to a classic problem.


Repo Comes On Strong!

Not just a boring financing tool, repo is showing up in longer-term derivatives transactions. Expect volumes to increase.
By Margaret Eliott

Fear and Loathing in the Interdealer Swap Market

Even with paper-thin margins and bruising competition, the market continues to grow.
By Simon Boughey & Margaret Eliott

Islands No Longer

'Integrated problem solutions' is the ubiquitous marketing slogan of derivatives dealers. For most, however, it's still the Holy Grail.
By John Thackray

The World According to David DeRosa

Interview by Joe Kolman


February 1997 || Technology Supplement


Philip Brittan's New Empire
Plus: The Education of Al Scarpa

Tech Notes
IBM Goes Visual
Plus: High Tech Hedging...and more

Test Drive
JP Morgan's FourFifteen
If you want a reliable VAR calculation tool...wait for the next version!

Renaissance Tackles Cash Management


Winning the Systems Integration Game
Systems integration orchestrates disparate technologies, data and people across increasingly broad functional and geographic horizons. The music can be sweet or horrid.
By Karen Spinner

New Kids on the Block
The risk management business is alive and well, judging from the number of bright new entrants that make their way into the market each year. Here are six firms that have recently arrived on the derivatives scene.
By Karen Spinner