Risk magazine Awards 2009 Volume22/No1
Not wavering, not drowning
Last year saw the collapse of Bear Stearns and Lehman Brothers, unprecedented volatility in the market and capital injections into financial institutions by governments across the globe. Risk magazine recognises those institutions that continued to provide derivatives and risk management expertise to their customers in difficult market conditions.
There was a stage, back in early October, when financial markets were seriously panicked. Lehman Brothers had filed for Chapter 11 bankruptcy protection a few weeks before - the second dealer to collapse in the space of six months. Liquidity in the interbank market had completely dried up amid counterparty credit risk concerns, credit spreads had soared and stock prices on financial institutions tumbled. To top it all, financial markets were experiencing exceptional levels of volatility and correlation. During those few weeks, it looked possible other dealers could follow Lehman and Bear Stearns into the abyss, forcing governments across the globe to step in and inject capital into key institutions.
Few dealers can say they got through the crisis unscathed. Virtually every bank has reported writedowns on subprime mortgage portfolios and exposures to monolines. Many reported losses in equity derivatives, hit hard by surging volatility and correlation and falling dividend expectations. And all were affected by the dry-up in liquidity. Many dealers, realising they held the same positions as their competitors, became reluctant to make markets, even in vanilla products.
It was during this backdrop that Risk had to decide the winners of its annual awards. Unsurprisingly, client feedback was crucial in making our decisions. Some banks stopped streaming prices on their electronic trading platforms during the worst of the crisis, hampered by the complete absence of visibility in the market. Heightened counterparty credit risk also meant many dealers weren't doing business unconditionally. This was angrily criticised by some customers, who accuse the banks of only being there in the good times. Dealers respond by claiming some hedge funds were simply looking to offload counterparty credit risk on to them
THE ROLL OF HONOUR
Derivatives house of the year: JP Morgan
Lifetime achievement award: Robert Jarrow
Interest rate derivatives house of the year: Barclays Capital
Inflation derivatives house of the year: BNP Paribas
Credit derivatives house of the year: JP Morgan
Equity derivatives house of the year: BNP Paribas
Currency derivatives house of the year: Deutsche Bank
Structured products house of the year: BNP Paribas
Hedge fund derivatives house of the year: Deutsche Bank
Commodity and energy derivatives house of the year: Barclays Capital
Islamic derivatives house of the year: Deutsche Bank
Derivatives research house of the year: JP Morgan
Quant of the year: Lorenzo Bergomi
Bank risk manager of the year: JP Morgan
Derivatives law firm of the year: Allen & Overy
Credit portfolio manager of the year: Deutsche Bank
Hedge fund of the year: Brevan Howard Asset Management
Pension fund risk manager of the year: ATP
Insurance risk manager of the year: Scor
Sovereign risk manager of the year: Australian Office of Financial Management
Corporate risk manager of the year: Stena
Derivatives exchange of the year: IntercontinentalExchange
Software product of the year: Algo Real Time Credit Engine, Algorithmics
In-house system of the year: Merlin, Credit Suisse
Industry platform of the year: Markit/Creditex Portfolio Compression Platform.
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