Index

Citation

Grima, S. and Thalassinos, E.I. (2020), "Index", Gonzi, R.D. and Thalassinos, I.E. (Ed.) Financial Derivatives: A Blessing or a Curse?, Emerald Publishing Limited, Leeds, pp. 227-240. https://doi.org/10.1108/978-1-78973-245-020201008

Publisher

:

Emerald Publishing Limited

Copyright © 2020 Emerald Publishing Limited

---

INDEX

Note: Page numbers followed by “f” indicate figures and “t” indicate tables.

abuse, of derivatives

, 29, 30–31, 59

accumulators. See also derivatives

, 180

Adams, E. S.

, 9, 28

age, decision-making and

, 46, 48

AIB. See Allied Irish Bank (AIB) Group

ALCO. See Asset and Liability Committee (ALCO)

Allfirst Bank. See Allied Irish Bank (AIB) Group

Allianz

, 87, 88, 123, 124t

Allied Irish Bank (AIB) Group

, 65, 79–83, 188

background

, 79

complexity and perception of derivatives

, 110t

culture and environment

, 119t

derivatives safe use

, 89t–120t, 120–121

event

, 80–83

experience and education

, 114t–118t

greed, politics and hubris

, 111t

inappropriate standards

, 93t–98t

internal controls

, 93t–98t

lack of communication

, 107t–108t

lack of knowledge and understanding of business

, 104t–106t

lax regulators and policies

, 102t–103t

segregation of duties between front and back offices

, 90t–92t

structure and environment

, 79–80

supervision and monitoring

, 99t–100t

trading system

, 81

ALM. See Asset and Liability Management (ALM)

Amaranth Advisors LLC

, 183

American Depository Receipts (ADR)

, 175

Andersen, Arthur

, 135t, 152t–155t, 158t

Aracruz Celulose S.A

, 173–174

Arafat, Yasser

, 185

arbitrage trading

, 67, 80–81, 85, 86, 110t, 131

Are Derivatives Financial “Weapons of Mass Destruction”? (Simon)

, 2

asset and liability committee (ALCO)

, 69, 72, 103t, 105t–106t

Asset and Liability Management (ALM)

, 80, 92t, 102t, 106t

assets

, 25, 145t

Allied Irish Bank (AIB) Group

, 79

of Barings Bank PLC

, 66

buying

, 26

currency value of

, 32

Enron Corp.

, 143–144, 149

fake

, 81

non-performing

, 186

selling

, 26

supply and demand

, 28

underlying

, 86

volatile

, 150

Auditing Derivative Strategies (Davidson)

, 11

Austrian Trade Union Federation

, 185

Bachelier, Louis

, 27

Backstrand, K.

, 25

backwardation

, 128, 132–134, 138t

Bains, K.

, 187

Bajtelsmit, V.

, 47

Baker, H.

, 49

Baker-Said, Stephanie

, 18

balance sheets

, 69, 80, 83, 148–150

Bank für Arbeit und Wirtschaft AG. See BAWAG P.S.K

Bank of England

, 66, 73, 77–78, 95t, 102t, 121

Bank of Italy

, 184

Bank of Montreal

, 184

bankruptcy/bankruptcies

Barings Bank PLC

, 66, 75

Enron Corp.

, 80, 141, 144, 148

public companies

, 145t

Banque Nationale de Paris in Japan

, 67

Baring, Peter

, 66, 73

Baring Brothers and Company Limited (BB&Co.)

, 5

Baring Futures (Singapore) (BFS)

, 3, 17

Barings Bank PLC

, 3, 5t, 10, 13t, 56–57, 66–79, 140, 182, 188–189

background

, 66–68

bankruptcy declaration

, 66, 75

clients

, 66

complexity and perception of derivatives

, 110t

derivatives safe use

, 89t–120t

event

, 69–76

experience and education

, 114t–115t

greed, politics and hubris

, 111t–113t

inappropriate standards

, 93t–94t

influencing factors at

, 77–78

internal controls

, 93t–94t

lack of communication

, 107t–109t

lack of knowledge and understanding of business

, 104t

lax regulators and policies

, 102t–103t

lessons learnt/ lessons ignored

, 78–79

loans

, 66

segregation of duties between front and back offices

, 90t

structure and environment

, 68–69

supervision and monitoring

, 99t

Baring Securities

, 67–68

Barings Investment Bank (BIB)

, 68

Barreto, E.

, 173

Barth, J. R.

, 3

Bartram, B.

, 17

Barua, A.

, 52

Basel Accords

, 53

Basel Committee

, 24, 42, 75–76

Basel Committee on Banking Supervision (BCBS)

, 25, 53, 57

BAWAG P.S.K

, 185–186

Baxter, Clifford

, 148

BCBS. See Basel Committee on Banking Supervision (BCBS)

Becketti, S.

, 3

Bednorz

, 20

Bellemare

, 46

Bennhold, K.

, 84–85

Benson, Arthur

, 124–125, 135t, 138t

Berkowitz, J.

, 39

Berkshire Hathaway Inc. 2002 Annual Report

, 3

Bernasek, A.

, 47

Bertatut, C.

, 49

Bertocchi

, 40

Bezzina, F.

, 9–11, 21, 122–123, 163, 165t–168t

BFS. See Baring Futures (Singapore) (BFS)

BIB. See Barings Investment Bank (BIB)

Bierbaum, Richard

, 178

Big Bets Gone Bad (Jorion)

, 2, 25

Billington

, 30

BIS. See Bank for International Settlements (BIS)

Black, Fisher

, 8

Blacker, K.

, 42

Black-Scholes formula

, 2, 14t, 16t

Blackwell, Robert D.

, 157t

Blockbuster Incorporated

, 141

Bloomberg

, 173

Blume, M.

, 49

Board of Banking Supervision

, 73, 74, 77–78, 99t, 103t–104t, 108t, 121

Bouton, Daniel

, 90t, 94t

Bowie Bonds (Davies)

, 189

Boyabatli, O.

, 42

Bramble, Frank

, 80

Brenner, R.

, 25

British Bankers’ Association Credit Derivatives Reports

, 40

British Local Authority

, 186

broadband services, Enron Corp.

, 142t, 143f

Browning-Ferris Industries Corporation

, 129

Bruce, Johannes Conradie

, 21

Brunei

, 73

Brunetti, M.

, 47

Buckley, Michael

, 93t

Buffett, Warren

, 3

Bullen, David

, 181

Burke, J. R.

, 183–184

Burton, K.

, 183

Bush, George W.

, 156t–157t

CAD. See capital adequacy directive (CAD)

Cadbury Commission 1992

, 57

Caisse Nationale des Caisses d’Épargne

, 175

Callahan, G.

, 162

Call Turbo Warrants

, 86

Calyon

, 178–179

Calyon Trader Fired for Losses, Says He’s No Rogue (Paulden, Simmons and Risk)

, 17

Canter, M. S.

, 131, 133, 134t, 137t

CAO. See China Aviation Oil (Singapore) Corporation Ltd. (CAO)

capital adequacy directive (CAD)

, 42

capital and collateral requirements, safe use of derivatives

, 62

capital flows

, 2

capital investments

, 149

Capital Requirement Directives (CRD)

, 42, 63

Carmona, Julien

, 175

case studies

financial firms

, 65–123

nonfinancial firms

, 123–162

cash flows

, 26, 43

Castle Energy

, 124–125

Celeste, Richard

, 157t

Central Bank of France

, 87

Centre for the Study of Financial Innovation (CSFI)

, 79

Changi Prison (Singapore)

, 73–74

Chapin, Donald H.

, 57

Charness, G.

, 46–47

Cheney, Dick

, 157t

Chicago Board of Trade

, 2

Chicago Mercantile Exchange (CME)

, 67

China Aviation Oil (Singapore) Corporation Ltd. (CAO)

, 176–177

Chrysler Corporation

, 129

CIBC Wood Gundy

, 20

CIBC World Markets

, 20

Cicutto, Frank

, 181

CITIC Pacific

, 180

Citron, Bob

, 182

City of Philadelphia

, 54

civil status

decision making and

, 47–48

risk tolerance and

, 47–48

Clark, D.

, 101t

Clark, V.

, 123

ClickOptions

, 89

Clyman, D.

, 51

CME. See Chicago Mercantile Exchange (CME)

Cochran, J.

, 3

CODELCO. See Corporación Nacional del Cobre de Chile (CODELCO)

Cohen, L.

, 43

Cohen, M. A.

, 42–43

Combined Code in 1999

, 57

Comcar Industries

, 129

Commodity Exchange of New York

, 178

Commodity Futures Modernization Act

, 157t

Commodity Futures Trading Commission

, 61

conglomerate mergers

, 23

CONTAC

, 74

contango

, 128, 131–134

contingent liabilities

, 149–150

contracts

buyers

, 26

maturity date

, 26

sellers

, 26

convenience yield

, 132, 138t

Cooke Weighted Assets

, 89

Coopers and Lybrand

, 93t

Cordelle, Eric

, 104t–105t

Corporación Nacional del Cobre de Chile (CODELCO)

, 178

corporate derivatives policy, safe use of derivatives

, 54

corporate education, safe use of derivatives

, 53–54

corporate failures

, 13

corporate governance

, 78, 93t, 123, 137t, 140, 161

Metallgesellschaft AG

, 140

corporate services, Enron Corp.

, 142t

Cowan, D.

, 53–54

CRD. See Capital Requirement Directives (CRD)

Creaton, S.

, 78, 90t, 93t, 104t, 111t, 115t

credibility

, 29, 32

Credit Agricole SA

, 178

Credit Crunch

, 11

credit derivatives

, 37–40

Cronin, David

, 79–80, 92t, 108t, 115t, 119t

CSFI. See Centre for the Study of Financial Innovation (CSFI)

Culp, C.

, 129, 130, 136t

Dabhol Power Plan Company (India)

, 143, 157t

Daiwa

, 182

Daiwa Bank

, 3, 5t, 10

Das, S.

, 3

Davidson, B.

, 11, 52

Davies, Linda

, 189

Davila, Juan Pablo

, 178

Davis

, 10

DAX

, 87–88

decision-making. See investment decision making

Delta One

, 85, 85f, 105t, 114t

Demystifying Financial Derivatives (Stulz)

, 2

deregulation

, 2

derivaphobia

, 28

derivative(s)

, 1–22

abuse of

, 29, 30–31, 179

Allied Irish Bank

, 89t–119t

as bad financial instruments

, 3

Baring Bank PLC

, 89t–119t

benefits

, 27–29

challenges

, 172

criticisms

, 23, 28

defined

, 1, 3, 25

as destructive instruments

, 34

development of

, 1

forward delivery positions and

, 133

governing factors

, 13

history

, 1

importance

, 38

losses

, 3, 9, 12–16

manipulation

, 171

misuse

, 9, 11, 13, 16, 18, 21, 29–30, 122–123

notional value of

, 147t

overview

, 1–10

perceived problem

, 10–11

perception

, 3, 17–19, 23, 35, 45–52

pricing methodologies of

, 2

research

, 19–21

safe use. See safe use of derivatives

Société Générale

, 89t–119t

structures

, 11

trading

, 2

use

, 13

derivative contracts

, 2, 9, 28, 147

Derivative Debacles

, 169

Derivatives Chernobyl

, 10

Derivatives Study Centre (DSC)

, 147

Deutsche Bank AG

, 88–89, 123–124, 124t, 134t, 136t, 139t, 184, 185

Ding, Q.

, 42

disruption risk

, 41

District of Columbia General Obligation refunding bond

, 54

Dodd, R.

, 32–33, 147–148

Dodgson, Neil

, 178–179

Dooley, Evan

, 179

Downe, Bill

, 184

Dreber

, 46

Dresdner Bank AG

, 123–124, 124t

Dreyer, J.

, 50

DSC. See Derivatives Study Centre (DSC)

Duffee, G. R.

, 40

Duffie, D.

, 38

Duffy, Luke

, 181

Duncan, David

, 152t

e-business

, 151

economic losses

, 26, 36

The Economics of Money, Banking and Finance (Howells and Bains)

, 187

The Economist

, 29–30

Edington, D.

, 1

education

decision making and

, 48–49

risk tolerance and

, 49

Edward, Michael

, 180–181

Edwards, R. F.

, 131, 133, 134t, 136t–137t

Egan, J.

, 17

EIN. See Enron Intelligent Network (EIN)

Elsner, Helmut

, 185

emerging market bonds

, 37

employment, risk tolerance and

, 50

Enron Corp.

, 13t, 141–162, 189

achievements

, 159

bankruptcy

, 141, 144, 145t

business segments

, 141, 142t

collapse

, 147

complexity and perception of derivatives

, 155t

culture

, 158t

derivatives safe use

, 152t–158t

energy commodities business

, 146

event

, 146–151

experience and education

, 155t

goal

, 146

greed, hubris and desire

, 155t

growth

, 144f

history

, 141

inappropriate standards

, 153t

internal controls

, 153t

lack of communication

, 155t

lack of knowledge and understanding of business

, 154t

lax regulators and policies

, 154t

plan

, 147

politics

, 156t–158t

segregation of duties between front and back offices

, 152t

structure and environment

, 141–146, 143f

supervision

, 153t

worthiness

, 148

Enron Intelligent Network (EIN)

, 141

EnronOnline

, 142–143

Eurex

, 88, 94t

Europe

, 24, 42, 57, 63, 86, 114t, 141, 146

Euroyen

, 68, 72

Evans, Donald L.

, 158t

Evans-Pritchard, A.

, 184

exchange rates

, 24, 28, 32, 34, 36

exchange-traded futures derivatives

, 2

exchange-traded options derivatives

, 2

Ex-Im Bank

, 156t

exotic derivatives

, 1

experience, decision making and

, 49–50

The Fall of the UBS: The Reasons Behind the Decline of the Union Bank of Switzerland (Schütz)

, 177

FASB. See Financial Accounting Standards Board (FASB)

Fastow, Andrew S.

, 149, 152t–153t, 159

Federal-Mogul Corp.

, 145t

Federal Reserve Bank of New York

, 83

Fernández-Laviada, A.

, 57

Ferraris, Alberto

, 181

FIAMAT

, 88, 96t

FIASCO (Partnoy)

, 176

Ficarra, Vince

, 181

Financial Accounting Standards Board (FASB)

, 22

financial firms

, 65–123, 163, 164t

Allied Irish Bank (AIB) Group

, 79–83

Barings Bank PLC

, 66–79

Société Générale (SocGen)

, 84–89

financial innovation

, 39–40

financial instrument

, 1, 3, 9, 22

financial products

, 2

financial risks

, 2, 27, 35

Financial Times

, 186

Finchem, K. J.

, 172

FINOVA Group, Inc.

, 145t

Finucane

, 47

firm failures

, 34–35

firm fixed program

, 126

firm-specific-risks

, 3, 23

First Maryland Bancorp

, 79

Fischhoff, S.

, 49

Fisher, Peter

, 158t

Floettl, Wolfgang

, 185

Flottl, Walter

, 185

Fok

, 51

Folkerts-Landau, David

, 33

foreign exchange derivatives. See also derivative(s)

, 32

Fortune

, 144

Fortune 500

, 20, 34

forward contracts

, 1, 25, 81, 88, 95t, 126–129, 131–132

forward delivery contracts

, 129

forward delivery positions

, 133

forward-delivery program

, 139t

forward-supply contract

, 132

France

, 84, 87

Fraudulent U.S. Bank Derivatives Behind Parmalat’s Insolvency ( Edward)

, 180–181

Freedman, R. D.

, 183–184

French trader under investigation

, 187–188

Froot, K.

, 51

Fusaro, P. C.

, 142

futures contracts

, 2, 26–27, 69, 71–72, 86, 128, 132, 136t, 138t, 143, 146

market price for

, 28

price of

, 28

swaps compared with

, 27

G30. See Global Derivatives Study Group of Thirty (G30)

Gaffney, Chris

, 24

GAO. See General Accounting Office (GAO)

GEA Group Aktiengesellschaft

, 123

Géczy, C.

, 51

GED. See global equity derivatives (GED)

gender, decision making and

, 46–47

General Accounting Office (GAO)

, 26, 34, 56–57, 63

Gephard, Richard A.

, 158t

Germany

, 51, 73, 123–125, 134t

Ghosh, B.

, 78–79, 93t

Gibson Greetings

, 186

Gillan, S. L.

, 148–150

Global Crossing

, 161

Global Derivatives Study Group of Thirty (G30)

, 27, 34, 53–55

global equity derivatives (GED)

, 177

global financial crisis

, 2

Gneezy, U.

, 46–47

Goldberg, M.

, 51

Gonzalez, Henry

, 3, 15t

Gordon, A.

, 51

governance, risk and compliance (GRC)

, 24, 58–59

government intervention, safe use of derivatives

, 58

Gramm, Phil

, 157t

Gramm, Wendy

, 157t

Gray, Gianni

, 181

GRC. See governance, risk and compliance (GRC)

Greenberger, Michael

, 189

Greenspan, Alan

, 58, 158t

Grima, S.

, 9, 10, 11, 21, 122–123, 163, 164t–168t

Group ALCO

, 80

Groupe Caisse d’Epargne

, 175

Hale, David

, 17

Haliassos, M.

, 49

Hamanaka, Yasuo

, 182

Hamilton, S.

, 12, 68–69, 94t, 99t, 107t–108t, 116t

Hammersmith and Fulham

, 186–187

Hammond, J.

, 49

Hancock, Peter

, 25

Hanna, S.

, 47–48

Haslem, J.

, 49

Hawes, Tony

, 72

hedge/hedging

, 26, 39, 77, 86, 125, 127–132, 136, 142, 163

corporate

, 50

defined

, 29

funds

, 183

loans

, 40

operational

, 41–43

options

, 28

risks

, 2

Hedging a Flow of Commodity Deliveries with Futures (Miller and Culp)

, 136t–137t

Hinz

, 47

historical rate rollover

, 83

Hodge, Julian

, 10

Hoffman, D.

, 46

Holy Grail

, 1

Horowitz, C.

, 185

Hounnongandji, Francis

, 93t

Houston Natural Gas

, 141

Howells, P.

, 187

Howton, S.

, 51

Hoyt

, 20

Huchzermeier, A.

, 42–43

Hull, J.

, 1, 3

Hutchison, Tim

, 158t

Hewins

, 20

Iguchi, Toshihide

, 182

ImCone Systems

, 161

Industrial Bank of Japan

, 174–175

inflation

, 25, 28

information-based manipulation. See also manipulation

, 31

ING. See Internationale Nederlanden Groep (ING)

Ingram, D.

, 50

inherent risk

, 33–45

basis risk

, 36

credit risk

, 36–40

economic losses

, 36

factors

, 44–45

legal risk

, 41

liquidity risk

, 36

market risk

, 35–36

operational risk

, 41

price risk

, 36

settlement risk

, 40

solvency risk

, 40–41

Instefjord, N.

, 39–40

intelligent network platform. See Enron Intelligent Network (EIN)

interest rates

, 2, 4t–7t, 20, 147t

Japan

, 71

risk management

, 80

swap

, 33, 54

Internationale Nederlanden Groep (ING)

, 66, 73, 75

international financial fragility

, 3, 17, 23

International Financial Instability and the Financial Derivatives (McClintock)

, 17

International Monetary Fund (IMF)

, 33, 60

International Organisation of Securities Commission (IOSCO)

, 53

International Petroleum Exchange (IPE)

, 131

International Securities Market Association

, 33

International Swap Dealers Association

, 37

International Swaps and Derivatives Association (ISDA)

, 37

Inter North of Omaha, Nebraska

, 141

investment decision making

age

, 48

civil status

, 47–48

education

, 48–49

experience

, 49–50

factors influencing controller

, 51–52

gender

, 46–47

position in the firm

, 50

type of the firm

, 50–51

investment strategy, safe use of derivatives

, 54

IOSCO. See International Organisation of Securities Commission (IOSCO)

ISDA. See International Swaps and Derivatives Association (ISDA)

Italian Bank Italease

, 184

Jalilvand, A.

, 51

Japan

, 71, 74, 75, 77, 174

Japanese Government Bond (JGB)

, 67, 68, 71–72

Jarrow, R. A.

, 38

Jayaraman, N.

, 134t, 136t, 140

JEDI

, 150, 152t

Jett, Joseph

, 183

Jianakoplos, N.

, 47

Jiulin, Chen

, 176–177

Jorion, Philippe

, 3, 25, 166, 169

Josephson, Michael

, 160

J.P. Morgan & Co.

, 34

Joseph

, 20

Kashima Oil

, 174–175, 187

Kaza, G.

, 162

Keating, Susan

, 80, 93t, 104t, 115t

Kenny Boy. See Lay, Kenneth L.

Kerry, Bob

, 156t

Kerviel, Jerome

, 84–89, 85f, 93t–104t, 107t, 111t–114t, 119t, 120, 187

Kidder, Peabody & Co.

, 140, 183–184

Kijima, M.

, 38

Kobe earthquake (Japan)

, 71

Komoribayashi

, 38

Kopper, Michael

, 152t

Kouvelis, P.

, 42

KPMG

, 135t

Kuala Lumpur

, 73

Kuprianov, A.

, 67–68, 70f, 71–72, 75, 121, 125–132, 127f–128f

Kuwait Investment Authority Daimler-Benz

, 123

Lagarde, Christine

, 94t

Lagorce, A.

, 87–88

Lakonishok, J.

, 49

Lamm, R. H.

, 58

Lando, D.

, 38

Lang, Chris

, 173

Laulan, Yves-Marie

, 110t

Lay, Kenneth L.

, 141, 153t, 156t, 158t, 159, 161

Lee, David

, 184

Leeson, Nicholas

, 189

Leeson, Nick

, 5t, 17, 66–69, 71–78, 90t, 93t, 99t, 108t, 112t, 114t, 121–122, 169

Leising, M.

, 183

liability/liabilities

, 26, 66

Allied Irish Bank (AIB) Group

, 83

assets and

, 66

of Barings Bank PLC

, 66

contingent

, 149, 150

currency value of

, 32

Enron Corp.

, 149

Libby, Robert

, 157t

LIBOR

, 186

Lindsey, Lawrence

, 157t

liquidity/liquidation

, 73, 75, 125, 129–131, 133, 136t, 139t, 140, 145, 148

LME. See London Metals Exchange (LME)

Logutenkova, Elena

, 18

London

, 67, 69, 72–75, 87, 94t

London Metals Exchange (LME)

, 178

Long-term Capital Management (LTCM)

, 182–183

losses

, 3, 9, 10–11, 65, 83, 127–128

Barings Bank PLC

, 66, 68, 74

case studies

, 13t

China Aviation Oil (Singapore) Corporation Ltd. (CAO)

, 176

CODELCO

, 178

Energy Group

, 125

Enron Corp.

, 148

foreign exchange

, 173, 174

involving derivatives

, 12–13

Italian Bank Italease

, 184

from liquidation

, 75

notional

, 89

option seller

, 69

Orange County

, 182

Procter & Gamble

, 187

propositions/issues

, 14t–16t

Sadia S.A.

, 175–176

Showa Shell Sekiyu K.K

, 174

speculative

, 150

Sumitomo Corporation

, 182

trading

, 4t–8t, 67, 68, 80

unrealised

, 133, 135t

in volatility

, 68

LTCM. See Long-term Capital Management (LTCM)

Malaysia

, 73

management board

, 123–125, 134t, 136t

management control, safe use of derivatives

, 53

Man Financial. See MF Global

manipulation

, 31–33

defined

, 31

types

, 31

Maounis, Nick

, 183

margin calls

, 69, 72, 86, 93t, 94t, 128, 137t

marital status. See civil status

market capitalization

, 144, 181

market disruption

, 58

market opportunity

, 142

market risk

, 35–36

Markov chain model

, 38

Marshall, C.

, 56, 140

Marston, R. C.

, 20

Matlac, C.

, 84, 103t–104t, 119t

matrix management system

, 68–69, 107t–108t

McCarthy, D.

, 3, 47

McClintock, Brent

, 17, 23

McInish, T.

, 48, 49

Mead Corporation

, 76

Medova, E. A.

, 132, 138t

Metallgesellschaft AG (MG)

, 10, 13t, 123–140, 188

accounting convention

, 134t

accounting principles

, 134t–135t

complexity and perception of derivatives

, 138t

corporate governance

, 140

crisis mismanagement

, 139t

event

, 125–134

experience and education

, 139t

greed, hubris and desire for power

, 138t

inappropriate standards

, 134t–135t

internal controls

, 134t–135t

lack of appropriate supervision

, 135t

lack of communication

, 137t

lack of knowledge and understanding of managers

, 136t–137t

lax regulators and policies

, 135t

ownership structure

, 124t

politics

, 139t

segregation of duties between front and back offices

, 134t

structure and environment

, 123–125

MF Global

, 179

MG Refining and Marketing Inc. (MGRM)

, 123–133, 188

MGRM. See MG Refining and Marketing Inc. (MGRM)

Mian, S.

, 20

Micklethwait, A.

, 13, 68–69, 94t–95t, 99t, 103t, 106t–108t, 111t, 116t

Miller, F.

, 41

Miller, M.

, 129, 130, 136t

Miller, Merton

, 27, 30

Miller, R. M.

, 142

Miller, J.

, 21

Minton

, 20

60 Minutes (CBS TV show)

, 3

Mission Green

, 85–87, 89, 107t, 120–121

model risk

, 44

Modigliani, F.

, 41

Munster & Leinster Bank

, 79

Mustier, Jean-Pierre

, 86, 89

myths, derivatives use

, 52

NAB. See National Australia Bank (NAB)

Nance, D.

, 51

National Australia Bank (NAB)

, 181

National Copper Corporation of Chile. See Corporación Nacional del Cobre de Chile (CODELCO)

National Westminster Bank Plc

, 178–179

NatWest Markets (NWM)

, 178

Navasotti, Davide

, 184

New Basel Capital Accord

, 42

New York-Business Wire

, 135t

New York Mercantile Exchange (NYMEX)

, 126, 128–129, 131, 188

New Zealand Stock Exchange

, 20

Nikkei 225

, 66–69, 71, 73

non-financial firms

, 123–163, 164t

Enron Corp.

, 141–162

Metallgesellschaft AG

, 123–140

Norris, Peter

, 72

Northern Natural Gas

, 143–144

Nowotny, Ewald

, 185

Nussbaum, David

, 33

Nance, D.

, 20

Obata, Hachiro

, 174

O’Brien, T. L.

, 39

O’Clery, C.

, 78, 90t, 93t, 104t, 111t, 115t

O’Neill, Paul H.

, 158t

operational risks

, 24, 41–43, 74

option(s)

, 1, 2, 4t–8t

call

, 26, 68–69, 71, 186

contracts

, 25–26, 78, 81, 142

hedge/hedging

, 28

premium

, 69

pricing model

, 27

put

, 26, 33, 69, 71, 105t, 126, 150

scholars

, 27

sellers

, 69, 71

straddles

, 69–71

traders

, 27

Orange County

, 182

orderly market rules, safe use of derivatives

, 62–63

Oregon Corporation

, 141

Osaka Securities Exchange (OSE)

, 67, 68, 94t, 102t

OTC. See over-the-counter (OTC) derivatives

Overseas Private Investment Corporation (OPIC)

, 156t

over-the-counter (OTC) derivatives

, 2, 10, 25–27, 31–32, 35, 37, 53, 122, 126–129, 131, 132, 138t, 147

Pacific Gas and Electric Co.

, 145t

Panic at the Bank (Creaton and O’Clery)

, 78

Papouis, Kyriacos

, 178–179

Partnoy, Frank

, 76, 150–151, 154t, 162, 189

Paulden, Pierre

, 18, 178

People’s Republic of China

, 176

Pierron, A.

, 79

Piga

, 33

Piper, Matt

, 179

Ponzi scheme

, 3, 15t, 181

Portland General Corporation

, 142

Powell, Colin

, 157t

Prentice, R.

, 76, 112t

Prevost, A.

, 20

PRIMIA

, 177

Procter & Gamble

, 10, 76, 187

Promontory Financial Group

, 79–82, 90t–98t, 100t, 102t–103t, 106t, 117t, 119t, 120

Provincial Bank

, 79

Pulp, Inc.

, 173

put options

, 26, 33, 69, 71, 105t, 126, 150

put turbos. See short turbos

Put Turbo Warrants

, 86

Q-Cells

, 87

Racicot, Marc

, 157t

Railton, Tony

, 72–73

Rama, D.

, 52

Ray, Bob

, 80, 92t, 99t, 105t

Reinicke

, 76

Reliance Group Holdings, Inc.

, 145t

Republic New York Corporation

, 3

Reszat, Beate

, 174

retail energy services, Enron Corp.

, 142t

Rice, J. Donald, Jr.

, 54

Richards, Ann

, 156t

Riley, W. B.

, 48

risk(s)

, 33–45

aversions

, 48

basis

, 36

credit

, 37, 45

disruption

, 41

exposure

, 163

financial

, 3

firm-specific

, 3

hedge/hedging

, 2

inherent. See inherent risk

legal

, 41

managers

, 38–39

market

, 35–36

model

, 44

operational

, 24, 41–43

tolerance. See risk tolerance

Risk, Hamish

, 17

risk management

, 2, 18, 19–20, 28–29, 33

corporate

, 41

financial firms

, 164t

foreign exchange trading

, 103t

initiatives

, 53

institutional mechanism of

, 45

interest rate

, 80

interest rates

, 80

internal

, 42

internal auditing and

, 73

Metallgesellscaft AG

, 140

non-financial firms

, 163, 164t

policy

, 54

prioritisation of

, 38

risk exposures

, 40

value-at-risk (VAR)

, 76, 140

risk tolerance

, 46

civil status and

, 47–48

education and

, 48–49

employment and

, 50

of married men

, 47

of married women

, 47

of non-married investors

, 47

of single women

, 47

of unmarried men

, 47

Risk Weighted Assets

, 89

Rivas-Chavez

, 20

Rogue Trader: How I Brought Down Barings Bank and Shook the Financial World (Leeson)

, 74

rogue traders

, 165t, 168t, 169, 181

rogue trading

, 21

Rohatyn, Felix

, 2, 16t

The Role of Structural Factors Underlying Incidences of Extreme Opportunism in Financial Markets (Bruce)

, 21

Rose, L.

, 21

Ross

, 136t, 138t

Roszkowski, M.

, 47–48, 50

Rove, Karl

, 157t

Royal Bank

, 79

Royal Dutch Shell Group

, 174

Royal Exchange in London

, 1

Runkle, D. E.

, 3, 26, 28

Rusnak, John

, 78, 80–83, 90t–92t, 95t–100t, 102t–103t, 105t, 110t–111t, 114t–115t, 119t, 188

Russian Ruble

, 34–35

Sadia S.A

, 175–176

safe use of derivatives. See also derivatives

, 53–63

Allied Irish Bank (AIB) Group

, 89t–120t, 120–121

Barings Bank PLC

, 89t–120t

capital and collateral requirements

, 62

change/improvement needed

, 59–60

corporate derivatives policy, setting of

, 54

corporate education

, 53–54

Enron Corp.

, 152t–158t

governance, risk management, and compliance (GRC)

, 58–59

government intervention

, 58

implementation of investment strategy

, 54–55

internal control

, 55–57

management control

, 53

orderly market rules

, 62–63

perception/myths

, 52

rational choice theory

, 45–52

registration and reporting requirements

, 60–61

Société Générale (SocGen)

, 90t–119t

training

, 59

Sala, Luca

, 181

Saltmarsh, M.

, 175

Samuelson, Paul

, 27

Sao Paolo Exchange

, 175

Sarbanes-Oxley Act 2002 (US)

, 57

Scandal at Union-Owned Bank in Austria Cuts Wide Swath (Horowitz)

, 185

Schapiro, Mary

, 74–75

Schimmelbusch, Heinz

, 124, 125, 134t, 137t, 139t

Schmitz, Ronaldo

, 124, 134t

Scholes, Myron

, 27

Schrand, C.

, 51

Schütz, Dick

, 177

Sears Roebuck

, 10

Securities and Exchange Commission (SEC)

, 141, 148, 183

Sembos, A.

, 132, 138t

Shaw, K.

, 49

Shleifer, A.

, 49–50

short position

, 69, 71–72, 87–88, 127, 176

short put

, 126, 128

short straddle. See also straddle

, 69, 71, 73

short-term forward contracts

, 128

short-term futures contract

, 127

short turbos

, 86

Should We Fear Derivatives? (Stulz)

, 1

Showa Shell

, 174

Showa Shell Sekiyu K.K

, 174–175, 187

Shrikhande, M.

, 134t, 136t, 140

Siems, T.

, 52

Simmons, Jacqueline

, 18

Simon, H.

, 2

Singapore

, 66–69, 72–75, 77–78, 81–82, 99t

Singapore International Monetary Exchange (SIMEX)

, 66–69, 71–76, 93t–94t, 102t, 114t, 121

Skilling, Jeff

, 148

SK Securities

, 34

Slovic, B.

, 49

Smith, C.

, 20

Smithson, C.

, 20

Société Générale (SocGen)

, 84–89, 184, 187–188

background

, 84

complexity and perception of derivatives

, 110t–114t

culture and environment

, 119t

derivatives safe use

, 90t–119t

divisions

, 84

event

, 85–89

experience and education

, 114t

greed, politics and hubris

, 111t–113t

inappropriate standards

, 93t–98t

internal controls

, 93t–98t

lack of communication

, 107t

lack of knowledge and understanding of business

, 104t–105t

lax regulators and policies

, 102t–104t

segregation of duties between front and back offices

, 90t

structure and environment

, 84–85, 85f

supervision and monitoring

, 99t–101t

Société Générale’s enemy within (Pierron)

, 79

soldier-monks. See les moines-soldats

solvency risk

, 40–41

S&P 400

, 20

Special Accountants Report

, 126, 129, 130t

Special Purpose Entities (SPE)

, 148–150

speculation

, 29, 45

spot prices

, 131–133

stack-and-roll hedge

, 127–128, 131, 133

Statistical Abstract of the United States

, 145

Stiglitz, Joseph

, 32

stochastic differential equation

, 38

straddle

, 68–77, 70f, 73, 110t

Strand

, 20

structural approaches (credit risk)

, 38

Stulz, R. M.

, 1, 2, 9

sub-prime crisis

, 87

Sumitomo Corporation

, 182

Sundén

, 47

supervisory board

, 123–124, 133, 134t–137t, 139t

supply-demand coordination risk

, 41

Surette

, 47

Sutter

, 46

swap(s)

, 1, 4t, 25–27, 33

swap contracts

, 34

Swartz, M.

, 152t, 154t, 158t

Swiss Bank Corp

, 177

Switzer, J.

, 51

systemic risk

, 3, 23, 41, 58

Tang, C.

, 51

The Telegraph

, 184

Temple, Nancy

, 152t

Texas Public Utility Commission

, 156t

TFM. See Treasury Funds Management (TFM)

Thiruvadi, S.

, 52

TIFFE. See Tokyo Financial Futures Exchange (TIFFE)

TO. See treasury operations (TO)

Toktay, B. L.

, 42

Tokyo

, 67, 72, 81, 82

Tokyo Financial Futures Exchange (TIFFE)

, 68, 72

Tokyo Stock Exchange (TSE)

, 67, 68

Tonna, Fausto

, 181

Torricelli, C.

, 47

Traders, Guns and Money (Das)

, 3

Triantis, A.

, 41, 43

TSE. See Tokyo Stock Exchange (TSE)

Turbo Warrants

, 85–86

Turnbull, S. M.

, 38

Union Bank of Switzerland (UBS)

, 177

United Kingdom

, 66, 77, 146

United States

, 32, 34, 38, 51, 61, 66, 75, 79, 123

energy market

, 146

Germany and

, 89t

oil business

, 129

virtual capitalism

, 151

Vishny, W.

, 49

volatility

, 25, 27–28, 43, 81, 88, 130–131, 146, 151, 175

Vorstand (management board)

, 123–124

Walls, M.

, 50–51

Wall Street

, 2, 16t, 95t, 159

Wall Street Journal

, 169

warrants

, 85–86

Washington, DC

, 79

The Washington Post

, 189

Watkins, S.

, 152t–154t, 158t

Weber

, 46

Weninger, Günter

, 186

Wessex Water

, 143

Whalen, Chris

, 84

White, Thomas

, 157t

wholesale services, Enron Corp.

, 142t

women

ethics

, 51

investment decisions

, 51–52

risk aversions and

, 51

risk tolerance of married

, 47

risk tolerance of single

, 47

Wood, Patrick H., III

, 156t

WorldCom

, 161–162

Wuang, H.

, 48

Yao, R.

, 47

yield

, 26, 37

Yodoya rice market (Japan)

, 2

Yzaguirre, Max

, 156t

Zagury, Isac

, 173

Zhang

, 46

Zhou, C.

, 40

Zoellick, Robert

, 157t