Alexander Campbell
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Articles by Alexander Campbell
Cyber modelling masks scale of potential losses, study finds
Different statistical approaches produce big variations in future loss estimates, says Esma researcher
Common validation techniques for risk proxies found wanting
Research finds two out of three methods for checking index prices as proxies don’t properly gauge tail risk
Mizuho’s CVA bill, top 10 op risks and Giancarlo’s unfinished business
The week on Risk.net, March 9–15, 2019
Study floats idea of breaking up CCP services
Proposal includes explicit public backstop for key functions and private provision of other services
Time running out for Brexit data compliance, Bailey warns
FCA head also highlights shortfall on Mifid trading venue equivalence
Small banks in China carry outsized risk – research
Study shows systemic risk of smaller banks snowballs during stress periods
Modelling interrelated shocks will improve stress tests – research
Call for regulators to ditch standard scenarios for more sensitive approach
CVA study highlights scale and causes of wrong-way risk
Researchers advise including correlations both with rate level and volatility in CVA calculations
VAR restrictions ‘will hit returns’ for sophisticated traders
VAR cap can be even more constraining than a short-selling ban, researchers find
Competing against Sifis ‘leads to higher risks’
But research finds weaker implied sovereign support reduces impact on non-Sifi competitors