Adjoint algorithmic differentiation is one of the principal innovations in risk management in recent times. Luca Capriotti and Jacky Lee show how this technique can be used to compute real-time risk for...
The internal ratings-based (IRB) approach has been in intensive care for the past year. Now, one of the world’s most senior supervisors wants to pull the plug, but bank risk managers argue that – with...
More Risk management articles
With a considerable backlog of applications, the FCA may be less strict when it comes to authorising fund managers under AIFMD in order to meet today's deadline, one expert says
Regulators are pushing ahead too quickly with their ambitious review of trading book capital rules, making it difficult to assess the impact, warns Niels Kjaer, Nordea's market risk chief. By Cécile Sourbes
After years of debate, a European financial transaction tax in at least some of the EU now looks close to a certainty. Negotiations continue, but there is enough known about key features to allow financial institutions to start implementation planning...
Sanctions imposed this week by the EU and US on named Russian companies could trigger CDSs, but would also make auctions difficult, lawyers are warning
The recent fine against BNP Paribas for sanctions violation has shone a light on the issues non-US banks face in trying to comply with US regulations, says one legal expert
Stephan Wolf, chief technology officer of Interactive Data, will lead the effort to develop a system of legal entity identifiers
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.
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