In this Class Notes article, Charles Smithson considers some of the lessons learned from the recent credit crisis. In particular, he reflects on the difficulties faced by many institutions in valuing illiquid structured finance instruments, and makes...
The Basel Committee on Banking Supervision today released revised proposals for the charging of capital for incremental risk in the trading book. The new rules, developed in conjunction with the International Organisation of Securities Commissions, are...
Brett Humphreys discusses the many decisions associated with the calculation of a Monte Carlo value-at-risk.
Now in its 12th year, the Energy Risk USA conference in Houston once again brought together key figures in the energy industry to debate the hottest topics. The Energy Risk team reports
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Innovative software solutions for credit strategies are a challenge. IT companies offer a plethora of solutions for an environment that lacks standardisation and needs a high degree of automation. Jamie Wynn-Williams reports