New watchdog a great idea in theory, banks say - but early months have been difficult
This paper deals with error estimators and mesh adaptation for a space-time finite element discretization of the basic Black-Scholes equation. An interesting modern numerical mathematical technique ...
Derivatives market pioneers co-opt bitcoin tech in bid to transform mainstream markets
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Market participants "must ensure they are capable of bearing losses", says SNB vice-chair
New head of Canada's risk institute says risk management benefits from multiple actors
Regulation and tough markets put risk centre-stage, says CRO
Sponsored interview: Software Daten Service (SDS)
Big players should cut local services if information on customers lacking
ABSTRACT This experimental study investigates the behavior of banks in a large-value payment system. More specifically, we look at the reactions of banks to disruptions in the payment system and theway...
ABSTRACT Central counterparties (CCPs) performed extremely well during the recent financial crisis. Clearing through CCPs has since been promoted by legislators around theworld as a way to mitigate risk...
ABSTRACT Nonbanks such as central counterparties (CCPs) are a useful lens through which to see how regulators view the role of the lender of last resort (LOLR). This paper explores the avenues that are...
Abstract This paper studies the predictive power of the time-varying shape of the credit default swap (CDS) term structure to explain changes in future implied and excess implied volatility (implied volatility...
Firms seeking common ground in the modelling of operational risk
Isda AGM: Proposed trading book rules are “nuts”, says Ramambason of BNP Paribas
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.