First UK Libor trial highlights the length of fraud investigations
New stress-testing method offers a break from decades-old traditio
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Banks, clearing houses and regulators all divided on question of standardised tests
Industry body regularly heard "everybody else is doing it, but we are not"
Regulators will also ban last look without intent to trade
This paper examines the performance of MM, ML and OLS estimators through Monte Carlo experiments for various sample sizes and correlation values when the true data is from non-Gaussian processes.
Chartis focuses on risk management systems and practices
Trade association didn't have power to censure rule breakers
Losses illustrate scale of reputational exposure
Systemically important label is "our biggest concern", says Kandarian
Banks used Libor post-crisis to boost their perceived strength
This paper looks at forward and spot market-price convergence in the competitive Texas electricity market in the presence of large-scale wind generation.
Leverage ratio concerns weigh on international dealers
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This paper shows how to handle the problem of trend detection in the context of trend-following trading strategies, when the data is potentially erroneous. The questions raised in this paper are imp...
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.