Report calls on regulators to fix “structural and regulatory limitations” around collateral
Banks must exercise caution as they adapt to changing demands of industry, says Beth Dugan, OCC head of op risk
More Risk management articles
This paper presents a new numerical approach to solving high-dimensional partial differential equations that arise in the valuation of exotic derivative securities. The resulting numerical solutions...
Ardia and Meucci introduce a parametric entropy pooling approach to portfolios stress testing
Agency “much more aggressive” in fining firms for reporting errors, say lawyers
First public consultation expected this month in long-running project
Jury also hears of his 2010 dismissal from Citi
This paper presents the set-up of a behavioral credit-scoring model, and estimates such a model using an auto loan data set of one of the largest multinational financial institutions based in France.
The authors propose a generic weighting function based on a nonparametric approach that can be used to weight the different distributions.
Spreading the net wide enough to catch as many data sources as possible is key to tackling emerging risks
Conference hears of conflicting guidance
A scaling methodology to include external data in operational risk calculation is introduced
Court hears of payments promised in exchanged for skewed submissions
Judge backs regulator on key legal questions in allowing suit to proceed
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.