CCP exposures not in scope of new regime, but clearing members are
This panel will discuss ways to allocate resources and minimize potential exposure with a set of analytical tools to assess, simulate and quantify operational risk capital to improve business efficiency and performance across the enterprise.
More Risk management articles
Interest rate swap with €79 million notional is nearly half a billion euros underwater
Watch discussions and speakers from our North America conference
Supervisors have given large banks three years for root-and-branch reform
Regulators want more consistency - and some are questioning AMA
This paper proposes the use of outlier detection methods from robust statistics and copula goodness-of-fit tests to identify components of mixture copulas. We first consider simulated data samples in which...
A procedure is developed to test whether conditional variances are constant over time in the context of generalized autoregressive conditional heteroscedasticity (GARCH) models with possible GARCH-in-mean...
Threats are "people we thought were our friends"
Financial institutions and markets are highly interconnected but only recently has a burgeoning literature started to emerge to map these interconnections and to assess their impact on financial risks...
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.