"I couldn't have done it on my own" – court hears
No way to provision against US penalties, conference hears
This paper is concerned with stress testing the Vasicek model by extending the correlation structure for nondefault ratings. Two models are proposed.
More Risk management articles
The authors of this paper investigate whether the US and UK gas markets are moving toward integration. As well as looking at the cointegration of the Henry Hub and National Balancing Point indexes, ...
Chair says review will look at regulatory tools for supervision and enforcement
Former trader tried to obscure wash trades
Jury hears chronologies of wash trades between 2008 and 2009
Legal and compliance head says agency has been “very receptive” of industry concerns
The author of this paper performs an analysis on a review of the equity stress parameter for Dutch pension funds.
This paper suggests an approach for assessing IT risk through an incident-based method for monitoring operational IT risk across an extended enterprise based on the ISACA Risk IT framework.
Dealers, customers and platforms welcome FEMR recommendations
Bank's collapse hampered ¥400 billion wash trade
Bank fell short this year on qualitative op risk governance issues
Supervisors would benefit by learning about latest industry techniques
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.