We discuss the relative performances of value-at-risk (VaR) models using generalized autoregressive conditional heteroscedasticity (GARCH), Glosten-Jagannathan-Runkle GARCH and integrated GARCH (IGARCH)...
This white paper looks at the heavy impact of regulation on investment managers, the mitigation of outsourcing risk, inefficiencies in corporate actions processing and the growing importance of collateral management.
More Risk management articles
Value-at-risk (VaR) is a common tool applied by market makers to monitor the risk of any trading position. The conventional VaR model assumes a frictionless market, which is seldom the case. The 2008 financial...
This paper analyzes the factors influencing the sovereign credit ratings of the new EU member states along with potential entrants. We model the ratings of the three rating agencies using a range of macroeconomic...
We present the results of a business solution on how to measure credit and counterparty risk, with the main focus on over-the-counter derivatives. Moreover, we use this approach to include the measurement...
Focus needs to be on reacting, not stopping every threat
Keeping track of fraud and money laundering made easier through machine learning
BBA conference describes problems in improving culture
Risk's annual round-up of new software developments
Operational risk loss data – November 2014
Government review calls for bank capital levels in "top quartile"
What impact does the 'revolving door' have on regulatory independence?
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.