CCP stress tests should consider possibility of failed auctions
Sponsored feature: Thomson Reuters
More Risk management articles
Supervisors are “miles” from being able to monitor shadow banking risks, says financial stability head.
Operational risk loss data – March 2015
Bank of England to apply price shocks based on unwind periods
ABSTRACT This paper discusses the importance of operational risk management for the efficiency of Taiwanese banks. We demonstrate that by applying risk managerial strategies banks can improve their performance,...
Julia Philipp recommends targeted defences, data sharing and response planning
ABSTRACT In this paper, we propose a copula-free approach for modeling correlated frequency distributions using an Erlang-based multivariate mixed Poisson distribution.We investigate some of the properties...
Journal of Operational Risk, 10(1); 45-76
Risk managers urged to focus on group dynamics
Advantages include lower costs and capital
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.