Ex-BBA head of Libor admits industry body shouldn't have been in charge
First UK Libor trial highlights the length of fraud investigations
New stress-testing method offers a break from decades-old traditio
Operational risk loss data – May 2015
Clearing houses, banks and regulators could all be caught in the wreckage
Banks, clearing houses and regulators all divided on question of standardised tests
Industry body regularly heard "everybody else is doing it, but we are not"
Liquidity ratio also creating extra costs for repo desks
Regulators will also ban last look without intent to trade
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This paper examines the performance of MM, ML and OLS estimators through Monte Carlo experiments for various sample sizes and correlation values when the true data is from non-Gaussian processes.
This paper proposes a methodology to frame risk self-assessment data into suitable prior distributions that can produce posterior distributions from which accurate operational risk measures.
Chartis focuses on risk management systems and practices
Trade association didn't have power to censure rule breakers
Losses illustrate scale of reputational exposure
Systemically important label is "our biggest concern", says Kandarian
Banks used Libor post-crisis to boost their perceived strength
Leverage ratio concerns weigh on international dealers
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Report calls on regulators to fix “structural and regulatory limitations” around collateral
Libor manipulation was standard practice, ex-trader said
Banks must exercise caution as they adapt to changing demands of industry, says Beth Dugan, OCC head of op risk
Numerical valuation of derivatives in high-dimensional settings via partial differential equation expansions
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 are carefully compared in terms of accuracy and run...
Ardia and Meucci introduce a parametric entropy pooling approach to portfolios stress testing