Narrow view one of many challenges for UK banks
Banks told to 'consider the implications for their business' and report to regulator
This webinar looks at the current state of enterprise stress testing and unveils findings of a new study on Enterprise-level Stress Testing (one of several research papers in Chartis' The Risk Enabled Enterprise ® research program)
More Risk management articles
Eurex and SGX can borrow from their central banks, while rivals have to rely on common-or-garden lenders
Early warning signs can provide vital clues to firms with ‘feet of clay’
Delayed impact of 2008 crash means higher capital demands
Operational risk loss data – February 2014
Nomura CRO on how to meet competing regulatory demands
Hoogervorst says work on classification and measurement "has been done for nothing"
In this paper, we consider the problem of optimal partial hedging for a contingent claim subject to a preset hedging budget constraint. Under some technical assumptions on the hedged loss function and...
We show that the conservative estimate of the value-at-risk (VaR) for the sum of d random losses with given identical marginals and finite mean is equivalent to the corresponding conservative estimate...
Given a finite set of m scenarios, computing a portfolio with the minimum value-at-risk (VaR) is computationally difficult: the portfolio VaR function is nonconvex, nonsmooth and has many local minimums....
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.