Mass collection of customer information could cause problems
Insurance against cyber risk is a growing market, but doubts remain over its effectiveness
Operational risk loss data – April 2014
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CCP exposures not in scope of new regime, but clearing members are
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Supervisors have given large banks three years for root-and-branch reform
Regulators want more consistency - and some are questioning AMA
This paper proposes the use of outlier detection methods from robust statistics and copula goodness-of-fit tests to identify components of mixture copulas. We first consider simulated data samples in which...
A procedure is developed to test whether conditional variances are constant over time in the context of generalized autoregressive conditional heteroscedasticity (GARCH) models with possible GARCH-in-mean...
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.