Credit risk factor models tend to have a narrow focus on the Gaussian case, use copula functions that don’t work well with the martingale methods used in pricing, and can introduce arbitrage. Dari...
This webinar on September 17th looks at the challenges of GRC, key trends, motives for improvement, future investments, and obstacles that banks and other financial institutions face in trying to improve and integrate their risk management strategy
More Risk management articles
Fixing it up
OpRisk prepares to name the individuals and companies who have led the industry through 2013
A 30-fold increase in its computing grid, enabling coverage of 90% of the bank's derivatives business - a two-year overhaul of the counterparty risk framework at Royal Bank of Scotland wins this yea...
Not too big to fail?
FDIC's single-point-of-entry method applauded but concerns still linger
Initial service will focus on bank policies, but Swift aims to expand
Fixed-income trading revenues will continue to fall in 2014, believe respondents to a Risk.net poll
Protection for whistleblowers not clear cut
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.