Lloyds, Barclays, RBS and HSBC still topping up provisions
Wild moves in the Swiss franc and US Treasuries blindsided VAR models
Proposed revised standardised approach would hit big banks hardest
More Risk management articles
Sponsored survey analysis: Wolters Kluwer
Executives will be liable for banks’ misconduct under Senior Managers Regime
ABSTRACT In this paper, we study the evolution over time of the correlation structure of equity returns by means of a filtered-network approach and use this to investigate persistency and recurrences...
Central bank eyes big data and psychology
Hedging threatened by treatment of liquidity and diversification, critics claim
Stays will extend to buy-side, repo, and securities lending, says BoE’s Gracie
ABSTRACT We develop an efficient Monte Carlo method for the valuation of financial contracts on discretely realized variance.We work with a general stochastic volatility model that makes realized variance...
FCA aims to act early to prevent misconduct
Better conduct could come from proven knowledge of markets and ethics
Kolm and Ritter present a multiperiod, multi-asset selection model with transacion costs, kept computationally tractrable
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.