ABSTRACT This paper analyzes the persistence and overlap of relationships between banks in a multiplex decomposition of the exposures network. Our analysis may be useful for researchers designing stress...
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ABSTRACT In this paper, we develop a multicurrency extension of the quasi-Gaussian stochastic volatility interest rate model described by Andreasen and Andersen and Piterbarg.We model foreign exchange...
Counterparty correlations are no substitute for due diligence, argues Kaminski
Community banking advisory committee names seven new members
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ABSTRACT In this paper, we derive an integral representation for the density of distributions from the Bondesson class, a large subclass of positive, infinitely divisible distributions. One striking...
ORIC says it received a record number of loss event reports in H1 2014
Financial firms struggle with Fatca even as far wider CRS is imminent
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Diverse products and risk profiles make standardised stress testing difficult
Insurer’s head of op risk and Oric chairman promotes holistic approach
Proposals for revised standardised approach receive mixed response
The rapid slide of the Australian dollar has refocused attention on currency risk by local firms
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.