Dugan warns of pressure to innovate
Efficiency gains have kept capital supply up, but challenges remain
Operational risk loss data – April 2015
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The authors of this paper address the shortcomings of a major assumption in the Basel accords regarding interest-risk exposure and propose two models to incorporate optionality features that are oft...
Common psychological traps at the root of risk
This paper analyzes and quantifies the idea of model risk in the environment of internal model building.
This paper presents a solution to a common problem in asset and portfolio risk, when a manager has such a short history of asset returns that risk and performance measure estimates are unreliable.
Asean companies should avoid expense of crossing into US dollar and go straight to the local currency
Asean Economic Community faces challenges, says deputy governor Muhammad bin Ibrahim
PRA capital methodology will change rules for modelling
Interest rate derivatives under jump-extended short-rate models have commonly been valued using lattice methods. This paper proposes a much faster and more accurate valuation method based on partial...
This paper proposes a technique based on the saddlepoint approximation to quickly and accurately estimate common portfolio risk measures and their associated marginal component contributions.
Method could provide early-warning system
FCA focuses on punishing non-compliance
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.