ABSTRACT This paper analyzes the impact of asset price bubbles on a firm's standard risk measures, including value-at-risk (VaR) and conditional value-at-risk (CVaR). Comparing a bubble economy and a...
Some banks shy away from the op risk method under review
Accounting change cuts futures clearing leverage exposure
More Risk management articles
Modelling operational risk capital provides insight into banks’ weak spots
Currency risk management is now a major focus for Aussie firms
Questions over policy design and coverage blight nascent industry
Appeals court reins in SEC over insider trading
Group litigation will force boards to focus on cyber risk
Firms worry about integrating data for EU and US trade reporting rules
Banks and forex retail brokers argue over repricing of trades
ABSTRACT Stochastic scenario analysis of mortgage hedging strategies using single-CPU core machines is often too time consuming. In order to achieve a large practical speedup,we present two methods implemented...
Banks agree code designed to improve culture and protect consumers
ABSTRACT The purpose of this paper is to build a contingent convertible bond (CoCo) model with a minimal number of stochastic factors that includes all relevant sources of risk. The value of a CoCo stems...
Using cryptography to validate transactions may transform finance
CCPs wary of risks as they vie to launch buy-side repo services
Industry members discuss the growth of electronic trading of corporate bonds
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.