The authors of this paper present a cross-sectional stress test analysis of major US banks.
This paper compares two methods of estimating LGD: a beta regression model and a multinomial logit (MNL) model.
Welcome to the third issue of Volume 10 of The Journal of Operational Risk. This is a special issue in which two of our four papers come from the CFS Conference on Operational Risk: Management and Measurement,...
More Risk management articles
Following two regular contributions, this issue of The Journal of Operational Risk contains two papers from the CFS Conference on Operational Risk: Management and Measurement, which took place on March...
This paper identifies three steps in sourcing risk.
This paper makes use of the power-law mimicry properties of the truncated lognormal distribution and shows how they fit operational risk data considerably well.
This study examines the empirical relation between loan risk and the economic characteristics of collateral, each of which may be associated with the empirical dominance of different risk-collateral...
This paper proposes the use of a robust generalization of MLEs for the modeling of operational loss data.
This paper discusses the violation of applicable firm guidelines by individuals employed by a bank or financial institution and suggests specific metrics to identify and prevent such behaviour.
The authors of this paper argue that fundamental determinants of speculative futures trading may have been misinterpreted by some as “excessive” speculation in the energy markets in recent years.
Abstract The need for accurate forecasts has increased in recent years but there has as yet been limited research on carbon emissions price trends. This study uses the adaptive neuro-fuzzy inference...
This paper proposes an AR–GARCH-type EVT model with various innovations for energy price risk quantification.
This September issue includes: counting processes for retail default modelling; an ensemble approach for asset correlations; an analytic framework for credit portfolio modelling; and an analysis of ...
This paper deals with the performance of popular option strategies in the Nordic power derivatives market.
In this issue of The Journal of Computational Finance, we encounter different contemporary approximations and techniques for financial problems.
Figures from the US Financial Crime Enforcement show a near-record level of suspicious transactions, especially around money laundering
Modern CROs must think carefully about value, especially for capital-heavy products, says Tom Wilson
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.