Abstract We present an efficient approach to compute the first- and second-order price sensitivities in the Heston model using algorithmic differentiation. Issues related to the applicability of the pathwise...
Ariane Chapelle sets out metrics and tools to keep firms within their risk appetite
Finma said to be considering penalties
This white paper looks at the heavy impact of regulation on investment managers, the mitigation of outsourcing risk, inefficiencies in corporate actions processing and the growing importance of collateral management.
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Buffett's warning on perils of volatility is well justified, argues Kaminski
ABSTRACT Expanding the realized variance concept through realized skewness and kurtosis is a straightforward process. We calculate one-day forecasts for these moments with a simple exponentially weighted...
Neeta Aktar highlights clear communication and focus on customer service over sales
Regulators criticised for reticence over why they rejected some test results
Senior auditor calls for mix of metrics and judgement
Four new deputy comptrollers, within supervision, credit risk, and strategy
Banks and regulators urged to up their game in stress tests and scenario analysis
Australia's authorities look into sudden moves in the Aussie's value
Reducing model diversity may endanger AMA's risk management benefits
Industry looks to medicine and law for self-regulation models
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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.