Adaptive importance sampling techniques are widely known for the Gaussian setting of Brownian-driven diffusions. In this paper, the authors extend them to jump processes.
This paper addresses the uncertainty in scenario analysis and produces a combined loss distribution.
Capital increase levied by Basel Committee could depend on use of mean versus median
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Good risk culture makes firms more responsive, says UK regulator’s head of enforcement
In this paper, an efficient and novel methodology for numerically solving advection–diffusion problems is presented.
After 16 years as our risk analysis columnist, David Rowe looks back at a recurring challenge
This paper studies alternative mixing models for external data for a particular risk class.
National Crime Agency says bank innovation key to mitigating fraud
Meucci, Santangelo and Deguest introduce a risk decomposition method based on minimum-torsion bets
Operational risk loss data – October 2015
Fabio Mercurio and Minqiang Li investigate CVAs in the presence of wrong-way risk
In this paper algorithms are developed using the Hamilton–Jacobi–Bellman approach for parabolic partial integrodifferential equations related to the quadratic hedging strategy in incomplete mark...
A reduction in the number of settlement banks has increased interconnectedness risk
Fed stress tests are a "perfect storm of pressure"
Pillar 1 capital hike likely to outstrip any Pillar 2 add-ons, say dealers
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.