This paper investigates the risk engendered by maturity mismatches.
SEC prosecution for hacking newswires shows the importance of cyber defence
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This paper analyzes the theoretical properties and statistical behavior of credit default swap (CDS) premiums over time.
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.
Additional costs for end-users if no exemption granted
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...
The authors present a analytic framework for credit portfolio modeling using Hermite expansions.
Interest rate's governance and wider industry culture also in the dock
By introducing the set-valued scenario, this paper proposes a unified robust portfolio selection approach under downside risk measures.
Operational risk loss data – July 2015
This paper proposes an autoregressive–generalized autoregressive conditional heteroscedasticity (AR–GARCH)-type extreme value theory (EVT) model with various innovations based on value-at-risk (...
Banks likely to be cautious even after trade restarts
Hedges required to lock in performance on constant currency terms impact product pricing
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.