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Cakes and candles can help risk managers get flavour right, argues Ariane Chapelle
Standardised risk charge delivers few benefits, and plenty of trouble
Residual risk add-on more broadly applicable than first thought under Basel rules
Risk USA panellists want liquidity support for planned new services
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Overly punitive requirements on CCPs could skew incentives
This paper uses a maximum likelihood estimation to assess the projected average default rates of debt portfolios.
This paper analyzes asset rankings derived from state-of-the-art POT approaches to estimate VaR.
This paper puts forward two strategies for improving Historical Simulation in weak areas.
This paper explores the implications for risk management of mental accounting of a call option with its underlying.
Human failings can subvert well-intentioned efforts to avoid disaster
AMA's likely demise is latest sign of worrying trend in bank capital rules
Massad warns of heavy-handed regulation from Europe
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.