ABSTRACT Stochastic scenario analysis of mortgage hedging strategies using single-CPU core machines is often too time consuming. In order to achieve a large practical speedup,we present two methods implemented...
Banks agree code designed to improve culture and protect consumers
More Risk management articles
ABSTRACT The purpose of this paper is to build a contingent convertible bond (CoCo) model with a minimal number of stochastic factors that includes all relevant sources of risk. The value of a CoCo stems...
Using cryptography to validate transactions may transform finance
CCPs wary of risks as they vie to launch buy-side repo services
Industry members discuss the growth of electronic trading of corporate bonds
Proposal by UK banking watchdog receives mixed initial response
QIS was due to get under way last month but will now start in mid-2015
Regulators argue a backstop is needed to avoid too-low modelled numbers
First consultation paper on banking book interest rate exposure is expected in March
Regulatory scrutiny will go deeper than point of sale
Fund says securitisation practices should be tightened while spurring demand
New systems and processes necessary to prevent illicit money flows
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.