Losses illustrate scale of reputational exposure
Systemically important label is "our biggest concern", says Kandarian
Banks used Libor post-crisis to boost their perceived strength
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More Risk management articles
This paper looks at forward and spot market-price convergence in the competitive Texas electricity market in the presence of large-scale wind generation.
Leverage ratio concerns weigh on international dealers
Sponsored feature: ITO33
This paper shows how to handle the problem of trend detection in the context of trend-following trading strategies, when the data is potentially erroneous. The questions raised in this paper are imp...
Banks must exercise caution as they adapt to changing demands of industry, says Beth Dugan, OCC head of op risk
This paper presents a new numerical approach to solving high-dimensional partial differential equations that arise in the valuation of exotic derivative securities. The resulting numerical solutions...
Ardia and Meucci introduce a parametric entropy pooling approach to portfolios stress testing
Agency “much more aggressive” in fining firms for reporting errors, say lawyers
First public consultation expected this month in long-running project
Jury also hears of his 2010 dismissal from Citi
This paper presents the set-up of a behavioral credit-scoring model, and estimates such a model using an auto loan data set of one of the largest multinational financial institutions based in France.
The authors propose a generic weighting function based on a nonparametric approach that can be used to weight the different distributions.
Spreading the net wide enough to catch as many data sources as possible is key to tackling emerging risks
Conference hears of conflicting guidance
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.