Additional costs for end-users if no exemption granted
The authors present an analytic framework for credit portfolio modeling using Hermite expansions.
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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
Banks likely to be cautious even after trade restarts
Hedges required to lock in performance on constant currency terms impact product pricing
OpRisk Asia: Revised standardised approach an improvement but no panacea
OpRisk Asia: 'Risk champions' should lead on cultural change, conference hears
This paper presents a simple approximation for the noarbitrage drifts that appear in Libor market model SABR-family term structure models.
Working group aims to finalise code and enforcement methods by May 2017
Judge finishes summing up Tom Hayes Libor trial
Judge's summing-up continues for jury
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.