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By means of B-spline interpolation, this paper provides an accurate closed-form representation of the option price under an inverse Fourier transform.
New data shows drop in market depth, but QE is not threatened, says deputy governor
EU lenders say both EBA proposals would distort capital requirements
This paper studies the possibility of using Islamic forwards, which are commonly known as salam contracts, to hedge commodity risk, while respecting the principle of risk sharing.
This paper investigates three Islamic equity indexes, classified by economic hubs (Dow Jones Europe, Asia/Pacific and United States), against their conventional peers from 2003 to 2009.
This study deliberates upon a proposed delta–gamma sensitivity analysis–extreme value theory (DGSA–EVT) model that focuses on the assessment of risk exposures represented by the value of valu...
This paper investigates the risk engendered by maturity mismatches.
SEC prosecution for hacking newswires shows the importance of cyber defence
This paper analyzes the theoretical properties and statistical behavior of credit default swap (CDS) premiums over time.
Additional costs for end-users if no exemption granted
The authors present an 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 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.