Evaporation of liquidity on January 15 caught traders by surprise
ABSTRACT In this paper, we propose an approximation method based on the Wiener-Ito chaos expansion for the pricing of European-style contingent claims. Our method is applicable to the general class of...
This white paper looks at the heavy impact of regulation on investment managers, the mitigation of outsourcing risk, inefficiencies in corporate actions processing and the growing importance of collateral management.
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Bank fines hit £1.37 billion in 2014, a fourfold increase on previous year
Firms must change procedures and train staff after Carbanak attacks
Most asset managers lack strong safeguards
Trading portfolios are easily mishandled, as are Europe's economies
Twelve-strong advisory committee drawn from industry, academia and public interest groups
Miners facing falling commodity prices and a depreciating Australian dollar
HSBC affair highlights a problem with modelling op risk capital
Broker-dealers better prepared than investment advisers
ABSTRACT This paper analyzes the impact of asset price bubbles on a firm's standard risk measures, including value-at-risk (VaR) and conditional value-at-risk (CVaR). Comparing a bubble economy and a...
Some banks shy away from the op risk method under review
Accounting change cuts futures clearing leverage exposure
Modelling operational risk capital provides insight into banks’ weak spots
Currency risk management is now a major focus for Aussie firms
Questions over policy design and coverage blight nascent industry
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.