Risk management
Counterparty risk subject to additional termination event clauses
The credit additional termination event (ATE) clause is a counterparty risk mitigant that allows banks to terminate and close out bilateral derivative contracts if the credit rating of the counterparty...
Since the global financial crisis, banking regulators and academics have extended the traditional, narrow definition of "systemic risk" to encompass concepts such as "interconnectedness" and "shadow banking"....
This paper examines determinants of creditor recoveries from defaulted debt instruments. First, we argue that to properly measure a debt instrument's relative position in a firm's debt structure, debt...
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How banks needs to consider their IT infrastructure
Banks are increasingly using their IT infrastructure to increase their competitive advantage. Learn how this can work in practice.
More Risk management articles
A comparison of numerical approaches to determine the severity of losses...
Here we present a comparison of the performance of several numerical methods to determine the probability density of the total severity when a model is known. One method is based on the maximum entropy principle applied to fractional moments. The other...
Insurers 'should be exempt from initial margining requirements' on ALM...
No economic need for initial margin on non-centrally cleared derivatives, argues Insurance Europe
Fast and accurate long-stepping simulation of the Heston stochastic...
In this paper, we present three new discretization schemes for the Heston stochastic volatility model: two schemes for simulating the variance process and one for simulating the integrated variance process conditional on the initial point and the end...
Pricing high-dimensional Bermudan options using variance-reduced Monte...
A numerical method for pricing Bermudan options depending on a large number of underlyings is presented. The asset prices are modeled with exponential time-inhomogeneous jump-diffusion processes. We improve the least-squares Monte Carlo method proposed...
Pricing synthetic collateralized debt obligations based on exponential...
Correlation-dependent derivatives, such as asset-backed securities and collateralized debt obligations (CDOs), are common tools for offsetting credit risk. Factor models in the conditional independence framework are widely used in practice to capture...
Numerical methods for an optimal order execution problem
This paper deals with numerical solutions to an impulse control problem arising from optimal portfolio liquidation with bid-ask spread and market price impact penalizing speedy execution trades. The corresponding dynamic programming (DP) equation is a...
Latest Issue: Volume 8/Number 1, Spring 2013
Marcelo Cruz Welcome to the first issue of the eighth volume of The Journal of Operational Risk. As spring knocks on our doors we seem to be living through another round of optimism in the financial industry, with people hoping we will return to some...
Using market and credit risk analytics to strengthen performance
How are banks improving their risk management techniques?
This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
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Nexus-Risk Training
Canada, 21st - 16th Oct 2013
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Active Risk Management in the Treasury
UK, 5th - 6th Jun 2013
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Active Risk Management in the Treasury
UK, 5th - 6th Jun 2013
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Market Data, Reference Data & Technology Training
Canada, 10th - 14th Jun 2013
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Managing Risks in Foreign Exchange
USA, 11th - 12th Jun 2013
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Using market and credit risk analytics to strengthen performance
This white paper reviews the various steps banks are taking to improve their risk management techniques.
How financial services need to consider their IT infrastructure
The global credit crisis exposed the weaknesses inherent in the risk management and IT infrastructures employed by banks.
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