CCP exposures not in scope of new regime, but clearing members are
This webinar on September 17th looks at the challenges of GRC, key trends, motives for improvement, future investments, and obstacles that banks and other financial institutions face in trying to improve and integrate their risk management strategy
More Risk management articles
Interest rate swap with €79 million notional is nearly half a billion euros underwater
Watch discussions and speakers from our North America conference
Supervisors have given large banks three years for root-and-branch reform
Regulators want more consistency - and some are questioning AMA
This paper proposes the use of outlier detection methods from robust statistics and copula goodness-of-fit tests to identify components of mixture copulas. We first consider simulated data samples in which...
A procedure is developed to test whether conditional variances are constant over time in the context of generalized autoregressive conditional heteroscedasticity (GARCH) models with possible GARCH-in-mean...
Threats are "people we thought were our friends"
Financial institutions and markets are highly interconnected but only recently has a burgeoning literature started to emerge to map these interconnections and to assess their impact on financial risks...
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.