The authors provide a two-period analytical value-at-risk approach for credit portfolios with a liquidity horizon and a constant level of risk.
Capital requirements incentivise banks and insurers to enhance op risk management
More Risk management articles
This paper provides a theoretical justification as to why investment firms typically set less strict stop-out rules for PMs with higher Sharpe ratios.
Weak emerging markets and commodities downturn are also posing a challenge
This paper focuses on the distribution of correlations among aggregate operational risk losses.
Independent asset management firms catching up with bank- and insurance-owned peers
Bank supervisors should focus on improving internal stress-testing all year round
Mizuho International CRO thinks front line and risk management must act in partnership
This paper revisits the properties of risk measures and checks VaR, ES and expectiles with regard to whether or not they enjoy these properties.
Adaptive importance sampling techniques are widely known for the Gaussian setting of Brownian-driven diffusions. In this paper, the authors extend them to jump processes.
This paper addresses the uncertainty in scenario analysis and produces a combined loss distribution.
Capital increase levied by Basel Committee could depend on use of mean versus median
Good risk culture makes firms more responsive, says UK regulator’s head of enforcement
In this paper, an efficient and novel methodology for numerically solving advection–diffusion problems is presented.
After 16 years as our risk analysis columnist, David Rowe looks back at a recurring challenge
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.