Dealers at London event remain unconvinced by controversial funding adjustment
Need for strong boards, risk culture and internal audit emphasised at IIA conference
Regulator will impose Basel III add-on if risks are not captured by LCR
More Risk management articles
“Most arbitrage trading has simply ceased,” Goldman exec counters
Banks call for audit trails and beefed-up role for risk committees
This paper puts forward two strategies for improving Historical Simulation in weak areas.
KRIs for rogue trading are vital defence against multi-billion-dollar losses from unauthorised trading
This paper assesses the performance of the real-time diagnostic of the bubble regime in Chinese stock markets.
The authors of this paper develop a Bayesian-based credit risk stress-testing methodology.
The authors of this paper employ value-at-risk (VaR) and expected shortfall (ES) as risk measures to assess the competency of several volatility models, based on the stock indexes of the BRICS count...
The authors of this paper present a cross-sectional stress test analysis of major US banks.
This paper compares two methods of estimating LGD: a beta regression model and a multinomial logit (MNL) model.
Welcome to the third issue of Volume 10 of The Journal of Operational Risk. This is a special issue in which two of our four papers come from the CFS Conference on Operational Risk: Management and Measurement,...
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.