Technical paper - Risk.net
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en-gbThe impact of de-tiering in the United Kingdom’s large-value payment systemThe authors conduct a head-to-head comparison of central and bilateral clearing to evaluate the impact of market structure on market stability.
http://www.risk.net/journal-of-financial-market-infrastructures/5384356/the-impact-of-de-tiering-in-the-united-kingdoms-large-value-payment-system
http://www.risk.net/journal-of-financial-market-infrastructures/5384356/the-impact-of-de-tiering-in-the-united-kingdoms-large-value-payment-system
Tue, 16 Jan 2018 14:52:43 +0000 Interconnectedness risk and active portfolio management: the information-theoretic perspectiveThis paper extensively compares mutual-information-based networks with correlation-based networks on a stand-alone basis and in the framework of active investment strategies.
http://www.risk.net/journal-of-network-theory-in-finance/5384331/interconnectedness-risk-and-active-portfolio-management-the-information-theoretic-perspective
http://www.risk.net/journal-of-network-theory-in-finance/5384331/interconnectedness-risk-and-active-portfolio-management-the-information-theoretic-perspective
Mon, 15 Jan 2018 15:09:01 +0000 Pathwise XVA Greeks for early-exercise productsNumerix quants investigate how to efficiently calculate XVA sensitivities for early-exercise products http://www.risk.net/cutting-edge/banking/5383351/pathwise-xva-greeks-for-early-exercise-products
http://www.risk.net/cutting-edge/banking/5383351/pathwise-xva-greeks-for-early-exercise-productsFri, 12 Jan 2018 11:35:44 +0000Optimal investment and financing with macroeconomic risk and loan guaranteesThis paper considers an entrepreneur who has no assets in place but possesses an option to invest in a project incurring a lump-sum investment cost, of which a fraction must be financed by entering into an equity-for-guarantee swap.
http://www.risk.net/journal-of-credit-risk/5376696/optimal-investment-and-financing-with-macroeconomic-risk-and-loan-guarantees
http://www.risk.net/journal-of-credit-risk/5376696/optimal-investment-and-financing-with-macroeconomic-risk-and-loan-guarantees
Wed, 03 Jan 2018 14:25:12 +0000 A latent variable credit risk model comprising nonlinear dependencies in a sector framework with a stochastically dependent loss given defaultThis paper proposes a latent variable credit risk model for large loan portfolios. It employs the concept of nested Archimedean copulas to account for both a sector-type dependence structure and a copula-dependent stochastic loss given default (LGD).
http://www.risk.net/journal-of-credit-risk/5376681/a-latent-variable-credit-risk-model-comprising-nonlinear-dependencies-in-a-sector-framework-with-a-stochastically-dependent-loss-given-default
http://www.risk.net/journal-of-credit-risk/5376681/a-latent-variable-credit-risk-model-comprising-nonlinear-dependencies-in-a-sector-framework-with-a-stochastically-dependent-loss-given-default
Wed, 03 Jan 2018 14:22:55 +0000 The profit-and-loss attribution testIn this paper, the authors analyze the failure probabilities of the profit-and-loss attribution (PLA) test as defined in the final market risk standard published in January 2016 by the Basel Committee on Banking Supervision.
http://www.risk.net/journal-of-risk-model-validation/5379051/the-profit-and-loss-attribution-test
http://www.risk.net/journal-of-risk-model-validation/5379051/the-profit-and-loss-attribution-test
Wed, 03 Jan 2018 12:35:24 +0000 Governance and organizational requirements for effective model risk managementThis paper expands on the foundation of model risk analytics to address the governance, organizational and human behavior challenges associated with enterprise MRM.
http://www.risk.net/journal-of-risk-model-validation/5379046/governance-and-organizational-requirements-for-effective-model-risk-management
http://www.risk.net/journal-of-risk-model-validation/5379046/governance-and-organizational-requirements-for-effective-model-risk-management
Wed, 03 Jan 2018 12:11:02 +0000 Tail protection for long investors: trend convexity at workIn this paper, the authors show that single-asset trend strategies have built-in convexity, provided their returns are aggregated over the right time scale, ie, that of the trend filter.
http://www.risk.net/journal-of-investment-strategies/5376716/tail-protection-for-long-investors-trend-convexity-at-work
http://www.risk.net/journal-of-investment-strategies/5376716/tail-protection-for-long-investors-trend-convexity-at-work
Wed, 03 Jan 2018 10:04:38 +0000 Speed and dimensions of tradingIn this paper, two new portfolio statistics are introduced: ENT, which measures trading speed, and ENTD, which measures trading diversity. Together with vectors representing major trading directions, these provide new insight into the intrinsic properties of a dynamic portfolio.
http://www.risk.net/journal-of-investment-strategies/5376711/speed-and-dimensions-of-trading
http://www.risk.net/journal-of-investment-strategies/5376711/speed-and-dimensions-of-trading
Wed, 03 Jan 2018 09:56:27 +0000 Gas storage valuation under Lévy processes using the fast Fourier transformThis paper presents the modeling benefits of using Lévy processes and the fast Fourier transform (FFT) in the valuation of gas storage assets and, from a practitioner’s perspective, in creating market-consistent valuations and hedging portfolios.
http://www.risk.net/journal-of-energy-markets/5374701/gas-storage-valuation-under-levy-processes-using-the-fast-fourier-transform
http://www.risk.net/journal-of-energy-markets/5374701/gas-storage-valuation-under-levy-processes-using-the-fast-fourier-transform
Wed, 20 Dec 2017 15:40:42 +0000 Identifying complex core–periphery structures in the interbank marketThis paper proposes a framework to identify the structure of a financial network and its evolution over time, and presents an application to an interbank market with complete actual data.
http://www.risk.net/journal-of-network-theory-in-finance/5375601/identifying-complex-core-periphery-structures-in-the-interbank-market
http://www.risk.net/journal-of-network-theory-in-finance/5375601/identifying-complex-core-periphery-structures-in-the-interbank-market
Tue, 19 Dec 2017 14:56:41 +0000 Issuer bias in corporate ratings toward financially constrained firmsThis paper considers whether the rating agency attempts to mitigate the feedback effect through its rating actions. Using Moody’s issuer ratings over 1982–2009, the paper shows that firms with greater external financing constraints are less likely to be downgraded.
http://www.risk.net/journal-of-credit-risk/5374686/issuer-bias-in-corporate-ratings-toward-financially-constrained-firms
http://www.risk.net/journal-of-credit-risk/5374686/issuer-bias-in-corporate-ratings-toward-financially-constrained-firms
Thu, 14 Dec 2017 12:31:53 +0000 Evolutionary algos for optimising MVAAlexei Kondratyev and George Giorgidze apply two evolutionary algos to MVA optimisation http://www.risk.net/cutting-edge/banking/5374321/evolutionary-algos-for-optimising-mva
http://www.risk.net/cutting-edge/banking/5374321/evolutionary-algos-for-optimising-mvaThu, 14 Dec 2017 12:08:47 +0000The FRTB’s P&L attribution-based eligibility test: an alternative proposalSpinaci, Benigno, Fraquelli and Montoro propose two alternatives to the P&L attribution test http://www.risk.net/cutting-edge/banking/5374326/the-frtbs-pl-attribution-based-eligibility-test-an-alternative-proposal
http://www.risk.net/cutting-edge/banking/5374326/the-frtbs-pl-attribution-based-eligibility-test-an-alternative-proposalThu, 14 Dec 2017 12:04:11 +0000Optimal intraday power trading with a Gaussian additive processThis paper studies the problem of a financial agent wishing to maximize a constant relative risk-aversion expected utility of their terminal wealth while operating in an ID market.
http://www.risk.net/journal-of-energy-markets/5371881/optimal-intraday-power-trading-with-a-gaussian-additive-process
http://www.risk.net/journal-of-energy-markets/5371881/optimal-intraday-power-trading-with-a-gaussian-additive-process
Fri, 08 Dec 2017 12:17:22 +0000 A vine copula–GARCH approach to corporate exposure managementThis paper applies vine copulas with GARCH marginals to the problem of capturing asset dependence and tail dynamics for currency and commodity exposures commonly found in portfolios of global corporates.
http://www.risk.net/journal-of-risk/5364636/a-vine-copula-garch-approach-to-corporate-exposure-management
http://www.risk.net/journal-of-risk/5364636/a-vine-copula-garch-approach-to-corporate-exposure-management
Tue, 05 Dec 2017 17:06:02 +0000 A model for the valuation of assets with liquidity riskThis paper describes a model for the valuation of assets on a bank balance sheet with liquidity risk. It applies the model to single cashflows, loans, bonds and derivatives. In addition, the calibration to London Interbank Offered Rate basis spreads is discussed.
http://www.risk.net/journal-of-risk/5364616/a-model-for-the-valuation-of-assets-with-liquidity-risk
http://www.risk.net/journal-of-risk/5364616/a-model-for-the-valuation-of-assets-with-liquidity-risk
Tue, 05 Dec 2017 17:05:48 +0000 An enterprise perspective of performance attribution: introducing the keel modelIn this paper, performance attribution is extended to an enterprise level based on the keel model. The keel model introduced here is applied to the problem of attributing enterprise value changes to various risk factors.
http://www.risk.net/journal-of-risk/5364506/an-enterprise-perspective-of-performance-attribution-introducing-the-keel-model
http://www.risk.net/journal-of-risk/5364506/an-enterprise-perspective-of-performance-attribution-introducing-the-keel-model
Tue, 05 Dec 2017 17:05:30 +0000 Determinants of foreign exchange risk: some further evidenceThis paper employs the quantile regression model to examine Taiwanese companies and considers factors that researchers have identified which may influence orientation divergences for robustness testing.
http://www.risk.net/journal-of-risk/5364596/determinants-of-foreign-exchange-risk-some-further-evidence
http://www.risk.net/journal-of-risk/5364596/determinants-of-foreign-exchange-risk-some-further-evidence
Tue, 05 Dec 2017 17:05:13 +0000 New historical bootstrap value-at-risk modelThis paper presents a new value-at-risk (VaR) model for the estimation of market risk in banks and other financial institutions.
http://www.risk.net/journal-of-risk-model-validation/5365156/new-historical-bootstrap-value-at-risk-model
http://www.risk.net/journal-of-risk-model-validation/5365156/new-historical-bootstrap-value-at-risk-model
Tue, 05 Dec 2017 17:01:51 +0000 Pricing multidimensional financial derivatives with stochastic volatilities using the dimensional-adaptive combination techniqueIn this paper, the authors present a new and general approach to price derivatives based on the Black–Scholes partial differential equation (BS-PDE) in a multidimensional setting.
http://www.risk.net/journal-of-computational-finance/5363961/pricing-multidimensional-financial-derivatives-with-stochastic-volatilities-using-the-dimensional-adaptive-combination-technique
http://www.risk.net/journal-of-computational-finance/5363961/pricing-multidimensional-financial-derivatives-with-stochastic-volatilities-using-the-dimensional-adaptive-combination-technique
Wed, 29 Nov 2017 12:42:42 +0000 Volatility risk structure for options depending on extremaIn this paper, the authors give a decomposition formula to calculate the vega index (sensitivity with respect to changes in volatility) for options with prices that depend on the extrema (maximum or minimum) and terminal value of the underlying stock price; this is assumed to follow a one-dimensional perturbed diffusion process.
http://www.risk.net/journal-of-computational-finance/5363836/volatility-risk-structure-for-options-depending-on-extrema
http://www.risk.net/journal-of-computational-finance/5363836/volatility-risk-structure-for-options-depending-on-extrema
Wed, 29 Nov 2017 12:29:04 +0000 Cumulative prospect theory and mean–variance analysis: a rigorous comparisonThis paper proposes a numerical optimization approach that can be used to solve portfolio selection problems including several assets and involving objective functions from cumulative prospect theory (CPT).
http://www.risk.net/journal-of-computational-finance/5363811/cumulative-prospect-theory-and-mean-variance-analysis-a-rigorous-comparison
http://www.risk.net/journal-of-computational-finance/5363811/cumulative-prospect-theory-and-mean-variance-analysis-a-rigorous-comparison
Wed, 29 Nov 2017 12:21:01 +0000 A hybrid tree/finite-difference approach for Heston–Hull–White-type modelsIn this paper, the authors study a hybrid tree/finite-difference method, which allows us to obtain efficient and accurate European and American option prices in the Heston–Hull– White and Heston–Hull–White2d models.
http://www.risk.net/journal-of-computational-finance/5363776/a-hybrid-treefinite-difference-approach-for-heston-hull-white-type-models
http://www.risk.net/journal-of-computational-finance/5363776/a-hybrid-treefinite-difference-approach-for-heston-hull-white-type-models
Wed, 29 Nov 2017 12:08:45 +0000 Standardized measurement approach extension to integrate insurance deduction into operational risk capital requirementThe SMA proposed in BCBS (2016) presents several issues: in particular, its two components are not sufficient to discriminate banking institutions by risk profile, thus penalizing the more virtuous ones. This paper describes a possible solution to extend the SMA by including insurance coverage.
http://www.risk.net/journal-of-operational-risk/5360471/standardized-measurement-approach-extension-to-integrate-insurance-deduction-into-operational-risk-capital-requirement
http://www.risk.net/journal-of-operational-risk/5360471/standardized-measurement-approach-extension-to-integrate-insurance-deduction-into-operational-risk-capital-requirement
Tue, 28 Nov 2017 14:33:42 +0000 Toward an efficient people-risk capital allocation for financial firms: evidence from US banksIn this paper, the authors address the issue of an efficient people-risk capital allocation for financial institutions.
http://www.risk.net/journal-of-operational-risk/5360486/toward-an-efficient-people-risk-capital-allocation-for-financial-firms-evidence-from-us-banks
http://www.risk.net/journal-of-operational-risk/5360486/toward-an-efficient-people-risk-capital-allocation-for-financial-firms-evidence-from-us-banks
Tue, 28 Nov 2017 14:33:24 +0000 Efficient trading in taxable portfoliosThis paper determines life-cycle trading strategies for portfolios subject to the US tax system.
http://www.risk.net/journal-of-investment-strategies/5363301/efficient-trading-in-taxable-portfolios
http://www.risk.net/journal-of-investment-strategies/5363301/efficient-trading-in-taxable-portfolios
Tue, 28 Nov 2017 14:04:38 +0000 Exploration risk in international oil and gas shareholder returnsThis paper focuses upon the oil and gas industry, examining the association between exploration activity risk and company shareholder returns.
http://www.risk.net/journal-of-energy-markets/5362706/exploration-risk-in-international-oil-and-gas-shareholder-returns
http://www.risk.net/journal-of-energy-markets/5362706/exploration-risk-in-international-oil-and-gas-shareholder-returns
Mon, 27 Nov 2017 12:47:38 +0000 Portfolio concentration and equity market contagion: evidence on the “flight to familiarity” across indexing methodsThis paper sheds light on the entanglement of index weighting schemes.
http://www.risk.net/journal-of-investment-strategies/5360551/portfolio-concentration-and-equity-market-contagion-evidence-on-the-flight-to-familiarity-across-indexing-methods
http://www.risk.net/journal-of-investment-strategies/5360551/portfolio-concentration-and-equity-market-contagion-evidence-on-the-flight-to-familiarity-across-indexing-methods
Tue, 21 Nov 2017 10:58:32 +0000 Local volatility from American optionsStefano De Marco and Pierre Henry-Labordère focus on short-time asymptotics for American options in the case of local and stochastic volatility models. As a by-product, they obtain an efficient algorithm for calibrating Dupire’s local volatility to American options, starting from an arbitrage-free parameterisation of a European-implied volatility http://www.risk.net/derivatives/5359156/local-volatility-from-american-options
http://www.risk.net/derivatives/5359156/local-volatility-from-american-optionsFri, 17 Nov 2017 12:40:21 +0000Applied risk management series: gas storage valuation strategiesA look at the valuation of gas storage facilities and show how a deeper analysis of the value formation can offer insights for P&L optimisation and risk management http://www.risk.net/commodities/5352921/applied-risk-management-series-gas-storage-valuation-strategies
http://www.risk.net/commodities/5352921/applied-risk-management-series-gas-storage-valuation-strategiesTue, 07 Nov 2017 10:36:37 +0000A Darwinian view on internal modelsIn this paper, Paul Embrechts reviews discussions on regulation within banking (Basel III and IV) and insurance (Solvency II and Swiss Solvency Test (SST)) from a historical, personal and academic point of view.
http://www.risk.net/journal-of-risk/5349396/a-darwinian-view-on-internal-models
http://www.risk.net/journal-of-risk/5349396/a-darwinian-view-on-internal-models
Tue, 31 Oct 2017 07:01:07 +0000 Risk management and regulationThe author presents a systematic review of the chronological evolution of risk management, in tandem with financial innovation and methodological advances in derivatives pricing.
http://www.risk.net/journal-of-risk/5349416/risk-management-and-regulation
http://www.risk.net/journal-of-risk/5349416/risk-management-and-regulation
Tue, 31 Oct 2017 07:00:39 +0000 A note on the standard measurement approach versus the loss distribution approach–advanced measurement approach: the dawning of a new regulationThis paper presents a nonexhaustive review of the literature on operational risk quantification under a combination of the loss distribution approach model – the most commonly used of the AMA models – and extreme value theory.
http://www.risk.net/journal-of-operational-risk/5346106/a-note-on-the-standard-measurement-approach-versus-the-loss-distribution-approach-advanced-measurement-approach-the-dawning-of-a-new-regulation
http://www.risk.net/journal-of-operational-risk/5346106/a-note-on-the-standard-measurement-approach-versus-the-loss-distribution-approach-advanced-measurement-approach-the-dawning-of-a-new-regulation
Thu, 19 Oct 2017 09:44:42 +0100 Derivatives pricing under bilateral counterparty riskThe authors consider risk-neutral valuation of a contingent claim under bilateral counterparty risk using the well-known reduced-form approach.
http://www.risk.net/journal-of-risk/5344891/derivatives-pricing-under-bilateral-counterparty-risk
http://www.risk.net/journal-of-risk/5344891/derivatives-pricing-under-bilateral-counterparty-risk
Tue, 17 Oct 2017 07:41:44 +0100 Networks of log returns and volatilities of international stock market indexesIn this paper, the author builds dynamic networks based on correlation and transfer entropy, using both the log returns and the volatilities of 97 stock market indexes from various parts of the world between 2000 and 2016
http://www.risk.net/journal-of-network-theory-in-finance/5343316/networks-of-log-returns-and-volatilities-of-international-stock-market-indexes
http://www.risk.net/journal-of-network-theory-in-finance/5343316/networks-of-log-returns-and-volatilities-of-international-stock-market-indexes
Thu, 12 Oct 2017 11:40:06 +0100 Systemic risk management in financial networks with credit default swapsIn this paper the authors study insolvency cascades in an interbank system, in which banks are permitted to insure their loans with credit default swaps sold by other banks.
http://www.risk.net/journal-of-network-theory-in-finance/5343306/systemic-risk-management-in-financial-networks-with-credit-default-swaps
http://www.risk.net/journal-of-network-theory-in-finance/5343306/systemic-risk-management-in-financial-networks-with-credit-default-swaps
Thu, 12 Oct 2017 07:44:29 +0100 Leverage and uncertaintyBy extending the Kelly criterion to a simple probabilistic model with an additional tail risk outcome associated with uncertainty, this paper looks beyond risk and evaluates how uncertainty constrains optimal leverage.
http://www.risk.net/journal-of-investment-strategies/5330296/leverage-and-uncertainty
http://www.risk.net/journal-of-investment-strategies/5330296/leverage-and-uncertainty
Wed, 11 Oct 2017 15:57:23 +0100 Optimising VAR and terminating Arnie-VARAlbanese, Caenazzo and Syrkin show how full-revaluation VAR is more accurate and robust than sensitivity-based VAR measures http://www.risk.net/risk-management/5342056/optimising-var-and-terminating-arnie-var
http://www.risk.net/risk-management/5342056/optimising-var-and-terminating-arnie-varWed, 11 Oct 2017 15:52:26 +0100Lifecycle investing with the profitable dividend yield strategy: simulations and nonparametric analysisUsing simulations, the author shows that life-cycle investing implemented on highly profitable and high dividend yield stocks (the profitable dividend yield strategy) provides a compelling solution to the suboptimality problem by leveraging on the strategy’s high average return and outstanding Sharpe ratio compared with a market portfolio.
http://www.risk.net/journal-of-investment-strategies/5330261/lifecycle-investing-with-the-profitable-dividend-yield-strategy-simulations-and-nonparametric-analysis
http://www.risk.net/journal-of-investment-strategies/5330261/lifecycle-investing-with-the-profitable-dividend-yield-strategy-simulations-and-nonparametric-analysis
Wed, 11 Oct 2017 15:29:42 +0100 Enhancing enterprise value by trading optionsThis paper considers the problem of enhancing an investment activity by regularly adding an option trade to the portfolio mix and presented results for the single underlier of the S&P 500 index, with the underlying activity being either long the index or a portfolio rebalanced to a 60% equity stake.
http://www.risk.net/journal-of-investment-strategies/5330276/enhancing-enterprise-value-by-trading-options
http://www.risk.net/journal-of-investment-strategies/5330276/enhancing-enterprise-value-by-trading-options
Wed, 11 Oct 2017 15:11:34 +0100 Machine learning for tradingGordon Ritter applies reinforcement learning to dynamic trading strategies with market impact http://www.risk.net/asset-management/5341796/machine-learning-for-trading
http://www.risk.net/asset-management/5341796/machine-learning-for-tradingTue, 10 Oct 2017 14:23:40 +0100Ranking the economic importance of countries and industriesThe authors present a methodological framework for quantifying interdependencies in the global market and for evaluating risk levels in the worldwide financial network.
http://www.risk.net/journal-of-network-theory-in-finance/5329781/ranking-the-economic-importance-of-countries-and-industries
http://www.risk.net/journal-of-network-theory-in-finance/5329781/ranking-the-economic-importance-of-countries-and-industries
Tue, 10 Oct 2017 10:59:40 +0100 Asset price bubbles and risk managementThe purpose of this paper is to review the literature on asset price bubbles to study the impact that the existence of bubbles has on standard risk management methodologies.
http://www.risk.net/journal-of-risk/5340371/asset-price-bubbles-and-risk-management
http://www.risk.net/journal-of-risk/5340371/asset-price-bubbles-and-risk-management
Thu, 05 Oct 2017 13:04:10 +0100 Fast, accurate and straightforward extreme quantiles of compound loss distributionsIn this paper, the author presents an easy-to-implement, fast and accurate method for approximating extreme quantiles of compound loss distributions (frequency + severity), which are commonly used in insurance and operational risk capital models.
http://www.risk.net/journal-of-operational-risk/5329986/fast-accurate-and-straightforward-extreme-quantiles-of-compound-loss-distributions
http://www.risk.net/journal-of-operational-risk/5329986/fast-accurate-and-straightforward-extreme-quantiles-of-compound-loss-distributions
Wed, 04 Oct 2017 14:12:08 +0100 Central counterparty recovery and resolution: the European perspectiveThis paper contributes to the literature on the recovery and resolution of central counterparties (CCPs) by exploring the key components of the recent European legislative proposal on the recovery and resolution of CCPs, its main differences with the bank recovery and resolution directive, and its main underlying policy options.
http://www.risk.net/journal-of-financial-market-infrastructures/5331656/central-counterparty-recovery-and-resolution-the-european-perspective
http://www.risk.net/journal-of-financial-market-infrastructures/5331656/central-counterparty-recovery-and-resolution-the-european-perspective
Mon, 02 Oct 2017 14:42:59 +0100 Nonmonotonic trade-offs of tiering in a large-value payment systemThis paper studies tiering in the case of a national payment system in an emerging economy: the large-value payment system Sistemas de Cuentas de Depósito (CUD, the Spanish acronym for the Deposit Accounts System) operated by the Colombian central bank.
http://www.risk.net/journal-of-financial-market-infrastructures/5338601/nonmonotonic-trade-offs-of-tiering-in-a-large-value-payment-system
http://www.risk.net/journal-of-financial-market-infrastructures/5338601/nonmonotonic-trade-offs-of-tiering-in-a-large-value-payment-system
Mon, 02 Oct 2017 14:42:38 +0100 Nondefault loss allocation at central counterpartiesIn this paper, the authors answer three questions about the appropriate allocation of nondefault losses at central counterparties.
http://www.risk.net/journal-of-financial-market-infrastructures/5338596/nondefault-loss-allocation-at-central-counterparties
http://www.risk.net/journal-of-financial-market-infrastructures/5338596/nondefault-loss-allocation-at-central-counterparties
Mon, 02 Oct 2017 14:42:32 +0100 Estimating “hedge and auction” liquidation costs in central counterparties: a closeout risk approachThis paper shows how the closeout risk framework can be extended to realistically represent and simulate the potential outcomes of “hedge and auction” default management policies currently implemented by several major central counterparties.
http://www.risk.net/journal-of-financial-market-infrastructures/5332686/estimating-hedge-and-auction-liquidation-costs-in-central-counterparties-a-closeout-risk-approach
http://www.risk.net/journal-of-financial-market-infrastructures/5332686/estimating-hedge-and-auction-liquidation-costs-in-central-counterparties-a-closeout-risk-approach
Mon, 02 Oct 2017 14:42:19 +0100 Management of behavioral risk in the first line of defenceThis paper discusses key features of fighting behavioral risk in the business line of operations as the central hub for all transactions in a bank.
http://www.risk.net/journal-of-operational-risk/5331646/management-of-behavioral-risk-in-the-first-line-of-defence
http://www.risk.net/journal-of-operational-risk/5331646/management-of-behavioral-risk-in-the-first-line-of-defence
Tue, 26 Sep 2017 10:11:31 +0100