Rather than point fingers, many financial services executives simply want to find solutions to the problems that caused the global financial system meltdown in the first place. One theme commonly expressed among experts is that an infrastructure that gives banks a broader view of risk could have helped avoid much of the calamity of 2008. Has enterprise risk management's (ERM) time finally come?
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Welcome to The Journal of Credit Risk's Online First Forum. Here you will find the latest peer reviewed, accepted papers before they are available in print. With Online First publication, users can...
ABSTRACT This paper shows that traditional measures of bond systematic risk based on unadjusted past returns have very large downward biases. After we develop an improved method for calculating the market...
ABSTRACT This paper studies the approximation of extreme quantiles of random sums of heavy-tailed random variables, or, more specifically, subexponential random variables. A key application of this approximation...
ABSTRACT Because publicly available measures of deposit runoff risk are scarce, regulators' models to measure interest rate risk in the banking book are based on very coarse assumptions about the allocation...
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