BNP Paribas and BTMU tout ‘scalable’ stress testing
In this study of five developed markets, we analyze the sizes of portfolios required to achieve the most diversification benefits. We compute several widely accepted measures of risk and use an extreme...
The Certificate in Quantitative Finance program provides risk professionals with quant finance tools applicable to their roles, and now offers risk management electives. Join our online info session: 11 June
More Black Swans articles
Corporate treasurers should make sure their forex counterparties are properly prepared for the possibility of further black swan events in the foreign exchange markets, senior Lloyds banker tells AC...
A risk too far?
Swimming with the black swans
Op risk should play a dominant role in the development of ERM, says Thomson Reuters’ Philippe Carrel
"Black swan" operational risk events such as terrorist attacks, disruptions to payment platforms and outages to power grids are the biggest fear for JP Morgan Chase’s chief risk officer Barry Zubrow....
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.