Understanding key risk can be difference between success and failure
Operational risk and the Solvency II capital aggregation formula: implications of the hidden correlation assumptions
The authors of this paper analyze the Solvency II standard formula for capital risk aggregation in relation to the treatment of operational risk capital.
This paper aims to build novel measures of systemic risk that take the multivariate nature of the problem into account by means of network models.
Buy-siders need to plug changes into VAR, say risk managers
A simulation comparison of aggregation periods for estimating correlations within operational loss data
This paper investigates the differences in the values of correlations based on different aggregation periods of time series loss data.
BB&T auditor's model shows capital measured by LDA might be pushed up by 16–55%
To enable autocorrelation in the frequency distribution, this paper proposes a significant generalization of the LDA model that involves treating operational risk as a Lévy jump-diffusion.
Recent trends in research may help firms obtain reliable correlations from limited data
Bun, Bouchaud and Potters present a technique that allow cleaning in-sample noise from correlation matrixes
The topics in this issue cover electricity and gas and oil markets, as well as the interaction of energy commodities and international capital markets.
This paper focusses on the dynamics of the correlations between commodities and Islamic indexes.
Lundin and Satchell present a non-linear asymmetric dependence method between two assets
The issue’s first paper looks at methodologies to measure spillover risks in European sovereign bond markets in the period 2004-15. Our second paper investigates European bond markets. Our final paper in this issue offers a promising new avenue of investigation...
This paper develops methodologies to measure spillover risks in European sovereign bond markets in the period 2004–15.
Valer Zetocha introduces a correlation model based on the Jacobi process with jumps
This paper provides a theoretical justification as to why investment firms typically set less strict stop-out rules for PMs with higher Sharpe ratios.
This paper focuses on the distribution of correlations among aggregate operational risk losses.
Clients face wider bid/offer spreads, as dealers struggle to find liquid hedges
Jacky Lee and Luca Capriotti present an arbitrage-free valuation method for counterparty exposure of credit derivates portfolios.
Banks round on one-size-fits-all rules for market, credit and op risk