Société Générale spent a month at the centre of the eurozone crisis last year, and the bank has responded by reining in its US dollar funding needs and boosting its liquidity buffer. The investment...
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Correlation articles
In October 2001, two prescient articles drew attention to the Gaussian copula model – that would play such a crucial role in the crisis to come – and anticipated the methods regulators are now exploring to capitalise market liquidity risk
In the second part of his column on how factor models can improve operational risk effectiveness, Marcelo Cruz looks at the issues involved in determining correlations between factors and losses, and suggests how best to insert factors into the model...
Swedish regulators believe risk weights for mortgages at the country’s big four lenders are too low, and are due to announce a mechanical fix – possibly a combination of floors and multipliers. Banks are worried about the incentives that creates....
Since cross-asset class correlations aligned in 2008 there has been pent-up demand for instruments that provide exposure to another measure of it – covariance. But structuring a covariance swap that can be hedged simply has been a challenge. Laurie...
In the second article of this series, Carlos Blanco and Michael Pierce introduce the most common multi-factor models of the forward curve used for energy derivatives pricing and risk measurement
Derivatives contracts on multiple foreign exchange rates must be priced to avoid arbitrage by contracts on the cross-rates. Given the triangle of smiles for two underlyings and their cross, Peter Austing provides an analytic formula for a joint probability...
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
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