This panel will discuss ways to allocate resources and minimize potential exposure with a set of analytical tools to assess, simulate and quantify operational risk capital to improve business efficiency and performance across the enterprise.
More Correlation articles
Correlation measures are major drivers of value-at-risk. Brett Humphreys and Eric Raleigh review assumptions associated with calculating correlation.
Risk Awards 2008
In the current inflation-indexed markets, most traded options have zero or even negative strikes. This highlights the need for a smile-consistent valuation of caps and floors on inflation rates. To ...
Empirical studies show that default probabilities and loss given defaults of corporate counterparties are positively correlated due to their common dependency on the businesscycle. Guido Giese appli...
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.