We describe a methodology for deriving the upper and lower profit and loss (P&L) bounds in the presence of counterparty risk that does not rely on either structural or reduced-form credit models. The methodology...
This paper suggests a methodology for valuing credit default swaps that takes account of counterparty default risk as well as correlated market and credit risk. It incorporates market risk into determining...
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.
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
USA, 9th Dec 2013
USA, 10th Dec 2013
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