The US Federal Reserve has moved to tighten the rules on physical commodity trading by banks, citing fears they might suffer huge losses as a result of an environmental disaster. How valid are such concerns...
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.
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Agency fails to differentiate requirements for largest banks
Under pressure from politicians, the US Federal Reserve floats proposals to tighten rules on banks in physical commodities
Professors tell a US Senate subcommittee the liquidation rules will not help and may create more difficulties
In this paper, we propose Vasicek-type models for estimating portfolio-level probability of default (PD). With these Vasicek models, asset correlation and long-run PD (LRPD) for a risk-homogeneous portfolio both have analytical solutions, longer external...
This issue consists of three papers, two of which, reflecting some econometric zeitgeist, have a great deal in common. The first paper, "Estimating long-run probability of default, asset correlation and portfolio-level probability of default using Vasicek...
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