Why the consensus view so often fails to predict seismic shocks
Huge losses from the 2008 crisis can be seen as a short option position
Ken Phelan stresses importance of credit risk management in key Treasury role
By: Manmohan Singh
This paper provides a review of graphical modeling and describes potential applications in econometrics and finance.
Developments since 2008 open up exciting possibilities, says Kimmo Soramäki
This paper analyzes whether the financial crisis of 2007–9 had an effect on the mispricing of CLNs.
Secretary general says FSF failed to act on known risks surrounding resolution and securitisations
By: Clemens Bonner, Paul Hilbers and Iman van Lelyveld
By: Emrah Arbak
By: Clemens Bonner, Paul Hilbers, Iman van Lelyveld
By: Joel Grant
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 investigates European bond markets; looking at credit risk spillover effects between financial institutions and sovereigns in the euro area.
This paper assesses the performance of the real-time diagnostic of the bubble regime in Chinese stock markets.
This September issue includes: an Australian regulatory perspective on the over-the-counter landscape; an investigation into a less-cash society; central counterparties; and an evaluation of the Korean repo market
Head of op risk supervisory team views tools as 'catalysts for change'
Analysis of risk factors in the Korean repo market based on US and European repo market experiences during the global financial crisis
This paper evaluates the Korean repo market in the light of the global financial crisis.
Financial crisis and shale revolution show nothing is certain - Kaminski
Managers should be more confident challenging new processes
Economists, risk managers and traders must learn the lessons of crisis, says Kaminski
Asset management veteran defends value investing as tried-and-tested strategy