Risk.net presents the top 10 operational risks of 2017, as chosen by risk practitioners
Incidents such as the London Whale losses show an overhaul of model validation should be welcomed, not maligned
Ex-Barclays and Lehman banker Ray Kahn joins exchange group to focus on interest rate derivatives business
Allowing seemingly irrelevant problems to fester can lead to catastrophe
This issue focuses on Cross-border extension, systemic risk and the incorporation of the time dimension into risk assessment.
The author of this paper develops an analytical form of stressed value-at-risk (analytical SVaR), using conditional value-at-risk (CoVaR).
Regime’s constraints may mean risk factors drop in and out of modellability far more frequently than dealers think
A quant paper shows feedback effects can amplify CCP margin requirements in stressed markets
Large buy-side firms will be subject to Europe’s clearing mandate from December 21, but their smaller peers risk being left behind
Model points to risks of core-periphery structure
Megan van Ooyen from SAS rounds up the top five op risk losses for November
Regional banks fear they will run out of time to implement FRTB, but a phase-in could set a welcome trend
How risk managers should fix tracking error volatility and value-at-risk constraints in asset management
In this paper, the author determines an optimal value for a set of limits composed of the lower limit on TEV, the upper limit on TEV and the upper limit on VaR.
Commission expected to ease pressure of liquidity ratio on derivatives positions when it unveils CRD V proposals
Commonly-used VAR estimation method shown to underestimate risk
David Frank proposes an adjustment to sample variance for the computation of value-at-risk
In this paper, the authors examine the relationship between capital allocation problems and compositional data, and show that capital allocation principles can be interpreted as compositions.
Complex, long-term supply deals present job opportunity for risk managers
Sponsored by Oracle, Moody's Analytics and AxiomSL
The papers in this issue focus on modeling dependence via copulas and on identifying independent risk factors for better portfolio risk attribution. An extension of a classical portfolio selection problem and an approach to compare mutual funds are also...
This paper presents a method to estimate and decompose a portfolio’s risk along independent factors.
Buy-siders need to plug changes into VAR, say risk managers