Ex-Barclays chairman says managers should take “stewardship responsibility” for bank conduct
Sponsored feature: Wolters Kluwer
Banks and regulators increasingly concerned amid high-profile cyber security breaches
Risk management and portfolio optimization for gas- and coal-fired power plants in Germany: a multivariate GARCH approach
This paper investigates the hedging effectiveness of energy derivatives traded at the EEX for the purpose of mitigating the risk exposure of gas- and coal-fired power plants in Germany.
Nancy Harrington Jones is promoted; Cheri McGuire joins Standard Chartered as CISO; Penny Judd exits Nomura
This paper investigates whether there are existing common model features that yield consistently superior results under both VaR and ES risk metrics in the energy commodities markets.
The authors of this paper formalize a methodology to manage short-term FX risk.
Evaluating the performance of the skewed distributions to forecast value-at-risk in the global financial crisis
This paper models the tail behavior of daily returns and forecasting VaR in order to evaluate the performance of several skewed and symmetric distributions.
Banks neglecting necessary work on data and model governance, warn tech vendors
Cyber crime and nanoparticles represent emerging risks for insurers, says John Scott
Former rogue trader says new UK rules could "change the way people look at risk"
Sponsored webinar: FIS
This paper investigates a sample of 142 live hedge funds via a DEA sensitivity analysis using a super-efficiency model.
Supervisors "need firms to be profitable", writes BoE's Fisher
Alessandro Mauro shows how using value-at-risk can improve market risk analysis in the energy sector
Alexander Passow presents a portfolio performance measure that combines the omega measure with Johnson distributions
Firms seek clarity on use of probabilistic scenarios ahead of January 2018 deadline
Definitions, reporting lines, frameworks and metrics vary among major banks, Risk.net research shows
High volatility and noisy data sets have profound implications on risk management in commodity markets
The susceptibility of enterprise risk tools to poor quality data is a major issue
This paper proposes an AR–GARCH-type EVT model with various innovations for energy price risk quantification.
US shale drillers expected to suffer as hedges expire in the second half of 2015
Sanjay Sharma talks about risk transparency and how his book helps achieve it.