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
Jodi Richard explains overhaul of firm’s op risk programme, including crisis management plans
The US banking supervisor has been taking a leaf out of banks’ books and putting the focus on enterprise risk management
Wave of organisational change at major banks heightens operational risk exposure
Bids to use bigger datasets give no better loss forecasts, says hedge fund
Experts call for a rethink on setting scenarios for future tests
Sponsored Q&A: Numerix
Separation "theoretically perfect" but "practically, hugely flawed" says UBS's Hunt
The papers in this issue are all related to energy risk management, including both risk assessment and risk hedging by financial derivatives.
This paper formulates a functional optimization problem over a set of regular payoff functions to deal with the joint mitigation of combined price–volume risk using purely financial tools.
Ex-Barclays chairman says managers should take “stewardship responsibility” for bank conduct
Sponsored survey analysis: 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