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Banks should abandon modern portfolio theory as it does not capture unexpected rare events, according to Nassim Nicholas Taleb, author of the risk management book The Black Swan .
The online Certificate in Quantitative Finance program provides risk professionals with quant finance tools applicable to their roles, and now offers risk management electives. Download the CQF brochure.
More Risk management articles
Risk management on the buy side has, over the course of the last few years, become a specialist business process in its own right. But there are still a myriad approaches to essentially the same cha...
Richard Martin describes the application of saddlepoint methods to the calculation of tranche payouts and expected shortfall in loss distributions. Aside from computational use in their own right, t...
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.