KRIs are useful tools, say risk managers, but can also be a source of frustration
“The predominant risks the bank faces have shifted since the end of the financial crisis,” says Rosenberg
The authors of this paper propose to quantify the effectiveness of a capital estimation procedure via the notions of residual estimation risk and estimated capital risk.
Cakes and candles can help risk managers get flavour right, argues Ariane Chapelle
Capital allocation principles are used in various contexts in which the risk capital or the cost of an aggregate position has to be allocated between its constituent parts.
Stress testing is a vital part of successful risk management, but risk managers at energy trading firms frequently face obstacles in designing and implementing successful stress testing programmes. In this article, Carlos Blanco provides some advice on...