Regulator demands could lead to "tick-the-box" exercise, hear delegates at Quant Summit Europe
This paper empirically tests for correlations between fraud and the macroeconomy.
This special issue contains papers covering central counterparty default management and stress testing.
The authors develop a framework that consistently and fully integrates the market, credit and country transfer risks of a general portfolio of financial assets in a multi-period setup.
Oversight from clearing members is good for central counterparties, says LME Clear CEO
This paper develops optimal bounds of the expectation equity-to-asset ratio.
HypoVereinsbank risk controller proposes bootstrapped approach to liquidity stress testing
DNB experts recommend improved market-wide and bank-specific liquidity stress tests
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By: Stefan W. Schmitz
By: Clemens Bonner, Iman van Lelyveld; Andreas Katteneder
Sponsored feature: BNP Paribas Securities Service
This paper demonstrates how cash outflows due to credit lines can be modeled in a liquidity stress test.
Data and transparency remain challenges for EBA
Bank supervisors should focus on improving internal stress-testing all year round
Mizuho International CRO thinks front line and risk management must act in partnership
Panellists at Bank of England forum urge asset managers to take more open approach
Fed stress tests are a "perfect storm of pressure"
Tests should link banks and real economy, say ECB's Constancio and BoE's Brazier