CME, Eurex, LCH.Clearnet: no need for new loss funds or more CCP capital
This paper proposes a formula for a market stress test of a portfolio.
"They all fall short," says one expert, as banks try to vet vendor models
Banks struggling to prise information out of vendors after Fed clamps down
One bank that passed 2014 test has 50 things to fix before January
'Capital is not the answer to everything,' says Bernardino
Firms to apply sovereign crisis and 'Japanification' scenarios
Banks expected to sell NPLs to improve stress-test resilience
Construction of large portfolios consistent with investors' views and stress test scenarios is a challenging task, considering the volume of information to be processed. Attilio Meucci, David Ardia and Marcello Colasante introduce a technique that significantly...
Overreliance on modern risk management systems, and metrics such as value-at-risk, can blind firms to tectonic structural market shifts. To help alleviate this problem, the use of human judgement and intervention is required, argues Vincent Kaminski
In this issue of The Journal of Credit Risk we present three research papers. Our first paper is "Valuation differences between credit default swap and corporate bond markets" by Oliver Entrop, Richard Schiemert and Marco Wilkens...
Fixed scenarios "could be procyclical"
Institutional inertia is one of the abiding forces in human experience, especially in governmental institutions. Sadly, such inertia is likely to hinder much-needed revisions in the practice of financial risk management, argues David Rowe
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...
Multivariate analysis is a powerful tool for finding significant relationships between business environment and risk losses
As US regulators prepare to introduce new stress-testing requirements for medium-sized banks, the Fed warns that the largest are still struggling to meet existing standards – and the intent of future stress tests is likely to be dramatically different
Major US banks are failing on key risk management tasks, regulator says
Stress-testing has become a vital tool for financial institutions and regulators, says the OCC’s senior deputy comptroller for economics
As more institutional investors opt for hedge funds, robust risk management is being seen as a central function needed in order to raise capital, according to a survey by Prmia and SunGard APT