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
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
Implementation of Dodd-Frank Act raises op risk concerns, conference hears
Utilities and other energy firms are working hard to refine and enhance the scenarios they use for stress testing. Given recent market events, the impact of regulatory change and large-scale liquidity crises are taking on an increasingly important role....
The relaxation of Basel III’s liquidity coverage ratio (LCR) requirements have been a major boon to trade finance, a sector which expected to suffer badly from the new regulatory regime. But not all issues related to Basel III have been resolved
Foreign banks in US must set up holding companies with ring-fenced capital