Forecasting scenarios from the perspective of a reverse stress test using second-order cone programming
This paper proposes a model for forecasting scenarios from the perspective of a reverse stress test using interest rate, equity and foreign exchange data.
This paper shows that realized conditional autocorrelation in return residuals is a strong predictor of the relative performance of different frequency models of volatility.
Krzysztof Wolyniec presents a volumetric risk management model for energy markets
Step-in risk guidelines could be taken more seriously in the EU than in the US
Novera Khan: as energy markets change, risk management should be at the heart of business strategy
Ramp-up in regulatory scrutiny of model validation sees banks turn to black boxes
Cloud could revolutionise ETRM systems but hurdles persist, according to survey
White paper: Intralinks
Carlos Blanco and Alessandro Mauro explain how non-linear P&L attribution tools can improve a company’s business intelligence capabilities
By: Sergio Scandizzo
White paper: FactSet
Requirement to recover from cyber attack within two hours unrealistic, he says
Lack of data makes AI technology unsuitable for risk management, say Cont and Rebonato
Whether in banking or energy, most cyber breaches start with human error
Sponsored by OpenLink and Tradeweb
Firms see benefit in linking performance attribution and risk, but differences in approach are a constraint on headway
Sponsored Q&A: Energy Risk Commodity Rankings 2017 | SCB
With regulatory change in the air, market participants must be more aware of the situations those with legislative responsibility find themselves in
Operational risk and the three lines of defence in UK financial institutions: is three really the magic number?
This paper examines the three lines of defence in the context of ORM in UK financial institutions.
Risk Awards 2017: Futuristic control centre has transformed dialogue between risk and business
Risk.net presents the top 10 operational risks of 2017, as chosen by risk practitioners
Incidents such as the London Whale losses show an overhaul of model validation should be welcomed, not maligned
Ex-Barclays and Lehman banker Ray Kahn joins exchange group to focus on interest rate derivatives business