Risk management
Nonlinear risk decomposition for any type of fund
A risk decomposition by fund manager, factor or instrument is proposed
McLaughlin departs London Stock Exchange Group
Former CRO and head of financial risk left the group in October
Agency problems in multinational banks: does parent complexity affect the risk-taking of subsidiaries?
This paper empirically reviews the relationship between the geographical complexity of parent-groups and the risk-taking behavior of subsidiaries using a panel of data for Polish domestically owned and foreign-owned banks covering the years 2008–17.
Climate risk – Special report 2021
This Risk.net special report contains a collection of articles that consider the impact rising carbon prices will have throughout the economy, discuss the challenges of modelling climate risk exposures and of integrating climate risk into risk management…
Managing physical and financial risk in today’s volatile commodities markets
This webinar examines what firms are doing to modernise their IT systems to get better control on their risk measures and key performance indicators across their physical and financial businesses.
The role of management accounting practices in operational risk management: the case of Palestinian commercial banks
This paper follows an exploratory, descriptive approach to investigate the role that management accounting practices plays in managing operational risks in the Palestinian commercial banking sector.
Credit risk & modelling – Special report 2021
This Risk special report provides an insight on the challenges facing banks in measuring and mitigating credit risk in the current environment, and the strategies they are deploying to adapt to a more stringent regulatory approach.
People moves: Quarles quits Fed, CS credit team exodus continues, and more
Latest job changes across the industry
Moving from risk to resilience: making your organisation anti-fragile
Moving from basic risk management to real resilience is a critical capability organisations must strive to attain. Teams are seeking to quickly mature resilience as businesses, countries and economies reopen (and, in some cases, close again) in the wake…
Climate transition and bonds: risk or opportunity?
Measuring climate risk on bonds is a nascent discipline. Andy Sparks, fixed income and multi-asset product research at MSCI, looks at how to apply climate analytics to fixed income portfolios
Fighting Covid-19 in countries and operational risk in banks: similarities in risk management processes
This paper shows how banks managing operational risk and countries tackling Covid-19 could learn from each other to overcome obstacles in effectively mitigating major risks.
Credit Suisse set for op RWA hike as litigation charges pile on
Sfr1bn increase expected to accrue over the next six months
Operational resilience: charting evolution, strengthening impact
Arming a business in preparation for robust operational resilience measures is not a one-step solution – it continues to evolve. The key to strengthening defences against all events – especially the unlikely but plausible – is to build business agility…
Model changes could raise Eurex swaps margins by over a fifth
Covid-induced market volatility becomes permanent stress scenario to nix procyclicality
Big data challenges: unlocking opportunities for banks to rethink their data structures
Revisions to banks’ mandatory capital requirement regulations, to be implemented in a few jurisdictions in January 2023 and globally in 2024, will present these institutions with a massive challenge as the volumes of data they must manage and analyse…
Capitalising on commercial mortgage-backed securities
Maximising value from better risk management and deal efficiency
Energy vol puts spotlight on Ice’s TTF futures margin
Clearing firms say exchange was slow to react as natural gas prices spiked
Applying scenario analysis to climate risk
Matthew Lightwood, director, risk solutions at Conning, discusses the application of stochastic modelling with scenario analysis to quantify climate risk in a portfolio
An examination of the tail contribution to distortion risk measures
This paper reports a method for analyzing the influence of the tail in calculations of distortion risk measures.
Risk disclosures in annual reports: the role of nonfinancial companies listed on the Athens stock exchange
This study analyzes the risks disclosed by all nonfinancial companies listed on the Athens stock exchange by undertaking content analysis of their annual reports during the period 2005–11.
After Archegos, a bigger role for XVA desks?
Credit Suisse has stalled on call to expand XVA remit; others think it would have helped, but disagree on how
The value-at-risk of time-series momentum and contrarian trading strategies
This paper not only provides a theoretical model for the value-at-risk of active and passive trading strategies but also discusses the substantial implications relevant to risk management.
Clear out: inside the equities takeover of Citi’s FCM
Clearing unit is being reshaped to support equities growth push