Strengthening of capital requirements and better information to evaluate non-financial risks are important for hedge funds. Fund governance needs to be strengthened to manage non-financial risks.
The Ucits directive fails to make adequate allowances for the operational consequences of financial innovation. Non-financial risk has increased and regulations contributed to this rise.
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Technical papers/Regulation articles
In the May issue we reported the results of a recent EDHEC-Risk Institute survey on structuring hedge fund strategies as Ucits.
Ceiops published new guidelines for the treatment of mark-to-market risk of credit products in Solvency II in its final advice on implementation to the EC in January. In this letter, Richard Martin assesses the proposed risk weights in the light of his...
With the implementation measures of Solvency II being finalised, the optimal complexity of internal models - how to best account for risks with as few redundancies as possible - is of great importance. This month's Cutting Edge section focuses on the...
In an introduction to this month’s Cutting Edge, Risk’s technical editor, Mauro Cesa, and assistant technical editor, Laurie Carver, look at a new model proposed by a former Risk magazine quant of the year, which attempts to quantify the effect of...
In recent years, much effort has been devoted to improving the efficiency of the Libor market model. Matthias Leclerc, Qian Liang and Ingo Schneider extend the pioneering work of Giles & Glasserman (2006) and show how fast calculations of Monte Carlo...
Vor dem Hintergrund steigender Komplexität der Risikomessung und höherer regulatorischer Anforderungen gewinnen Techniken zur Validierung von Risikomodellen zunehmend an Bedeutung, um die Adäquanz dieser Modelle gewährleisten zu können. Im vorliegenden...
The proposals to assess counterparty default risk within the Solvency II project lead to undesirable comparative results. Several shortcomings can be overcome by replacing value-at-risk by conditional value-at-risk, and this new capital requirement can...
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
Sweden, 15th Dec 2013
USA, 10th Dec 2013
UK, 18th Dec 2013
UK, 12th Feb 2014
UK, 13th Feb 2014
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