Considering correlation as the major driving factor for portfolio risk, Farshad Mashayekhi and Joy Wang present a methodology for the estimation of correlation among retail exposures based on historical...
Markovsch oder nicht Markovsch, das ist die Frage
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
The relative riskiness of equity compared to bonds and bills goes down when the investment horizon increases. Stakeholders in the savings industry should consider this fact for the sake of the consumers' welfare
In questo articolo Attilio Meucci ricorre all'analisi di regressione per scomporre volatilità, value-at-risk (VaR) ed expected shortfall (ES) in combinazioni o aggregazioni arbitrarie di fattori di rischio, e illustra una semplice ricetta per implementare...
Banks offering no-cost mortgages have been accused of hiding the real cost of the loan from borrowers. But as Andrew Kalotay and Jinghua Qian explain, lenders can also run into problems if they fail to calculate correctly the prepayment behaviour of these...
As spreads to be earned on other fixed income products have declined, mortgages have become more attractive but investors should know what risks are hedged and why. Mark Raaberg considers the main risk dynamics of hedging mortgages and why duration is...
Default estimation for low-default portfolios has attracted attention as banks contemplate the requirements of Basel II's internal ratings-based rules. Here, Nicholas Kiefer applies the probability approach to uncertainty and modelling to default probability...
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
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