Technical papers/Risk Management
Calibration of structural and reduced-form recovery models
In current credit risk models, default probabilities and recovery rates are often treated independently. However, when the structural connection between these quantities is neglected, the risk of large...
We demonstrate the operational risk associated with type II errors in typical lending decisions made by banks. Type II errors occur when loan officers misidentify healthy borrowing firms that are not destined...
The definition of operational risk given by Basel II is problematic when applied to institutions, since the risk only represents a potential loss. Staff and systems are considered to be the causes of losses,...
Don't get left behind
How banks needs to consider their IT infrastructure
Banks are increasingly using their IT infrastructure to increase their competitive advantage. Learn how this can work in practice.
More Technical papers/Risk Management articles
Fuzzy methods for variable selection in operational risk management
This paper illustrates how fuzzy logic can be helpful for constructing event-type variables in operational risk management. Even when the available databases cannot be considered "native" fuzzy, we show that modeling them according to fuzzy intervals...
Modeling macroeconomic effects and expert judgments in operational risk...
In this paper we discuss operational risk modeling and consider a general Bayesian context incorporating information on market risk profile, expert opinion and operational losses, taking into account the general macroeconomic environment as well. This...
Scientific stochastic volatility models for the European energy market...
This paper builds and implements a multifactor stochastic volatility model for the latent (and unobservable) volatility of the baseload and peakload forward contracts at the European Energy Exchange AG, applying Bayesian Markov chain Monte Carlo simulation...
Assessing the performance of generalized autoregressive conditional...
This paper assesses the performance of twelve generalized autoregressive conditional heteroskedasticity (GARCH)-type models for modeling the 99% value-at-risk (VaR) for indexes from countries classified as frontier economies, namely, Mauritius, Tunisia,...
A variational derivation of risk-adjusted performance measures
We derive the risk-adjusted performance measure (RAPM) Omega and the more general Kappa by applying the variational principle to the utility function with respect to the investment choice, which is comprised of how an investment is funded, and its composition,...
Capturing value-at-risk in futures markets: a revised filtered historical...
This study modifies the filtered historical simulation developed by Barone-Adesi et al, using a general power weighted moving average estimator simulation to forecast value-at-risk (VaR). Our proposed approach is relatively simple and computationally...
Risk sharing and individual life-cycle investing in funded collective...
This paper deals with the question of whether it is possible to combine the insights and recommendations of optimal individual life-cycle investing with the proven gains of defined benefit pension funds. These gains stem primarily from cost efficiency...
Using market and credit risk analytics to strengthen performance
How are banks improving their risk management techniques?
This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
Related conferences
-
Risk OTC Derivatives Clearing Summit
USA, 5th Jun 2013
-
Quant Congress Europe
UK, 12th Jun 2013
-
Risk and Return Brasil - Portuguese
Brazil, 12th Jun 2013
-
Risk & Return Brazil - English
Brazil, 12th Jun 2013
-
What’s next for fixed-income ETFs and structured products?
UK, 3rd Jul 2013
Related training
-
Nexus-Risk Training
Canada, 21st - 16th Oct 2013
-
Gas Portfolio Optimisation
UK, 22nd - 23rd May 2013
-
Active Risk Management in the Treasury
UK, 5th - 6th Jun 2013
-
Active Risk Management in the Treasury
UK, 5th - 6th Jun 2013
-
Market Data, Reference Data & Technology Training
Canada, 10th - 14th Jun 2013
Updating your subscription status 
Risk IPad Apps
Email alerts
Weekly poll
Using market and credit risk analytics to strengthen performance
This white paper reviews the various steps banks are taking to improve their risk management techniques.
How financial services need to consider their IT infrastructure
The global credit crisis exposed the weaknesses inherent in the risk management and IT infrastructures employed by banks.
Related Jobs
