Technical papers
The major sources of operational risk and the potential benefits of...
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,...
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...
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...
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 articles
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...
Backtesting value-at-risk: a comparison between filtered bootstrap and...
The purpose of this paper is to compare ex ante value-at-risk (VaR) estimation produced by two risk models: historical simulation and Monte Carlo filtered bootstrap. We perform three tests: unconditional coverage, independence and conditional coverage....
The Sharpe ratio efficient frontier
We evaluate the probability that an estimated Sharpe ratio will exceed a given threshold in the presence of nonnormal returns. We show that this new uncertainty-adjusted investment skill metric (called the probabilistic Sharpe ratio) has a number of important...
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
-
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
-
Managing Risks in Foreign Exchange
USA, 11th - 12th 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.
- Global securities enforcement activity stepping up to meet new market challenges
- Lender market advisory: swap guarantees – keepwells and excluded obligations
- M&A representations and warranties insurance: what every buyer and seller needs to know
- Green REITs, MLPs and Up-Cs
- How important is collaborative technology in managing risk?
Related Jobs
