US-based family office submits detailed legal response
Big players should cut local services if information on customers lacking
ABSTRACT This experimental study investigates the behavior of banks in a large-value payment system. More specifically, we look at the reactions of banks to disruptions in the payment system and theway...
This white paper looks at the heavy impact of regulation on investment managers, the mitigation of outsourcing risk, inefficiencies in corporate actions processing and the growing importance of collateral management.
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ABSTRACT Central counterparties (CCPs) performed extremely well during the recent financial crisis. Clearing through CCPs has since been promoted by legislators around theworld as a way to mitigate risk...
ABSTRACT Nonbanks such as central counterparties (CCPs) are a useful lens through which to see how regulators view the role of the lender of last resort (LOLR). This paper explores the avenues that are...
Abstract This paper studies the predictive power of the time-varying shape of the credit default swap (CDS) term structure to explain changes in future implied and excess implied volatility (implied volatility...
Firms seeking common ground in the modelling of operational risk
Isda AGM: Proposed trading book rules are “nuts” says BNP Paribas’ Ramambason
Isda AGM: CME applies 20% margin haircut while LCR hits banks with 50% cut
Reuse, title transfer, reporting and derivatives in scope scrutinised
OpRisk North America covers maths, psychology and everything in between
It was “absolutely certain” that SNB would end Swiss franc floor, says vice-chair
Abstract We present an efficient approach to compute the first- and second-order price sensitivities in the Heston model using algorithmic differentiation. Issues related to the applicability of the pathwise...
Ariane Chapelle sets out metrics and tools to keep firms within their risk appetite
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.