Forum
Central counterparties in crisis: the Hong Kong Futures Exchange in the crash of 1987
This Forum contribution shows the reader the lessons that can be learned from one of the few occasions in history when a CCP got into severe difficulty.
Modeling operational risk capital: the inconvenient truth
This paper shows that it is an "inconvenient truth" that the largest losses by banks are not firm specific.
Real-time prediction and post-mortem analysis of the Shanghai 2015 stock market bubble and crash
This paper assesses the performance of the real-time diagnostic of the bubble regime in Chinese stock markets.
Regulatory and supervisory deference in the context of Australia’s over-the-counter derivative trade reporting and derivative trade repositories regimes
This paper provides an Australian regulatory perspective on the over-the-counter landscape and shows how regulatory deference can play a facilitating role in the cross-border context.
Cave quid optes: waterfalls and central counterparty capital
This paper explores the lines of defense of a central counterparty. The author examines the lines of defence ("the waterfall") of a central counterparty (CCP) inter alia in the context of the requirements set by the Principles for Financial Market…
Monitoring IT operational risks across US capital markets
This paper suggests an approach for assessing IT risk through an incident-based method for monitoring operational IT risk across an extended enterprise based on the ISACA Risk IT framework.
The robustness of estimators in structural credit loss distributions
This paper examines the performance of MM, ML and OLS estimators through Monte Carlo experiments for various sample sizes and correlation values when the true data is from non-Gaussian processes.
The role of systemic people risk in the global financial crisis
Research Papers
A framework for the analysis of reputational risk
Research Papers