Risk metrics
Canada’s FRTB pioneers get snowed on fund-linked trades
As Basel capital reforms go live, risk managers eye early adopters’ progress and push to improve capital treatment of fund-linked products
Evaluation of backtesting on risk models based on data envelopment analysis
In this study, different value-at-risk models, which are used to measure market risk, are analyzed under different estimation approaches and backtested with an alternative strategy.
Does regulators’ favourite climate risk metric measure up?
FSB and Basel Committee back climate VAR, but practitioners will take some convincing
Establishing an effective conduct risk framework
The stakes have never been higher when it comes to conduct risk. Regulators now look to hold senior managers personally liable for the misconduct of their employee populations and, with teams more globally dispersed, managing conduct and culture is more…
Podcast: the difficulties of decarbonisation
What are energy firms doing to measure and mitigate transition risk?
Empirical analysis of oil risk-minimizing portfolios: the DCC–GARCH–MODWT approach
This paper strives to analyze hedging strategies between Brent oil and six other het- erogeneous assets – American ten-year bonds, US dollars, gold, natural gas futures, corn futures, and Europe, Australasia and Far East exchange-traded funds (EAFE- ETFs…
Stress-testing to improve strategic decision‑making
Banking regulators remain focused on expanding and developing the range of stress-testing regimes across the globe to maintain stability, monitor emerging risks and avoid another financial crisis. Here, a forum of industry leaders discusses the evolution…
Companies delay climate policy action at their peril
Failure to take immediate action on the proposals set out in the Paris Agreement on climate change could cost approximately $1.2 trillion over the next 15 years in policy risk costs. Oliver Marchand, co-founder of Carbon Delta and executive director of…
Basel set to update op risk and resilience principles
Op risk working group to issue core ‘indicators of resilience’ proposal as update to 2011 principles
Compliance preparations amid uncertain rules
A forum of industry leaders discusses how banks will define individual trading desks under FRTB, whether BCBS 239 compliance projects can help banks meet FRTB risk data challenges, which model validation obstacles banks still face and other key topics
Energy risk teams explore use of KRI metrics
KRIs show particular promise for managing operational risk
Flylets and invariant risk metrics
Kharen Musaelian, Santhanam Nagarajan and Dario Villani show how to build robust risk metrics for bond returns
FSB buy-side plans a 'step forward', says industry group
Investment Association welcomes suggestions to regulate illiquid and levered funds
Banks take various approaches to tackling conduct risk
Definitions, reporting lines, frameworks and metrics vary among major banks, Risk.net research shows
Unicredit and Invesco say culture is key and can be measured
OpRisk Europe speakers underline need for metrics for good conduct
Applied risk management series: Counterparty risk exposure metrics
Carlos Blanco outlines an approach to counterparty risk using potential future exposure
How to build a conduct and culture risk metric system
Measuring conduct risk and culture is now a priority for banks