CCPs need new tools to scrutinise their members, for everyone’s good health
One clearing member's disproportionately large position increases the credit risk for all CCP members
David Hand shines a light on dark data and the dangers of distortion by absence
Alvin Stroyny and Tim Wilding build a dynamic risk framework for multi-asset global portfolios
Funding and credit risk with locally elliptical portfolio processes: an application to central counterparties
In this paper, the authors extend the scaling approach of Andersen et al (2017a) from a model driven by Brownian motion to one driven by an arbitrary isotropic Lévy process.
Igor Halperin proposes new approach to compute probabilities of heavy-tailed distributions
In this paper, the authors provide a comprehensive review of the different approaches developed to model operational risk, specifically focusing on the actuarial approach.
Casting doubt on science is an unwise risk management strategy
This paper discusses a VaR time-scaling approach based on fitting a distribution function so as to apply a Monte Carlo simulation to determine long-term VaR.
Tales of tails
Nobel prize-winner defends his work on portfolio theory, which critics claim has been discredited by the crisis
Don’t say we didn’t warn you
Market reaction to price changes and fat-tailed returns
Foundations of sand
Marking systemic portfolio risk with the Merton model
Models of US and UK equity markets show players expect fresh outbreak of crisis
Financial institutions are more aware of the risks posed by high-impact events since the crisis, but the question is how to encapsulate these in models. Zari Rachev, Boryana Racheva-Iotova and Stoyan Stoyanov discuss three approaches for capturing fat…
Cross-asset quadratic Gaussian models have been limited in the scale of their implementation by the difficulty in ensuring the correct drift conditions to omit arbitrage. Here, Paul McCloud shows how to exploit the symmetries of the functional form to…
For operational risk managers to really make a difference to their firms' fortunes, they must be willing to get their hands dirty and face facts, no matter how scary the facts may be, says Sergio Scandizzo, in the second of a two-part series