Modelling
Lessons from disaster
Catastrophe Risk
Macrofinancial risk
A valuable synthesis of financial theory and macroeconomics appears to be emerging. This could enrich both areas, says David Rowe
Pushed to the limit
Stress Testing
Ceiops: risk-oriented approach to Solvency II needed
Daily news headlines
Expect the unexpected
Comment
Wellink defends Basel II
Daily news headlines
US banks biding time on Basel II, says Dugan
Daily news headlines
FDIC chairman Bair’s warning on Basel II models
Daily news headlines
FSA releases risk outlook for 2008
Daily news headlines
Credit tails
Model Risk
Spreadsheets: a tool you can trust?
For more than two decades, spreadsheets have been the tool of choice for financial services firms. But do they contain hidden dangers? Dianne See Morrison reports
Time for multi-period capital models
Several financial institutions use single-period models to determine their credit portfolio loss distribution, calculate their loss volatility and assign economic capital.
Spring loading
Natural Gas
Generalising universal performance measures
Performance and risk measurement are fundamental quantitative activities in finance, andnew ways of measuring them are always of interest. A recently proposed procedure is theuniversal performance measure. Theofanis Darsinos and Stephen Satchell show…
The score for credit
Jorge Sobehart and Sean Keenan discuss the benefits and limitations of model performance measures for default and credit spread prediction, and highlight several common pitfalls in the model comparison found in the literature and vendor documentation. To…
Operational risk versus credit risk: Similarities and differences
Many attempts have been made to adapt credit risk models to quantify operational risk. In this article, Gerrit Jan van den Brink of Dresdner Bank and KPMG's Thomas Kaiser compare op risk and specific credit risk models in terms of input data, methodology…
Basel I must be made more risk-sensitive for general banks, say Independent Community Bankers
The 1988 Basel Accord, also known as Basel I, must be improved to be more risk-sensitive for the benefit of community banks, said the Independent Community Bankers Association (ICBA), the Washington, DC-based membership organisation of 5,000 community…
The ultimate stress-test: modelling the next liquidity crisis
What would happen if one of the world's largest investment banks pulled out of derivatives? Risk managers at Deutsche Bank and JP Morgan Chase are already building this scenario into their stress-tests, and regulators want other banks to do the same.
Accord preparations: the rest is yet to come
While the debates have raged for months about many aspects of the proposed Basel II Accord, on some points there has been relative silence, in particular with regard to the seeming overreliance on statistical techniques.
Bank risk disclosure improving, says Basel Committee
A new report from the Basel Committee on Banking Supervision says that, overall, banks are improving their disclosure of credit, market, operational and other risks in their annual reports.