Probability
Building resilience into ESG risk management
Risk and resilience continue to play an important role in the navigation of an increasingly uncertain world. Fusion Risk Management explores why it is equally crucial for technology to support organisations in addressing pertinent environmental, social…
Operational resilience: charting evolution, strengthening impact
Arming a business in preparation for robust operational resilience measures is not a one-step solution – it continues to evolve. The key to strengthening defences against all events – especially the unlikely but plausible – is to build business agility…
Regions deploys early-warning tool for credit risk
Risk USA: system alerted US superregional to impending defaults during Covid crisis
Why the US election fallout was not a surprise to banks
A contested result was unexpected, but scenario planning meant banks weren’t unprepared
Ratings can still sharpen credit risk picture
Study shows even the most modern default models benefit from adding credit rating information
Consumer credit modelling software of the year – SAS
Risk Technology Awards 2020
Sometimes it’s fine to be boring
Diversification puts portfolios in the middle of the pack – where investors feel safe, writes Antonia Lim
Covid-19: Pandemic risk – Special report 2020
The economic devastation wrought by Covid-19 is already significant: the hits to employment, gross domestic product and other key macro factors regulators ask banks to test to has already surpassed supervisors’ severely adverse scenarios, and shows every…
Why credit risk managers need to see around corners
The Covid‑19 pandemic – and the subsequent extreme volatility – has exposed the fragility of long-established market and supply chain systems, affecting borrowers’ ability to repay debt. David Croen, global head of credit risk products at Bloomberg,…
Two-factor Black-Karasinski pricing kernel
Analytic formulas for bond prices and forward rates are derived by expanding existing rate models
Q&A: Ron Dembo on crowd-spotting black swans
Veteran quant argues large groups are better at gauging extreme uncertainty than small teams of experts
Cat risk: why forecasting climate change is a disaster
Forecasters are poles apart on climate-driven catastrophes; insurers fear worse ahead
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…
FVA – Time to go asymmetric?
Despite being introduced over six years ago, there is still no market consensus on how to calculate funding valuation adjustments. One point of contention is whether to use the same funding curve for borrowing and lending (symmetric funding) or to use…
Risk Technology Awards 2019: Making machines more helpful
Machine learning can be too efficient; now, vendors are looking for ways to make it more accurate. Clive Davidson looks at the stories behind this year’s Risk Technology Awards
Alternative Liquidity Measures
Is book depth a sufficiently representative measure of market liquidity? A look at trade matching performance under different market volatility environments
The future of operational risk management
As the efficiency of operational risk management remains a top priority and pressure to maximise value increases, emerging technology could prove crucial. Nitish Idnani, leader of oprisk management services at Deloitte, explores how the oprisk management…
Quantification of model risk in stress testing and scenario analysis
In this paper, the author's aim is to empirically analyze the numerical quantification of model risk, yielding exact buffers in currency amounts (for a given model uncertainty).
Podcast: Princeton’s Carmona on the future of quant education
Course director discusses machine learning explainability and reclaiming game theory from economists