This paper develops a method for estimating value-at-risk and conditional value-at-risk when the underlying risk factors follow a beta distribution in a univariate and a matrix-variate setting.
This paper concerns the application of implied volatility in modeling realized volatility in the daily, weekly and monthly horizon using high-frequency data for the EUR/GBP exchange rate.
Fears of moral hazard after CCP waives billions in margin demands following meme-stock volatility
Effective risk policies may be elusive, but they’re a must, say two veterans of the art
The authors develop an optimal currency hedging strategy that allows fund managers who own foreign assets to choose the hedge tenors that will maximize their foreign exchange carry returns within a liquidity risk constraint.
The US Securities and Exchange Commission has adopted Rule 18f-4, which requires registered funds and business development companies to implement a robust regulatory framework for derivatives use. This webinar provides a comprehensive overview of the new…
In this paper, the authors investigate the optimization of systemic risk based on DebtRank by considering two contagion channels: interbank lending and common asset holdings.
A review of the foreign exchange base currency approach under the standardized approach of the Fundamental Review of the Trading Book and issues related to the pegged reporting currency
When we adopt the parameters in the BCBS standards to calculate the delta risk charge, anomalies in the risk charges for the same risk exposure are found under different approaches and under different reporting currencies. The anomalies increase when the…
In this paper, the authors extend the related literature by examining whether the information on the US–China trade war can be used to forecast the future path of Bitcoin returns, controlling for various explanatory variables.
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Jeroen van Doorsselaere and Steve Hostettler, Wolters Kluwer Finance Risk and Regulatory Reporting, discuss the key findings from a recent Risk.net survey exploring the challenges, priorities and trends influencing risk teams’ investment decisions and…
In this paper, a new method for computing the standard errors (SEs) of returns-based risk and performance estimators for serially dependent returns is developed.
The authors investigate the puzzle in the literature that various parametric loss given default (LGD) statistical models perform similarly, by comparing their performance in a simulation framework.
The authors analyze the role of monetary policy uncertainty in predicting jumps in nine advanced equity markets.
In this paper, the author revisits optimal reinsurance problems by minimizing the adjusted value of the liability of an insurer, which encompasses a risk margin. The risk margin is determined by expectile.
For capital market professionals, better understanding the impact of the Covid-19 pandemic on trading and investment portfolios has become even more critical. It’s no easy task to predict market movements and their impact on the profit and loss of a…
BNPP wins top derivatives award, with Macquarie scooping environmental products house
Also: Deutsche draws fire and AML fine over Danske trades. Data by ORX News
Many large organizations have risk that propagates because of the dependencies between their various major organizational components. This paper addresses when cycles of dependencies exist in an organization or system of systems.
A contested result was unexpected, but scenario planning meant banks weren’t unprepared
Asia Risk 25: HK regulatory head says central banks must “never have to step in again” to bail out investors
Pandemic prompts a switch in approach from strategic to tactical
Phil Whitehurst, head of service development, rates, SwapClear at LCH, explores the potential parallels between forward-looking term Sonia rates and term SOFR rates. He presents his thoughts on the recent announcement of increased powers for the…
Some CCPs are mooting joint auctions to resolve large defaults – but critics deem them unworkable