Risk
JP Morgan cuts op risk RWAs by $12.5 billion
Operational RWAs down to $387.6 billion from $400 billion in the second quarter
Covering the world: global evidence on covered calls
Typical covered call strategies may be decomposed, using a risk and performance attribution methodology, into three components: equity exposure, short volatility exposure and equity timing. This paper applies that attribution methodology to covered calls…
Managing adverse temperature conditions through hybrid financial instruments
This paper proposes temperature-based risk management using hybrid financial instruments built on weather derivatives.
Asia moves: SGCIB makes two promotions, Natixis hires three heads, and more
Latest job changes across industry
A call to arms – How machine intelligence can help banks beat financial crime
The revolution in artificial intelligence promises new leads in banks’ fight against dirty money. Alexander Campbell of Risk.net hosted a live online forum, in association with NICE Actimize, to investigate the applications of this emergent technology
Pensions and insurers give new impetus to Asia’s ETFs
Cost-conscious institutional investors are embracing exchange-traded funds (ETFs) to lower transaction fees and achieve higher returns. Hong Kong Exchanges and Clearing (HKEX) explores the theme of yield‑chasing among insurers in Asia’s expanding ETF…
Preparing for the initial margin phase-in
Requirements for the mandatory exchange of initial margin are expected to be time‑consuming and laborious to implement. David White, head of sales at triResolve, discusses the lessons learned from in‑scope firms, obstacles to achieving compliance and how…
Defining the next generation of GRC
Firms are now under pressure to significantly transform governance, risk and compliance processes. Traditional mechanisms of effective risk management and regulatory compliance are fast becoming outdated. New technologies such as machine learning and…
Disruptive change in US power markets: Identifying risks and embracing opportunities in the new world of digital
Power markets worldwide are experiencing disruptive changes on a bigger scale and with greater speed than many had anticipated. Now, more than ever, it is essential to understand opportunities and risks associated with these changes
Risk monitoring through better knowledge-based risk processes
The aim of this paper is to propose a model that describes the integration of knowledge-based risks (via the processes of knowledge-based risk identification, analysis, evaluation and education) and knowledge-based risk repositories to support risk…
New backtests for unconditional coverage of expected shortfall
In this paper, the authors present a new backtest for the unconditional coverage property of expected shortfall.
Unlocking value from risk and finance data
For banks facing squeezed margins and increasingly agile competitors, a lack of consistent data quality and insight is a significant hurdle for risk and finance teams trying to transform the organisation. Innovative banks have brought the two functions…
Multifactor granularity adjustments for market and counterparty risks
In this paper, the authors propose several flexible families of models to manage the market and/or the counterparty risk of portfolios of financial assets.
Chaotic behavior in financial market volatility
In this paper, the authors present a robust method for the detection of chaos based on the Lyapunov exponent, which is consistent even for noisy and finite scalar time series.
BV–VPIN: Measuring the impact of order flow toxicity and liquidity on international equity markets
The authors analyze the impact of different values of the VBS and sample size applied as inputs in a BV–VPIN model based on the US market in order to ascertain the optimal criteria for application across all other countries in our data set.
The evolving relationship between finance and risk
Increased regulatory requirements that are expanding the necessity for chief financial officers to be proficient in regulations and advanced big data analytics have seen the relationship with chief risk officers develop to facilitate co-operation as…
Quants tout exposure-based approach to op risk modelling
Ebor especially suited to modelling loss events such as legal claims, say proponents
Bank risk committees: desperately seeking risk managers
Most boards still lack career risk specialists despite tighter governance requirements