At least three systemic banks in Europe intend to ditch IMA for capital requirements
The informativeness of risk factor disclosures: estimating the covariance matrix of stock returns using similarity measures
The authors examine 10-K and 10-Q filings for risk factor disclosures and investigate if these disclosures can be used to improve estimations of the covariance matrix of stock returns.
Institutions bemoan need for parallel framework to measure portfolios’ sensitivities to market moves
A forum of industry experts discusses the implementation of FRTB, the burden of investment into data and infrastructure for FRTB compliance, the considerations for banks in using the standardised approach (SA) and the internal model approach (IMA)
Banks and vendors warn risk factor data may not be usable across different jurisdictions
Banking and trading book risk rose in Q3 amid shifts in risk factor mix
How does the pandemic change operational risk? Evidence from textual risk disclosures in financial reports
The authors investigate changes in operational risk profiles of the financial industry following the Covid-19 pandemic.
In this podcast, Zoi Fletcher speaks to Elisabetta Bernardini and Biagio Giacalone about the new approaches Intesa Sanpaolo has developed to credit portfolio management.
Independent component analysis is proposed as an alternative to principal component analysis
In this paper the authors present a dependence model for non-life insurance risk based on risk factors, analogous to those generally used for life insurance or asset risk.
A risk decomposition by fund manager, factor or instrument is proposed
Ex-Citadel, Millennium risk manager says fundamental investors have much still to improve
Rick Bookstaber and colleagues describe a process for constructing effective scenarios
Buy-siders look to machine learning for clues on the effect of rising prices on portfolios
Intelligent robots can value complex derivatives in minutes rather than hours
Move to cross-sell risk analytics could herald further content deals for bank’s Marquee platform, says sales chief
Pricing vanilla and exotic options with a deep learning approach for PDEs
Philip Whitehurst, head of service development, rates at LCH, discusses the International Swaps and Derivatives Association’s 2020 Ibor fallbacks protocol, its relevance for cleared swaps, remaining transition steps and major developments to look out for…
Simon Karaban, head of index services at Singapore Exchange, talks about environmental, social and governance indexes and how the emergence of exchange-traded funds and wealth platforms is democratising thematic indexes, making them more accessible to…
Second crowdsourced scenario exercise reveals polarised views in equities and FX
Flexibility granted for assessing NMRFs on options, but constraints remain on committed quotes