Maximising value from better risk management and deal efficiency
Clearing firms say exchange was slow to react as natural gas prices spiked
Matthew Lightwood, director, risk solutions at Conning, discusses the application of stochastic modelling with scenario analysis to quantify climate risk in a portfolio
This paper reports a method for analyzing the influence of the tail in calculations of distortion risk measures.
Risk disclosures in annual reports: the role of nonfinancial companies listed on the Athens stock exchange
This study analyzes the risks disclosed by all nonfinancial companies listed on the Athens stock exchange by undertaking content analysis of their annual reports during the period 2005–11.
Credit Suisse has stalled on call to expand XVA remit; others think it would have helped, but disagree on how
This paper not only provides a theoretical model for the value-at-risk of active and passive trading strategies but also discusses the substantial implications relevant to risk management.
Clearing unit is being reshaped to support equities growth push
The stakes have never been higher when it comes to conduct risk. Regulators now look to hold senior managers personally liable for the misconduct of their employee populations and, with teams more globally dispersed, managing conduct and culture is more…
Digitalisation – already a key agenda item for energy firms – has become an even bigger priority as firms transition to low-carbon businesses. However, the benefits of digitalisation are accompanied by a huge rise in cyber risk.
Recognising excellence in energy risk management
National regulators retain wide latitude to set Pillar 2 Guidance under new rules
As organisations increasingly rely on models that cover a wide range of business functions, there is an increasing need to create and maintain a comprehensive model inventory for enhanced collaboration and regulatory compliance across multiple regions…
Recognising vendor excellence in credit, operational and enterprise-wide risk management
At a Risk.net webinar in association with capital markets technology provider Numerix, panellists discuss the potential for increased adoption of the public cloud to boost investment performance, its impact on risk management and overcoming barriers to…
Latest job news across the industry
Ex-Citadel, Millennium risk manager says fundamental investors have much still to improve
Covid-19 has caused widespread disruption to banks’ risk models. Some failed in the crisis while others have required significant overlays or frequent recalibration as extreme volatility has given way to ongoing uncertainty. As banks seek more agile…
The PoP market is booming, but some tier one banks are wary
Volatile markets, the pivot to remote working and the prevalence of private messaging are just some of the factors contributing to the rising risk of insider fraud. At a recent Risk.net webinar, an expert panel explored the challenges for banks and…
New step in the default management process would enhance transparency in hedge provider selection
Dynamic margining and a $150,000 software fix for ‘bullet swaps’ could have saved the bank $3 billion
Lacima’s consistent approach between trading and risk has allowed it to dominate the enterprise risk software analytics and metrics categories for nearly a decade
The aim of this paper is to use a model-free, nonparametric approach based on the method of maximum entropy in the mean to solve the capital risk allocation problem.