Risk management
Capitalising on commercial mortgage-backed securities
Maximising value from better risk management and deal efficiency
Energy vol puts spotlight on Ice’s TTF futures margin
Clearing firms say exchange was slow to react as natural gas prices spiked
Applying scenario analysis to climate risk
Matthew Lightwood, director, risk solutions at Conning, discusses the application of stochastic modelling with scenario analysis to quantify climate risk in a portfolio
An examination of the tail contribution to distortion risk measures
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.
After Archegos, a bigger role for XVA desks?
Credit Suisse has stalled on call to expand XVA remit; others think it would have helped, but disagree on how
The value-at-risk of time-series momentum and contrarian trading strategies
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.
Clear out: inside the equities takeover of Citi’s FCM
Clearing unit is being reshaped to support equities growth push
Establishing an effective conduct risk framework
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…
Next-generation cyber risk for energy firms: tackling the energy sector’s latest threats
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.
Energy Risk Asia Awards 2021
Recognising excellence in energy risk management
ECB’s stress capital buffer still a ‘black box’ – banks
National regulators retain wide latitude to set Pillar 2 Guidance under new rules
Model risk management: building trust and governance
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…
Risk Technology Awards 2021
Recognising vendor excellence in credit, operational and enterprise-wide risk management
Next-generation technologies and the future of trading
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…
Asia moves: LCH appoints new head of Asia, BNY Mellon picks treasury services chief, and more
Latest job news across the industry
A quant’s view on protecting stock-pickers from themselves
Ex-Citadel, Millennium risk manager says fundamental investors have much still to improve
Rethinking the model lifecycle: from quick fixes to long-term gain
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…
Could prime of primes go pop?
The PoP market is booming, but some tier one banks are wary
Tackling insider fraud – Best practice for banks
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…
Eurex plans hedging contest in default auction revamp
New step in the default management process would enhance transparency in hedge provider selection
Archegos report details margin failings at Credit Suisse
Dynamic margining and a $150,000 software fix for ‘bullet swaps’ could have saved the bank $3 billion
Lacima’s models stand the test of major risk events
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
A numerical approach to the risk capital allocation problem
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.