Risk management
Powering through tough times
Hitachi ABB Power Grids’ dominant position in Energy Risk’s 2021 Software Rankings reflects its deep understanding of current market challenges
The Fundamental Review of the Trading Book and fat tails
Conservative capital buffers may not be enough to protect against tail events
A general framework for the identification and categorization of risks: an application to the context of financial markets
This paper is, to the best of the authors' knowledge, the first to develop an algorithm-based and generally applicable framework that generates an extensive and integrated identification and categorization scheme of certain risks by using text mining and…
Flexi forwards see rise in corporate interest post-Covid
Treasurers seek flexibility in cashflow hedging as pandemic-related supply chain disruptions bite
The impact of culture upon operational risk management guidelines in the banking sector of selected Asian countries
The central banks of different countries regulate ORM according to the specificities of their national banking industry. This paper tests the hypothesis that such regulatory openness results in legal texts that are highly influenced by the culture of the…
Clear, concise, consistent, doable – rules for a risk policy
Effective risk policies may be elusive, but they’re a must, say two veterans of the art
PNC appoints new chief risk officer
Super-regional, soon to be US’s fifth-biggest bank, switches risk chief
From use cases to a big data benchmarking framework in clearing houses and exchanges
In this paper, we propose a conceptual framework that links the technical and business benchmarks in the domain of clearing houses and securities exchanges.
The importance of getting technology change right
Christoph Kurth, partner and member of the global financial institutions leadership team at Baker McKenzie, covers some of the rapid technological changes under way brought about by, and in the wake of, the Covid-19 pandemic
Top 10 op risks 2021: employee wellbeing
All-encompassing impact of Covid leaves employees with the feeling of ‘living from work’
Top 10 operational risks for 2021
The biggest op risks for the year ahead, as chosen by senior industry practitioners
What lies beneath: Nomura’s iceberg balance sheet
Collateral received by the Japanese bank exceeds its total on-balance-sheet assets – does it matter?
Bank supervision: lessons from the post-2008 banking crisis
This paper considers the learning points from official third-party reports produced in the wake of supervisory failures that can be applied to the management of front-line bank supervisors.
Has Covid stopped the clocks on FX timestamp efforts?
Budget reallocation may not be the only factor stalling standardisation progress, say participants
UK seeks to take the lead on climate risk standards
New research centre intended to help UK financial firms build better climate risk models
Banks boot up next-gen FX hedging bots
Automated FX hedging can save money and time, proponents argue. But corporates have qualms
Critical variables in the implementation of a risk-based internal audit: a theoretical and empirical investigation of Greek companies
This paper investigates the critical variables for the implementation of RBIA in Greek companies and examines the relationship between the above variables and RBIA implementation using data collected by 105 internal auditors, external auditors, directors…
Credit curves – Crucial in a crisis
The peak of the Covid-19 crisis in March 2020 underlined the need for superior data; when the tide goes out, the shortcomings of some datasets are cruelly exposed. Banks and asset managers will need to have confidence in the data fuelling their models…
Bias-corrected estimators for the Vasicek model: an application in risk measure estimation
The author evaluates the usefulness of bias-correction methods in enhancing the Vasicek model for market risk and counterparty risk management practices.
A framework to analyze the financial effects of climate change
Starting with an expert assessment of the climate risk factors over a specified horizon, then moving to a description of the expected number of climate events and the severity of the losses if an event occurs, the authors describe a framework to analyze…
The outlook for 2021 – FRTB
Eugene Stern, head of market risk products at Bloomberg, reveals how banks are adapting their strategies in the current environment, and why FRTB affords banks a unique opportunity to develop a unified view on market risk and enhance their overall risk…
The outlook for 2021 – Credit risk
David Croen, head of credit risk products at Bloomberg, reveals how credit risk management strategies are changing in the current environment, and the tactics and tools available for gaining a more forward-looking view on credit risk in the future
Legacy benchmark risk – A robust and effective conversion mechanism
With an uncertain future for interest rate benchmarks, TriOptima has developed its triReduce Benchmark Conversion functionality, providing support to customers transitioning their over-the-counter swaps portfolios to these alternative benchmarks
Detection of financial fraud risk: implications for financial stability
This introduction to the Journal of Operational Risk special issue shines a light on the relationship between financial fraud risks and financial stability.