New models sidestep Black-Scholes and could slash hedging costs for some derivatives by up to 80%
Regulators must work with banks on conduct risk rules to avoid “box-ticking exercise”
Clearer looking to fill new role in head of SwapClear and listed rates
Financial institutions must entrust oversight of climate risk to named individual under senior managers regime
The objective of this paper is to analyze cyber risk from an operational risk perspective and to measure cyber risk empirically.
In shadow of Metro Bank WhatsApp episode, panellists warn banks need to deftly handle social media blow-ups
Buy-siders limit usage of deep learning techniques due to haziness over their inner workings
Regulator sounds warning over $9 billion increase in structured product self-hedging by Korean firms
Surveillance tools against market abuse are enjoying a technological revolution in analytics, while anxious supervisors are also closing in on market practices. Risk.net hosted a webinar in association with NICE Actimize to analyse the threats and…
Machine learning is coming to analytics but there are hurdles to overcome first, says Aiman El‑Ramly, chief operations officer at ZE PowerGroup
As businesses grow, so does their need for modern, agile and cost-effective commodity/energy trading risk management (C/ETRM) solutions. Pioneer Solutions explores how its next-generation, highly configurable C/ETRM systems take advantage of the latest…
Could holding multiple safe havens improve diversification in a portfolio? The extended skew-t vine copula approach
In this paper, the authors propose a vine copula model based on a bivariate extended skew-t distribution and derive its corresponding multivariate tail dependence function.
Loss given default estimation: a two-stage model with classification tree-based boosting and support vector logistic regression
In this paper, the authors using a data set composed of five Japanese regional banks, propose an loss given default estimation model using a two-stage model, classification tree-based boosting and support vector regression (SVR).
Doug Wendler, chief executive of Machina Automation, explains the increasing popularity and uptake of robotic process automation (RPA), focusing on how it has recently evolved and how it is expected to continue this evolution, and whether RPA’s…
As the efficiency of operational risk management remains a top priority and pressure to maximise value increases, emerging technology could prove crucial. Nitish Idnani, leader of oprisk management services at Deloitte, explores how the oprisk management…
Schoch move comes after bank carves op risk and compliance unit out of central risk function
This paper focuses on conceptual and modeling frameworks in an attempt to explore qualitative and quantitative risk management techniques for hierarchical SoS risks, exemplifying the production systems for demonstration.
Macquarie is uniquely positioned to offer clients a range of products, expertise and experience across the commodities space. Nick O’Kane discusses the bank’s approach to commodity markets and what he expects next
The aim of this paper is to provide a new operational risk management framework to identify and mitigate the operational risk exposure arising from a new product.