Collateral received by the Japanese bank exceeds its total on-balance-sheet assets – does it matter?
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.
Budget reallocation may not be the only factor stalling standardisation progress, say participants
New research centre intended to help UK financial firms build better climate risk models
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…
The author evaluates the usefulness of bias-correction methods in enhancing the Vasicek model for market risk and counterparty risk management practices.
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…
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
This introduction to the Journal of Operational Risk special issue shines a light on the relationship between financial fraud risks and financial stability.
The quality of a tail model, which is determined by data from an unknown distribution, depends critically on the subset of data used to model the tail. Based on a suitably weighted mean square error, the authors present a completely automated method that…
Appointment follows departure of Bakhshi to CRO role at LSEG
Dealers say CME, Cboe settlement time shift for S&P 500-linked options causes risk management headache
This paper sets out ten laws that govern the behavior of operational risk relating to the occurrence and detection/duration of events; the rapidity with which firms suffer losses; the lags in crystallization of losses; and internal and external drivers…
The authors investigate the puzzle in the literature that various parametric loss given default (LGD) statistical models perform similarly, by comparing their performance in a simulation framework.
Also: CEO clawbacks; Barclays timeshare trials; Fifa bankers' foul play. Data by ORX News
Chris Kenyon proposes a framework for optimising XVAs – from the client perspective
A client’s guide to reducing XVA in times of need
Risk USA: failure of big cloud service provider could cause “a very large shock”, says NY Fed exec
In April 2021, Japanese generally accepted accounting principles (JGAAP) will incorporate credit valuation adjustment (CVA) and debt valuation adjustment pricing for derivatives portfolios. With several challenges left to overcome and the deadline…
The results of this paper show that robust forward-looking statistical models are superior to backward-looking assessments of supervisory compliance, which could lead to less regulatory burden when integrated into the examination process, particularly at…