Risk management
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.
Goldman tackles climate risk controls
Lender joins other banks in translating physical and transition threats into controls framework
A simple and robust approach for expected shortfall estimation
This paper proposes a simple and robust expected shortfall estimation method based on the tail-based normal approximation.
Helping brokers manage risk in an evolving fintech industry
Finalto’s rebrand of TradeTech Alpha, TradeTech 360 and CFH reflects the move towards full integration and assimilation of these companies. The name Finalto describes the vision of the business: next-level financial markets, and reflects the company’s…
Operational resilience – Driving excellence and effective measurement in financial services
This webinar explores how to build resilience across an organisation, discussing actions and measures companies are currently taking to become more agile, adaptable and able to future-proof their business growth
Data and risk strategies to hedge against future black swan events
Risk technology, data strategy and innovation audiocast series (part 2 of a series of 3)
Procyclicality control in risk-based margin models
This paper revisits the procyclicality issue in risk-based margin models and provides additional insight on procyclicality mitigation techniques.
The new rules of market risk management
Amid 2020’s Covid-19-related market turmoil – with volatility and value-at-risk (VAR) measures soaring – some of the world’s largest investment banks took advantage of the extraordinary conditions to notch up record trading revenues. In a recent Risk.net…
Not so green machine? Questioning commodities’ credentials
As ESG investors eye commodities, issues around measurement and management are unearthed
The art of effective market risk management during a period of transformation
This white paper takes a current view of market risk management, its growing complexity and how it can be transformative to institutions as the industry is widely recognising what are the right approaches to addressing evolving risks.
If dogecoin goes to the moon, a risk manager should go too
There seems little logic to the price of meme assets – but bold investors can protect themselves, says tech expert
Changing derivatives strategies to address the new normal
The events of 2020 have propelled liquidity and collateral management to the top of the priority list for many buy-side organisations. A recent survey by Risk.net and Eurex explores how derivatives strategies are changing in response
Insider fraud – Getting security and controls right
Even prior to the Covid-19 pandemic, insider threats were reported to be increasing with 48% of firms indicating that incidents were on the rise within their organisations. Where are so many firms going astray?
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.