In this paper, the author looks at the efficacy of risk measures on energy markets and across several different stock market indexes, and calculates both the value-at-risk (VaR) and the expected shortfall (ES) on each of these data sets as well as on…
Fund launch uses fundamental analysis to identify value propositions in high-risk industry
Survey of 24 large Apac bank board risk committees shows dearth of risk managers
Quants show popular autocallable pricing technique has a flaw that has been ignored until now
Quants propose replacement to existing credit risk measure
CCP’s risk analytics head will replace Laux in July
Growing institutional adoption of exchange-traded funds (ETFs) has been an undeniable trend over the past few years. In this article, Hong Kong Exchanges and Clearing (HKEX) explains why institutions are increasingly using ETFs to gain targeted exposure,…
Risk Awards 2019: Bank heeds lessons of past structured products routs to navigate February volatility
In this paper, the authors provide a comprehensive review of the different approaches developed to model operational risk, specifically focusing on the actuarial approach.
Global perspectives on operational risk management and practice: a survey by the Institute of Operational Risk (IOR) and the Center for Financial Professionals (CeFPro)
This paper presents survey results which represent comprehensive perspectives on operational risk practice, obtained from practitioners in a wide range of countries and sectors.
Split into UK and EU arms will reduce netting benefits and capital flexibility
New working group will focus on business continuity in the age of cyber threats
Sovereign debt agency entices 18 banks into hedging programme, locking in historic low rates on bailout loans
Risk Awards 2019: PDMA’s innovative €35bn swap programme helps slash sovereign’s interest rate payments
Risk Awards 2019: hedge fund CRO is intent on steering clear of the “history trap”
Financial firms are increasingly adopting the three lines of defence framework to manage risk. But how has the model evolved to date and what does the future look like for this key risk management tool?
Energy Risk Asia awards, 2018: Engie maintains global LNG presence and enhances risk management after sale of upstream assets
There is no concord on how banks should police their model risk. But two Fed economists have an idea
Speech raises explainability issue; says existing model risk guidelines are “a good place to start” in regulating AI
When the final phase of the swaps market’s new margining regime takes effect in 2020, hundreds – possibly thousands – of buy-side firms will be hit by complex margin requirements.
Number of domestic companies set up to invest in bad loans doubles in two years
Risk USA: Expert says even touching raw data could lead to loss of context
FBOs attract hundreds more matters requiring attention than domestic banks