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…
What happens when risks become too global in scope and increasingly uncertain for a business to manage? Jeroen van Doorsselaere, senior director – finance, risk and regulatory reporting value propositions at Wolters Kluwer, explores the key steps to…
Also: Deutsche draws fire and AML fine over Danske trades. Data by ORX News
Many large organizations have risk that propagates because of the dependencies between their various major organizational components. This paper addresses when cycles of dependencies exist in an organization or system of systems.
Concentration in cleared derivatives: the case for broadening access to direct central counterparty clearing
In this paper, the authors explore the benefits and challenges of encouraging major end-users of derivatives to become direct clearing members of central counterparties (CCPs).
OpRisk North America: Covid-induced changes in operations and working practices creating openings for bad actors, says senior regulator
Pandemic prompts a switch in approach from strategic to tactical
Esma proposals spark worries AIFMD review could wreck existing delegation models
Europe regulator warns of conflicts of interest between risk and portfolio managers in AIFMD delegation model
Proposals signal shift to risk-based approach to financial crime detection