Risk management
Model risk management transformation
Financial institutions have been maturing their approaches to MRM and – as models become more complex and pervasive, and regulatory expectations continue to increase – leading financial institutions seek faster and further movement. Ashutosh Nawani, head…
One size does not fit all – Adapting to meet investment goals
Guillaume Arnaud, global head of quantitative investment strategies (QIS), and Sandrine Ungari, head of cross-asset quantitative research at Societe Generale, explore the benefits of QIS for investors, why flexibility is crucial for investors to meet…
Capitalab completes first compression run with SGX
Compression efficiency in SGX Nikkei 225 options could be as high as 50%, Capitalab says
Eka disrupts CTRM software landscape
The commodities trading and risk management software landscape – up to now dominated by large providers – is shifting. Rick Nelson, executive vice-president and chief business officer at Eka, talks about being a disrupter and explores how digitisation…
A helping hand – Addressing industry concerns
The Basel Committee on Banking Supervision’s final revisions to the FRTB guidelines aim to address industry concerns around complexity and capital implications. A forum of industry leaders discusses whether the changes have been effective and how banks…
HKEX boosts member credit risk monitoring
Hong Kong exchange’s several hundred clearing members pose complex default risk correlations, says chief risk officer
Ex-Huawei tech security chief on steeling UOB’s cyber defences
Singaporean bank overhauls penetration testing and scenario analysis, with Tobias Gondrom leading the effort
JP Morgan turns to machine learning for options hedging
New models sidestep Black-Scholes and could slash hedging costs for some derivatives by up to 80%
Royal Commission report sparks conduct risk changes at ANZ
Regulators must work with banks on conduct risk rules to avoid “box-ticking exercise”
LCH veteran Davie set to depart
Clearer looking to fill new role in head of SwapClear and listed rates
BoE makes climate risk a hot topic for banks
Financial institutions must entrust oversight of climate risk to named individual under senior managers regime
Estimation of losses due to cyber risk for financial institutions
The objective of this paper is to analyze cyber risk from an operational risk perspective and to measure cyber risk empirically.