Risk management
FRTB: ECB postpones model approval deadline
Postponement follows Basel’s decision to revise key elements of new market risk framework
Bridging networks, systems and controls frameworks for cybersecurity curriculums and standards development
This paper proposes a risk management framework designed to facilitate the alignment, integration and streamlining of professional practice standards and computer science/cybersecurity educational curriculums by bridging NPNATFs, SNIFs and RMCPFs.
Advancing on all fronts
Sompo Global Weather continues to expand its offering with timely, tailored weather risk solutions designed to service a growing global audience and diversification into new sectors supplying responsive solutions
Ensuring reliability in a rapidly changing energy landscape
Igor Koprivnikar, member of the management board at Gen-i, discusses what sets the organisation apart as the top power dealer in eastern Europe, the benefits that a global portfolio can bring for clients in regional European markets, and how strong…
Next-generation GRC
Webinar: Nasdaq BWise
European legislators to exempt CCPs from new bank rules
Support in Council and Parliament suggests leverage ratio, NSFR exemptions will be in final text
The quickest way to lose the money you cannot afford to lose: reverse stress testing with maximum entropy
This paper extends a technique devised by Saroka and Rebonato to “optimally” deform a yield curve in order to deal with a common and practically relevant class of optimization problems subject to linear constraints.
Optimal equity protection of Solvency II regulated portfolios
In the context of equity investments, this paper examines the relationship between the cost of acquiring protection (in the form of put option) and the reduction of capital charges that it entails. The paper develops the idea that Solvency II regulations…
Cloud set to replace in-house tech for banks
‘No other way’ to meet demands of FRTB, XVA and other changes, claim proponents
Asia Risk Congress 2017: The new XVA challenge
Video interview: Fabio Mercurio, Bloomberg
Evaluating the role of risk networks in risk identification, classification and emergence
This paper presents an evaluation of how risk interdependence affects the risk management process.
A communicative approach to innovative business growth
James Rausch, head of Canadian client coverage and global head of banks, brokers and exchanges at RBC Investor & Treasury Services, discusses how the organisation works alongside clients, leveraging resources and expertise from its other businesses and…
Swift’s CRO on Bangladesh Bank heist, cyber risk and DLT
Quraishi lays out Swift’s approach to members’ security, and technological risks and opportunities
Achieving business agility through CTRM systems
Webinar: Openlink
Bank risk manager of the year: Citi
Risk Awards 2018: How US bank helped Nigeria's lenders through a dollar funding crisis
Sovereign risk manager of the year: Debt Management Office of Saudi Arabia
Risk Awards 2018: New DMO is building a benchmark curve that could spur local capital markets
Maximising effectiveness with tech
Winners' Circle Q&A: Risk Market Technology Awards 2018 | Murex
Digitally adapting to regulatory change
Winners' Circle Q&A: Structured Products Europe Awards 2017 | BNP Paribas
Basis risk looms for insurers in Libor transition
UK insurers may need to pay more and run basis risk to hedge interest rates after transition
Banks tout new structures amid Korean autocall resurgence
Modified structured products still popular as banks learn lessons of China crash
Risk management and regulation
The author presents a systematic review of the chronological evolution of risk management, in tandem with financial innovation and methodological advances in derivatives pricing.
Are failure indexes fair play?
Regulators must clarify stance on trading off big-data forecasts of outages, writes energy consultant
Cyber risk a top threat for energy firms
Cyber crime cited among top three external risks; scarce data makes modelling difficult