Risk management
Forecasting scenarios from the perspective of a reverse stress test using second-order cone programming
This paper proposes a model for forecasting scenarios from the perspective of a reverse stress test using interest rate, equity and foreign exchange data.
Does higher-frequency data always help to predict longer-horizon volatility?
This paper shows that realized conditional autocorrelation in return residuals is a strong predictor of the relative performance of different frequency models of volatility.
Managing energy market volumetric risk
Krzysztof Wolyniec presents a volumetric risk management model for energy markets
Fears of fragmentation over Basel shadow banking rules
Step-in risk guidelines could be taken more seriously in the EU than in the US
Uniper’s Khan on risk transformation and green energy
Novera Khan: as energy markets change, risk management should be at the heart of business strategy
Model risk managers eye benefits of machine learning
Ramp-up in regulatory scrutiny of model validation sees banks turn to black boxes
ETRM systems edge into cloud, but caution urged
Cloud could revolutionise ETRM systems but hurdles persist, according to survey
White paper: Operational failures of regulatory risk management
White paper: Intralinks
P&L attribution for energy portfolios with non-linear exposures
Carlos Blanco and Alessandro Mauro explain how non-linear P&L attribution tools can improve a company’s business intelligence capabilities
White paper: The financial paradigm shift
White paper: FactSet
DTCC’s Bodson criticises ‘dumb-ass’ cyber risk rules
Requirement to recover from cyber attack within two hours unrealistic, he says
Academics warn against overuse of machine learning
Lack of data makes AI technology unsuitable for risk management, say Cont and Rebonato
Emerging cyber threats share a familiar root cause
Whether in banking or energy, most cyber breaches start with human error
Risk Chartis Market Report: Buy-side risk management technology
Sponsored by OpenLink and Tradeweb
Progress checked: buy side still struggling to join up analytics
Firms see benefit in linking performance attribution and risk, but differences in approach are a constraint on headway
Bolstering the biofuels market
Sponsored Q&A: Energy Risk Commodity Rankings 2017 | SCB
Political gaming casts energy further into age of disruption
With regulatory change in the air, market participants must be more aware of the situations those with legislative responsibility find themselves in
Operational risk and the three lines of defence in UK financial institutions: is three really the magic number?
This paper examines the three lines of defence in the context of ORM in UK financial institutions.
In-house system of the year: Citadel
Risk Awards 2017: Futuristic control centre has transformed dialogue between risk and business
Top 10 operational risks for 2017
Risk.net presents the top 10 operational risks of 2017, as chosen by risk practitioners
Hidden benefits of the Fed’s model validation push
Incidents such as the London Whale losses show an overhaul of model validation should be welcomed, not maligned
Ice hires ex-Barclays OTC clearing chief in rates push
Ex-Barclays and Lehman banker Ray Kahn joins exchange group to focus on interest rate derivatives business
What lies beneath: attention lessons for risk managers
Allowing seemingly irrelevant problems to fester can lead to catastrophe