Risk management
What lies beneath: attention lessons for risk managers
Allowing seemingly irrelevant problems to fester can lead to catastrophe
Analytical method of computing stressed value-at-risk with conditional value-at-risk
The author of this paper develops an analytical form of stressed value-at-risk (analytical SVaR), using conditional value-at-risk (CoVaR).
FRTB’s risk factor framework is more punitive than it seems
Regime’s constraints may mean risk factors drop in and out of modellability far more frequently than dealers think
Why liquidity risk is the silent clearing killer
A quant paper shows feedback effects can amplify CCP margin requirements in stressed markets
European buy-side firms face clearing crunch
Large buy-side firms will be subject to Europe’s clearing mandate from December 21, but their smaller peers risk being left behind
Closer ties between banks could mean more risk-taking
Model points to risks of core-periphery structure
Relative values: JPM’s $260m China interns fine tops November losses
Megan van Ooyen from SAS rounds up the top five op risk losses for November
Could a phase-in save FRTB?
Regional banks fear they will run out of time to implement FRTB, but a phase-in could set a welcome trend
How risk managers should fix tracking error volatility and value-at-risk constraints in asset management
In this paper, the author determines an optimal value for a set of limits composed of the lower limit on TEV, the upper limit on TEV and the upper limit on VaR.
European NSFR revamp could save banks billions in funding costs
Commission expected to ease pressure of liquidity ratio on derivatives positions when it unveils CRD V proposals
See the error of your VARs
Commonly-used VAR estimation method shown to underestimate risk
Adjusting VAR to correct sample volatility bias
David Frank proposes an adjustment to sample variance for the computation of value-at-risk
Compositional methods applied to capital allocation problems
In this paper, the authors examine the relationship between capital allocation problems and compositional data, and show that capital allocation principles can be interpreted as compositions.
Position vacant: unpicking energy’s hidden contract risks
Complex, long-term supply deals present job opportunity for risk managers
Risk Chartis Market Report: IFRS 9
Sponsored by Oracle, Moody's Analytics and AxiomSL
Decomposition of portfolio risk into independent factors using an inductive causal search algorithm
This paper presents a method to estimate and decompose a portfolio’s risk along independent factors.
Pension funds cautioned on equity-bond correlation
Buy-siders need to plug changes into VAR, say risk managers
US Bank’s op risk chief on terrorism and continuity
Jodi Richard explains overhaul of firm’s op risk programme, including crisis management plans
OCC’s Cunningham on why regulatory agencies need CROs too
The US banking supervisor has been taking a leaf out of banks’ books and putting the focus on enterprise risk management
Changing times mean a tougher job for op risk managers
Wave of organisational change at major banks heightens operational risk exposure
Intraday data does not improve daily VAR, research suggests
Bids to use bigger datasets give no better loss forecasts, says hedge fund
EBA stress test ‘obsolete’ after Brexit vote
Experts call for a rethink on setting scenarios for future tests
Futureproofing risk management
Sponsored Q&A: Numerix
Three lines of defence a struggle, say op risk heads
Separation "theoretically perfect" but "practically, hugely flawed" says UBS's Hunt