Risk management
A practical maturity assessment method for model risk management in banks
This paper proposes a qualitative method to assess the maturity of model risk management practices within banks.
Asia investors eye fund-linked structures amid US rate rises
Principal-protected fund-linked products on the rise as fixed-income investors seek safety
Risk management for private equity funds
This paper aims to fill a gap in the literature by developing the first comprehensive risk management framework for private equity fund investments.
HSBC’s model risk chief departs
Exit follows February reshuffle of UK lender’s global risk analytics unit
Rethinking risk management in the age of cognitive computing
Content provided by IBM
Sponsored video: Jodi Richard, US Bank
Jodi Richard, chief operational risk officer, discusses the bank being named Bank of the year in the 2017 Operational Risk Awards.
Trading lightly: cross-impact and optimal portfolio execution
A liquidity model for basket of correlated securities is presented
Model management frameworks: what lies ahead?
Sponsored by KPMG
DTCC’s $74 billion liquidity charge riles members
Some firms may stop clearing US Treasury trades if the CCLF is implemented
Quants head for the shop floor
Demand for technical skills is growing, but roles have changed – and some schools are not keeping up
The quant factory: not muppets, but not perfect
Universities offering quant master’s programmes must adapt to stay relevant, writes UBS’s Gordon Lee
Managing and monitoring a single view of concentration risk
Content provided by IBM
Managing FX risk: How to prepare for the unpredictable
Sponsored feature: HSBC
Various approximations of the total aggregate loss quantile function with application to operational risk
This paper investigates the mechanics of the empirical aggregate loss bootstrap distribution.
A gradient-boosting decision-tree approach for firm failure prediction: an empirical model evaluation of Chinese listed companies
In this paper, the authors employ a gradient-boosting decision-tree method to improve firm failure prediction and explain how to better analyze the relative importance of each financial variable.
Dexia official acquitted of alleged swaps fraud in Italy
City of Prato likely to appeal despite perjury claims
Optimal execution of accelerated share repurchase contracts with fixed notional
This paper studies the pricing and optimal execution strategy of an accelerated share repurchase contract with a fixed notional.
Beware the pitfalls of right- and wrong-way risk
Credit exposure can be hazardous. Misinterpreting the risks posed can be ruinous
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