Risk management
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
Static mitigation of volumetric risk
This paper formulates a functional optimization problem over a set of regular payoff functions to deal with the joint mitigation of combined price–volume risk using purely financial tools.
Investors must probe bank culture, says veteran financier
Ex-Barclays chairman says managers should take “stewardship responsibility” for bank conduct
Automated for the people
Sponsored survey analysis: Wolters Kluwer
Bangladesh Bank theft shines light on cyber risk
Banks and regulators increasingly concerned amid high-profile cyber security breaches
Risk management and portfolio optimization for gas- and coal-fired power plants in Germany: a multivariate GARCH approach
This paper investigates the hedging effectiveness of energy derivatives traded at the EEX for the purpose of mitigating the risk exposure of gas- and coal-fired power plants in Germany.
People: SG Americas appoints chief culture and conduct officer
Nancy Harrington Jones is promoted; Cheri McGuire joins Standard Chartered as CISO; Penny Judd exits Nomura
Two sides of the same coin: risk measures in the energy markets
This paper investigates whether there are existing common model features that yield consistently superior results under both VaR and ES risk metrics in the energy commodities markets.
Stochastic receding horizon control for short-term risk management in foreign exchange
The authors of this paper formalize a methodology to manage short-term FX risk.
Evaluating the performance of the skewed distributions to forecast value-at-risk in the global financial crisis
This paper models the tail behavior of daily returns and forecasting VaR in order to evaluate the performance of several skewed and symmetric distributions.
IFRS 9 loss rules distracting banks from models and data
Banks neglecting necessary work on data and model governance, warn tech vendors
Technological nightmares worry Zurich Global Corporate CRO
Cyber crime and nanoparticles represent emerging risks for insurers, says John Scott
Leeson: risk managers should be personally liable for trades
Former rogue trader says new UK rules could "change the way people look at risk"