Risk measurement
Operational risk measurement: integrating the amplification effects of reputational risk
This paper puts forward a means to measure operational risk losses which integrates reputational and operational risks.
NMRF framework: does it satisfy the ‘use test’?
Non-modellable risk factors affect risk sensitivity and face practical and calibration difficulties, argue two risk experts
Green risk identification and risk measurement in fintech: a particle swarm optimization fuzzy analytic hierarchy process and sparrow search algorithm quantile regression neural network approach
The authors apply PSO-FAHP and SSA-QRNN models to identify and measure financial risks in the fintech sector.
Key principles for operational risk stress testing design and evaluation
The author surveys operational stress testing methods and proposes a conceptual framework for designing operational risk stress tests.</li>
Top 10 op risks: Why cyber risk looms larger than its losses
Fast-moving threat landscape and increased supplier concentration keep infosec top of the table
August’s volatility thunderbolt rattles risk managers
Investment firms mull changes to value-at-risk models after never-before-seen spike in volatility index
European banks search for consensus on credit spread risk
New EBA guidelines spawn diverging interpretations of which products must be assessed for CSRBB
Converting a covariance matrix from local currencies to a common currency
The authors put forward a simple means to translate a covariance matrix estimated in local currencies into a covariance matrix expressed in a common currency.
For G-Sibs managing cyber outages, confidence makes the difference
IT disruption drops among top G-Sib concerns this year, as banks revamp models and retool risk indicators
Study finds just 10 banks plan to apply for FRTB models
Research provides extra insight on reasons for decline in internal models
A study of China’s financial market risks in the context of Covid-19, based on a rolling generalized autoregressive score model using the asymmetric Laplace distribution
The authors construct a risk measurement model for the financial market during the Covid-19 pandemic, using data from the Shanghai Stock Exchange for empirical analysis.
BofA, Citi, JPM slash $18trn of derivatives in latest window dressing effort
Systemic indicator reduction in Q4 keeps lid on trio’s capital surcharges
How to choose the dependence types in operational risk measurement? A method considering strength, sensitivity and simplicity
The authors put forward a method for banks to choose the most appropriate dependence type based on an empirical analysis of the Chinese Operational Loss Database.
Banks begin tackling climate stress tests of trading books
Market risk professionals see major shortcomings in available scenarios
Cyber risk definition and classification for financial risk management
The authors put forward a definition and classification scheme for cyber risk than can be used as a template for data collection by financial institutions.
A theory for combinations of risk measures
This paper investigates combinations of risk measures under no restrictive assumption on the set of alternatives, obtaining results regarding the preservation of properties and acceptance sets for these combinations of risk measures.
Key impact deep dive (KIDD)
This paper proposes a KIDD (key impact deep dive) approach for assessing extreme risks based on assessing key impact types.
A new metric for liquidity add-ons: easy as ADV, but better
Proposed measure allows brokers to calculate stable, stock-specific liquidity add-ons
Nonconvex noncash risk measures
This paper looks at nonconvex, noncash risk measures with p-norm (1 ≤ p ≤ ∞) for nonweak cone-type acceptable sets.
Building forward-looking scenarios: why you’re doing it wrong
Rick Bookstaber and colleagues describe a process for constructing effective scenarios
New SEC derivatives rule – What mutual fund managers need to know about risk and regulations
The US Securities and Exchange Commission has adopted Rule 18f-4, which requires registered funds and business development companies to implement a robust regulatory framework for derivatives use. This webinar provides a comprehensive overview of the new…