This paper proposes a KIDD (key impact deep dive) approach for assessing extreme risks based on assessing key impact types.
Proposed measure allows brokers to calculate stable, stock-specific liquidity add-ons
This paper looks at nonconvex, noncash risk measures with p-norm (1 ≤ p ≤ ∞) for nonweak cone-type acceptable sets.
Rick Bookstaber and colleagues describe a process for constructing effective scenarios
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…
Amid a global push towards green policies, the reality of overhauling how industries worth trillions of dollars operate is causing concern. A forum of market participants and sponsors of this report discuss the levels of awareness of climate risk and its…
The transition from Libor to a new risk-free rate has revealed a number of challenges for all financial markets participants – the nature and scope of what lies ahead is vast, impacting businesses, operations and support functions. KPMG‘s global Libor…
This paper provides a rationale for adopting quantitative buffer capital, designed to absorb variations due to measurement errors, especially those originating from the estimation risk.
Missing data is a problem. Expert elicitation taps the knowledge of many, say consultants
Workshop will delve into definitions and classifications of the most chameleon of risks
Global warming threatens to upend everything risk models take for granted
In this paper, the authors conduct an analysis of model risk in an attempt to understand the main issues that lead to failures and the best way to address such issues.
This paper proposes an approach, called the loss distribution approach with segmented dependence (LDA-SD), which can model the different dependencies of HFLI and LFHI losses in the framework of LDA.
In this paper, the author uses a unique data set, containing the revealed risk preferences of 9235 subjects, elicited with four different methods, to estimate latent risk preferences.
Firms have until 2021 to implement FRTB, and those yet to begin compliance efforts risk putting themselves at a disadvantage. EY‘s financial services risk partners Shaun Abueita and Sonja Koerner explore the current level of readiness within the industry…
All pricing, risk and valuation models will need to be changed to reflect the new rate
Innovative investment opportunities are helping to mitigate risk and satisfy Solvency II capital requirements as insurers face continued economic uncertainty. Frederic Morlaye, managing director, insurance and capital management solutions, Global Markets…
This paper defines an algorithm for measuring sentiment-based network risk, to understand the relationship between news sentiment and company stock price movements, and to better understand connectivity among companies.
Demand for technical skills is growing, but roles have changed – and some schools are not keeping up
Staff turnover, regulation among five factors holding banks back
Risk professionals and investors would both benefit from industry-wide norms
In this paper, the authors propose the SDR risk measure to consider the degree of dispersion of an extreme loss in addition to its expected value.