Risk measurement
CRO says NY Fed faces same op risks as commercial banks
“The predominant risks the bank faces have shifted since the end of the financial crisis,” says Rosenberg
Model uncertainty in risk capital measurement
The authors of this paper propose to quantify the effectiveness of a capital estimation procedure via the notions of residual estimation risk and estimated capital risk.
'Have your cake and eat it': efficient op risk reporting
Cakes and candles can help risk managers get flavour right, argues Ariane Chapelle
Suitability of capital allocations for performance measurement
Capital allocation principles are used in various contexts in which the risk capital or the cost of an aggregate position has to be allocated between its constituent parts.
Applied risk management series: Integrating stress tests with risk management
Stress testing is a vital part of successful risk management, but risk managers at energy trading firms frequently face obstacles in designing and implementing successful stress testing programmes. In this article, Carlos Blanco provides some advice on…
