Risk
The evolving relationship between finance and risk
Increased regulatory requirements that are expanding the necessity for chief financial officers to be proficient in regulations and advanced big data analytics have seen the relationship with chief risk officers develop to facilitate co-operation as…
Quants tout exposure-based approach to op risk modelling
Ebor especially suited to modelling loss events such as legal claims, say proponents
Bank risk committees: desperately seeking risk managers
Most boards still lack career risk specialists despite tighter governance requirements
Estimation window strategies for value-at-risk and expected shortfall forecasting
This paper analyzes the impact of different estimation window strategies, including structural breaks and forecast combinations, on forecasting common risk measures such as VaR and ES.
Risk averse fractional trading using the current drawdown
In this paper, the fractional trading ansatz of money management, also called growth optimal trading, is reconsidered. Special attention is paid to the chance and risk parts of the goal function for the related optimization problem.
Fed credit limits likely to hit investment banks, custodians hardest
State Street, BNY Mellon, Morgan Stanley, Goldman Sachs have low credit limits; high bank exposures
Asia Risk Interdealer Rankings 2018: The winners
Societe Generale and BGC top the tables
Regulators zeroing in on non-financial risk, say banks
Several big financial firms said to be considering appointing heads of non-financial risk
Operational risk measurement beyond the loss distribution approach: an exposure-based methodology
In this paper, the authors present an alternative quantification technique, so-called exposure-based operational risk (EBOR) models, which aim to replace historical severity curves by measures of current exposures and use event frequencies based on…
Asian NDF fixings threat signals yet another deadline drama
Extraterritorial reach is not new to region, but EU Benchmarks Regulation poses real risks
Actionable data breach insights from op risk modelling
Thomas Lee, chief executive at VivoSecurity, and Martin Liljeblad, operational risk manager at MUFG Americas, examine how a data breach cost model can replace an advanced measurement approach in a structured scenario
The predictability implied by consumption-based asset-pricing models: a review of the theory and empirical evidence
This paper examines whether two well-known models, Campbell and Cochrane’s habit model and Bansal and Yaron’s long-run risks model, can produce significant return predictability.
Neil Dodgson on artificial intelligence
Sponsored video: Neil Dodgson, IBM Watson Financial Services
G-Sib swap portfolios reveal transatlantic divide
EU banks record 16% fall in non-cleared swaps, while US dealers see 9% growth
BoE: UK banks falling short on stress-test model risk
Recent guidance on stress-test models could be expanded, says BoE exec
ALM and liquidity risk reporting greatly enhanced by big data applications
Sponsored video: Luis Mataias, IBM Watson Financial Services
Five US banks below Collins floor
Morgan Stanley, JP Morgan, Citigroup, State Street and Wells Fargo had higher standardised RWAs than modelled RWAs