Risk
Santander reaps capital benefit with close of toxic asset sale
The bank aims to have CET1 above 11% by end-2018
UBS warns of 6% increase in credit RWAs in 2018
The bank's credit RWAs continue upward trend
Monitoring transmission of systemic risk: application of partial least squares structural equation modeling in financial stress testing
This paper illustrates how the transmission of systemic risk from shadow banking to the regulated banking sector can be modeled using partial least squares structural equation modeling in an effort to help regulators better monitor and manage contagion.
BAML approaches Collins floor
The gap between RWAs calculated under the two approaches continues to shrink
News-sentiment networks as a company risk indicator
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.
The new world of risk analytics
Webinar: SAS
Sponsored video: Thomas Lee, Vivo Security
Thomas Lee, chief executive and co-founder of Vivo Security – a start-up firm based in Silicon Valley and sponsors at OpRisk North America – talks about how special the banking industry is to Vivo Security and why its approach to model risk management…
Regtech – Enabler of the shift from compliance to performance
Survey report & white paper | Moody's Analytics
UBS shrugs off VAR exceptions
The Swiss bank has crunched down its market RWAs to Sfr12.3 billion
Fed’s risk proposal puts banks on the defensive
New supervisory guidance will make business heads responsible for risk management
Advancing on all fronts
Sompo Global Weather continues to expand its offering with timely, tailored weather risk solutions designed to service a growing global audience and diversification into new sectors supplying responsive solutions
Ensuring reliability in a rapidly changing energy landscape
Igor Koprivnikar, member of the management board at Gen-i, discusses what sets the organisation apart as the top power dealer in eastern Europe, the benefits that a global portfolio can bring for clients in regional European markets, and how strong…
Regulatory merger keeps China on course for deleveraging
Combination of banking and insurance regulators offers opportunity to co-ordinate debt reduction measures
Next-generation GRC
Webinar: Nasdaq BWise
Mostly prior-free asset allocation
This paper develops a prior-free version of Harry Markowitz’s efficient portfolio theory, which allows the decision maker to express their preferences with regard to risk and reward, even though they are unable to express a prior over potentially…
Valuing streams of risky cashflows with risk-value models
Based on risk-value models this paper introduces a multi-period approach to the valuation of streams of risky cash flows.
FRTB: Delivering on the promise of data-driven insights
Content provided by IBM
Asia Risk Congress 2017: The new XVA challenge
Video interview: Fabio Mercurio, Bloomberg
Risk and finance: Working more closely together
Video interview: Thomas Kimner, SAS
Optimal investment and financing with macroeconomic risk and loan guarantees
This paper considers an entrepreneur who has no assets in place but possesses an option to invest in a project incurring a lump-sum investment cost, of which a fraction must be financed by entering into an equity-for-guarantee swap.
Video interview: Pieter Entius, Flow Traders
Pieter Entius, head of trading at Flow Traders, discusses how Eurex Market-on-Close can deliver listed solutions for basis trading
Unified data – Key to IFRS 9 implementation
Regulatory information brief part II – Benchmarks
Maximising effectiveness with tech
Winners' Circle Q&A: Risk Market Technology Awards 2018 | Murex