This paper challenges widely applied trading indicators with regard to their ability to generate a robust performance.
Firms seek better handle on impact of global shocks, and hope to avert regulatory attention
Carbon pricing paths to a greener future, and potential roadblocks to public companies’ creditworthiness
In this paper, the authors introduce a valuation-based approach to estimate how energy transition risk may impact the creditworthiness of public companies globally within the next thirty years.
As supervisory stress tests take a backseat, banks look for new ways to gauge extreme risks
As pandemic trashes historical data, a Risk.net tie-up with Ron Dembo’s new outfit tests promise of polling
Veteran quant argues large groups are better at gauging extreme uncertainty than small teams of experts
Banks enlist scenario analysis to bolster creaking default models
Due to a combination of increasing social pressure, demands for better disclosure from investors and emerging regulation, companies are increasingly questioning the extent to which they are incorporating climate change into their global risk management…
Creditworthiness of individual entities may offer an insight into systemic risk of financial markets
Regulators consider banks’ internal capital adequacy and assessment process (ICAAP) and internal liquidity adequacy assessment process (ILAAP) important tools in managing risk. The European Central Bank’s (ECB’s) updated guidance – which came into effect…
Risk and portfolio managers at La Francaise and LFIS are squeezing more information out of stress tests
As uncertainty abounds on the impact climate change may have on the industry, financial services firms must best equip themselves for potential regulatory and socioeconomic changes to ensure they maximise the opportunities of embracing new best practices…
By revisiting certain calculations, new insights into risk and profit drivers can be gained, says data scientist
Failure to take immediate action on the proposals set out in the Paris Agreement on climate change could cost approximately $1.2 trillion over the next 15 years in policy risk costs. Oliver Marchand, co-founder of Carbon Delta and executive director of…
As efforts to transition from Libor to risk-free rates ramp up, Maria Blanco and Nassim Daneshzadeh, partners in PwC’s US and UK financial services practices, discuss two critical and interconnected strategies that are front and centre for PwC clients
This paper sets out techniques for: (a) identifying systematically emerging threats, their timescales, and interrelationships (eg, feedback loops and domino effects); (b) quantifying operational risks through structured scenario analysis processes that…
This paper investigates cyber loss data and focuses on quantifying the direct financial and compensatory losses emanating from cyber risks.
Asia Risk Technology Awards 2019
International Financial Reporting Standard 9 expected credit loss estimation: advanced models for estimating portfolio loss and weighting scenario losses
In this paper, the authors propose a model to estimate the expected portfolio losses brought about by recession risk and a quantitative approach to determine the scenario weights.
Scheme to agree on common risk drivers could help Fed benchmark risk exposures, says JP op risk expert
Singaporean bank overhauls penetration testing and scenario analysis, with Tobias Gondrom leading the effort
StanChart building out scenario library as dealers up use of technique to gauge spending on defences