Hedge funds echo Mervyn King’s calls for a new approach to inflation modelling post-2022 crisis
Six jurisdictions conducted exercises only for transition risk
A nuclear strike on Ukraine would open the door to the pit; our readers guessed how markets would fare, with surprising results
The author presents an empirical approach to scenario design for selecting a stress scenario for international macrofinancial variables and compares this approach with a historical scenario approach.
Republican control of Congress could deal “a sharp shock to markets”, analysis suggests
Talking Heads 2022: Bank is reaping rewards of sticking with its trading businesses, says macro head Lublinsky
This paper uses the ten laws of operational risk along with taxonomies for inadequacies or failures and their impacts, and it also draws parallels with past crises, in order to make systematic predictions.
Leo Sadovy, analytics consultant, risk, finance and banking, and solution lead for SAS‘s scenario analysis and stress-testing solution, sets out the key role of strong decision-making and the importance of being able to innovate and respond to adverse…
This webinar explores how to enhance business planning activities, while accelerating regulatory demands with limited resources amid a need to derive greater value from the analytic lifecycle
Ukraine invasion, western sanctions and Russian response seen driving big rise in cyber and supply chain risks
Beefed-up sanctions on Russia’s largest banks spark IT security alert; 100s of computers brought down in Ukraine
In this paper, the authors apply a measure of statistical unusualness, called the Mahalanobis distance, to assess the plausibility of the scenarios used in the Federal Reserve's stress tests.
Financial institutions are facing several challenges as they prepare for the transition risk journey that will see them evaluating their existing risk and finance solutions. Ludwig Dickens, client advisor, risk business consulting, at SAS discusses what…
Risk and resilience continue to play an important role in the navigation of an increasingly uncertain world. Fusion Risk Management explores why it is equally crucial for technology to support organisations in addressing pertinent environmental, social…
Measuring climate risk on bonds is a nascent discipline. Andy Sparks, fixed income and multi-asset product research at MSCI, looks at how to apply climate analytics to fixed income portfolios
Only 9% say front-line staff have climate role today – specialists call for better metrics and link to pay
Crowdsourced scenario analysis suggests very few sectors safe from a post-COP carbon price pop
OpRisk North America: banks warned of “disconnect” between theory and practice
Portfolios could lose more than one-third of their value if inflation stays high, suggests crowdsourced scenario exercise
Regulators ponder whether climate risk needs new RWAs or recalibration of existing ones
This paper proposes a KIDD (key impact deep dive) approach for assessing extreme risks based on assessing key impact types.
Banks need information from clients or third parties to populate 1,760 stress test variables
Lacima’s consistent approach between trading and risk has allowed it to dominate the enterprise risk software analytics and metrics categories for nearly a decade
Under op resilience rules, firms must plan for all severe stresses, whatever their probability