Portfolios could lose more than one-third of their value if inflation stays high, suggests crowd-sourced 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
Individual regulators have already gone further in encouraging transition
Starting with an expert assessment of the climate risk factors over a specified horizon, then moving to a description of the expected number of climate events and the severity of the losses if an event occurs, the authors describe a framework to analyze…
The authors present a methodology to generate future scenarios of interest rates for different credit ratings under a real-world probability measure.
Scenario analysis still isn’t taken seriously; it should be, says AQR’s former risk chief
Crowd-sourced election scenarios show sharp falls and correlation breaks if Trump challenges results
OpRisk North America: banks expected to design idiosyncratic stress scenarios to test resilience
Standard Chartered and HSBC have worst downside outlooks relative to their own base cases
Standardising stress drivers could help smooth differences between bank loss estimates
Second crowd-sourced scenario exercise reveals polarised views in equities and FX
Hosted by Asia Risk, this webinar – ahead of this October's Risk Hong Kong conference – addresses the latest market trends and challenges faced by Hong Kong’s risk management practitioners
Hedge fund quant, and Risk.net’s new columnist, shares his unique take on markets
Risk managers could use Black-Scholes to help drive strategy, writes René Doff
The Covid‑19 pandemic has proved to be a real-life stress test for the banking sector as firms adjust to new ways of working. Here, SAS explores how the pandemic has magnified the importance of stress-testing, scenario analysis and contingency planning…
Near misses represent a primary information source to analyze the operational risk exposure of a company, since they can reveal gaps in the control environment. The model proposed in this paper aims at identifying the most dangerous events that could…
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