Opinion/Risk management
Risk managers take note: Brexit was not a black swan
Protecting yourself against true black swans is the art of the possible, not the probable
When time is of the essence, shortcuts are still handy
‘New age’ quants might not like it, but speed can be traded for accuracy in spotting investment opportunities
Macroeconomic theories: not even wrong
Flawed and inconsistent mainstream macroeconomic theories such as efficient market hypothesis are dangerous to society, says Alexander Lipton
The three lines of defence: a health warning
Effective risk management is more important than what your organisational chart looks like
What a star 1,480 light years away can teach risk managers
Amateur astronomers’ discovery shows value of humans over algorithms
Cat bonds can help combat the systemic risks of CCPs
Bonds could pre-fund CCP default funds and higher margins during market stress, authors argue
State Street sees double whammy of op risk losses
Megan van Ooyen from SAS rounds up the top five op risk losses for July
Why not having AAD needn’t be the end of the world
Optimisation method offers quicker and more focused way of making XVA calculations
$1.5bn subprime hit at HSBC dwarfs other op risk losses
Megan van Ooyen from SAS rounds up the top five op risk losses for June
What Brexit teaches operational risk management
Receptiveness, resilience and reflection are crucial for avoiding nasty surprises
Even for me, AMA models are too complicated
The AMA doesn’t make any sense – but the idea of a single, simple equation does, writes Ruben Cohen
Connecting the dots: how DTCC manages contagion risks
DTCC CRO Andrew Gray offers a template for managing the risk of interconnectedness
The beginning of the end for footloose modelling
US model risk guidance has drawbacks, but is a step towards better management of model risk
Brexit or Bremain: looking for clues in bubble analysis
Crisis analysis model suggests rates and credit markets see danger
Weighing criticism of the SMA reveals a lack of balance
Operational risk managers are becoming unusually excitable, with some justification
Benchmark misery will continue to plague banks
Index rigging caused $574 million of op risk losses in May, writes Megan van Ooyen from SAS
Living wills and LVAR could help kill liquidity risk
When used with living wills, a new method may help banks quantify liquidation costs
Careless whispers have a cost
CFTC redefines insider trading for the swaps market
Fed data dependency backfires
Past year has seen huge change in formation of rate expectations
Basel Committee’s CVA shocker ignores trade-offs
Ditching own models for CVA risk is too binary and eliminates possibility of further dialogue
CCAR as a powerful business and risk management tool
Firms should use stress testing to challenge assumptions
Trust in clusters: a new approach to stress testing
Search for plausible stress scenarios leads Natixis risk managers in a new direction
Bringing order to op risk and the duck-billed platypus
Industry co-operation on operational risk taxonomies might yield a valuable tool
Nine years later, RMBS woes still haunt banks
Megan van Ooyen from SAS rounds up the top five operational risk losses for April 2016