Exposure modelling
Ibor transition valuation and risk management considerations
The impending move from interbank offered rates to alternate reference rates will require important changes to many valuation and risk management processes and infrastructure. EY Financial Services’ Shankar Mukherjee, Michael Sheptin and John Boyle…
Operational risk measurement beyond the loss distribution approach: an exposure-based methodology
In this paper, the authors present an alternative quantification technique, so-called exposure-based operational risk (EBOR) models, which aim to replace historical severity curves by measures of current exposures and use event frequencies based on…
Cyber risk a top threat for energy firms
Cyber crime cited among top three external risks; scarce data makes modelling difficult
Managing and monitoring a single view of concentration risk
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Model firms vie to pinpoint ‘X factor’ in private equity, property
Difficulties gathering data plague efforts to determine correlation between private and publicly traded assets
Banks brace for qualitative objections from CCAR
Fed stress tests tilt towards data, governance, internal controls and modelling techniques
Sponsored educational feature: Counterparty credit risk in portfolio risk management
Counterparty credit risk in portfolio risk management