Financial institution
Study of correlation impact on credit default swap margin using a GARCH–DCC-copula framework
In this paper, the authors establish generalized autoregressive conditional heteroscedasticity–dynamic conditional correlation (GARCH–DCC) and constant conditional correlation (CCC) copula model frameworks to study time-varying correlation among credit…
Static and dynamic risk capital allocations with the Euler rule
This paper studies the volatility of the Euler rule for capital allocation in static and dynamic empirical applications with a simulated history.
What gold's rise means for rates, equities
It has been several years since we have seen volatility in gold. An increase in gold volatility can typically be associated with a change in sentiment and investor behavior. The precious metal has surged this year on increased demand for safe haven…
Deploying agile analytics in the fight against fraud
Financial firms are under pressure to tackle the widespread problem of financial fraud. As the speed, scale and sophistication of fraudulent activity grows, a panel of financial crime experts reveal how firms can develop an agile analytics capability to…
Model risk management: from epistemology to corporate governance
In this paper, the authors conduct an analysis of model risk in an attempt to understand the main issues that lead to failures and the best way to address such issues.
HKEX: Hong Kong should not fear China investment rule change
Confidence in city’s legal framework remains a key advantage as China loosens QFII rules, says risk chief
Patchy grasp of Libor reform worries Asia lenders
Widespread lack of understanding could hinder renegotiation of loan terms
Banks queasy over idea of building cyber trust
They agree that sharing intel on cyber threats is a good thing. But that doesn’t mean they want to
Global cross-border lending accelerates
Lending growth to offshore centres surges to 5.3%
Risk Technology Awards 2019: Making machines more helpful
Machine learning can be too efficient; now, vendors are looking for ways to make it more accurate. Clive Davidson looks at the stories behind this year’s Risk Technology Awards
Rating migrations of US financial institutions: are different outcomes equivalent?
This study employs a competing risks approach to examine the rating migrations of US financial institutions (FIs) during the period 1984–2006.
A tech-driven transformation
A panel of experts explores how greater collaboration between risk and finance teams can garner significant benefits and add value, how technological innovation is making the regulatory landscape more complicated to navigate and produce transformative…
Risk and finance – Better together
Changing regulations and new accounting standards are creating enormous challenges for financial organisations. Thorsten Hein, principal product marketing manager, risk research and quantitative solutions at SAS, explores why, to successfully meet these…
Q&A: ‘Stop talking about rules’ – Basel’s Coen
Standard-setter’s top staffer is moving on. He wants industry to do the same
Default cascades and systemic risk on different interbank network topologies
This paper examines the relationship between the topology of interbank networks and their ability to propagate localized, idiosyncratic shocks across the banking sector via banks’ interbank claims on one another.
Model risk management transformation
Financial institutions have been maturing their approaches to MRM and – as models become more complex and pervasive, and regulatory expectations continue to increase – leading financial institutions seek faster and further movement. Ashutosh Nawani, head…
A helping hand – Addressing industry concerns
The Basel Committee on Banking Supervision’s final revisions to the FRTB guidelines aim to address industry concerns around complexity and capital implications. A forum of industry leaders discusses whether the changes have been effective and how banks…
Turning the IMA into a competitive advantage
Following the clarification of the FRTB rules in January 2019, financial institutions are now working towards a 2022 implementation deadline, finalising how their trading books will operate under this demanding regulation. Eoin Ó Ceallacháin, head of…