Risk management
Maximising effectiveness with tech
Winners' Circle Q&A: Risk Market Technology Awards 2018 | Murex
Digitally adapting to regulatory change
Winners' Circle Q&A: Structured Products Europe Awards 2017 | BNP Paribas
Basis risk looms for insurers in Libor transition
UK insurers may need to pay more and run basis risk to hedge interest rates after transition
Banks tout new structures amid Korean autocall resurgence
Modified structured products still popular as banks learn lessons of China crash
Risk management and regulation
The author presents a systematic review of the chronological evolution of risk management, in tandem with financial innovation and methodological advances in derivatives pricing.
Are failure indexes fair play?
Regulators must clarify stance on trading off big-data forecasts of outages, writes energy consultant
Cyber risk a top threat for energy firms
Cyber crime cited among top three external risks; scarce data makes modelling difficult
Hong Kong regulator to monitor investor IDs on Stock Connect
SFC move designed to clamp down on misconduct and promote city as China risk management hub
Managers see danger in rise of mega funds
Institutionalisation of hedge funds could be adding to liquidity risk, managers say
Nondefault loss allocation at central counterparties
In this paper, the authors answer three questions about the appropriate allocation of nondefault losses at central counterparties.
Estimating “hedge and auction” liquidation costs in central counterparties: a closeout risk approach
This paper shows how the closeout risk framework can be extended to realistically represent and simulate the potential outcomes of “hedge and auction” default management policies currently implemented by several major central counterparties.
Management of behavioral risk in the first line of defence
This paper discusses key features of fighting behavioral risk in the business line of operations as the central hub for all transactions in a bank.
An uncertainty quantification framework for the achievability of backtesting results of trading strategies
In this paper, the authors propose a framework for implementing and backtesting trading strategies.
A practical maturity assessment method for model risk management in banks
This paper proposes a qualitative method to assess the maturity of model risk management practices within banks.
Asia investors eye fund-linked structures amid US rate rises
Principal-protected fund-linked products on the rise as fixed-income investors seek safety
Risk management for private equity funds
This paper aims to fill a gap in the literature by developing the first comprehensive risk management framework for private equity fund investments.
HSBC’s model risk chief departs
Exit follows February reshuffle of UK lender’s global risk analytics unit
Rethinking risk management in the age of cognitive computing
Content provided by IBM
Sponsored video: Jodi Richard, US Bank
Jodi Richard, chief operational risk officer, discusses the bank being named Bank of the year in the 2017 Operational Risk Awards.
Trading lightly: cross-impact and optimal portfolio execution
A liquidity model for basket of correlated securities is presented
Model management frameworks: what lies ahead?
Sponsored by KPMG
DTCC’s $74 billion liquidity charge riles members
Some firms may stop clearing US Treasury trades if the CCLF is implemented
Quants head for the shop floor
Demand for technical skills is growing, but roles have changed – and some schools are not keeping up
The quant factory: not muppets, but not perfect
Universities offering quant master’s programmes must adapt to stay relevant, writes UBS’s Gordon Lee