Risk management
Managing and monitoring a single view of concentration risk
Content provided by IBM
Managing FX risk: How to prepare for the unpredictable
Sponsored feature: HSBC
Various approximations of the total aggregate loss quantile function with application to operational risk
This paper investigates the mechanics of the empirical aggregate loss bootstrap distribution.
A gradient-boosting decision-tree approach for firm failure prediction: an empirical model evaluation of Chinese listed companies
In this paper, the authors employ a gradient-boosting decision-tree method to improve firm failure prediction and explain how to better analyze the relative importance of each financial variable.
Dexia official acquitted of alleged swaps fraud in Italy
City of Prato likely to appeal despite perjury claims
Optimal execution of accelerated share repurchase contracts with fixed notional
This paper studies the pricing and optimal execution strategy of an accelerated share repurchase contract with a fixed notional.
Beware the pitfalls of right- and wrong-way risk
Credit exposure can be hazardous. Misinterpreting the risks posed can be ruinous
Forecasting scenarios from the perspective of a reverse stress test using second-order cone programming
This paper proposes a model for forecasting scenarios from the perspective of a reverse stress test using interest rate, equity and foreign exchange data.
Does higher-frequency data always help to predict longer-horizon volatility?
This paper shows that realized conditional autocorrelation in return residuals is a strong predictor of the relative performance of different frequency models of volatility.
Managing energy market volumetric risk
Krzysztof Wolyniec presents a volumetric risk management model for energy markets
Fears of fragmentation over Basel shadow banking rules
Step-in risk guidelines could be taken more seriously in the EU than in the US
Uniper’s Khan on risk transformation and green energy
Novera Khan: as energy markets change, risk management should be at the heart of business strategy
Model risk managers eye benefits of machine learning
Ramp-up in regulatory scrutiny of model validation sees banks turn to black boxes
ETRM systems edge into cloud, but caution urged
Cloud could revolutionise ETRM systems but hurdles persist, according to survey
White paper: Operational failures of regulatory risk management
White paper: Intralinks
P&L attribution for energy portfolios with non-linear exposures
Carlos Blanco and Alessandro Mauro explain how non-linear P&L attribution tools can improve a company’s business intelligence capabilities
White paper: The financial paradigm shift
White paper: FactSet
DTCC’s Bodson criticises ‘dumb-ass’ cyber risk rules
Requirement to recover from cyber attack within two hours unrealistic, he says
Academics warn against overuse of machine learning
Lack of data makes AI technology unsuitable for risk management, say Cont and Rebonato
Emerging cyber threats share a familiar root cause
Whether in banking or energy, most cyber breaches start with human error
Risk Chartis Market Report: Buy-side risk management technology
Sponsored by OpenLink and Tradeweb
Progress checked: buy side still struggling to join up analytics
Firms see benefit in linking performance attribution and risk, but differences in approach are a constraint on headway
Bolstering the biofuels market
Sponsored Q&A: Energy Risk Commodity Rankings 2017 | SCB