Risk management
OCC’s Cunningham on why regulatory agencies need CROs too
The US banking supervisor has been taking a leaf out of banks’ books and putting the focus on enterprise risk management
Changing times mean a tougher job for op risk managers
Wave of organisational change at major banks heightens operational risk exposure
Intraday data does not improve daily VAR, research suggests
Bids to use bigger datasets give no better loss forecasts, says hedge fund
EBA stress test ‘obsolete’ after Brexit vote
Experts call for a rethink on setting scenarios for future tests
Futureproofing risk management
Sponsored Q&A: Numerix
Three lines of defence a struggle, say op risk heads
Separation "theoretically perfect" but "practically, hugely flawed" says UBS's Hunt
Static mitigation of volumetric risk
This paper formulates a functional optimization problem over a set of regular payoff functions to deal with the joint mitigation of combined price–volume risk using purely financial tools.
Investors must probe bank culture, says veteran financier
Ex-Barclays chairman says managers should take “stewardship responsibility” for bank conduct
Automated for the people
Sponsored survey analysis: Wolters Kluwer
Bangladesh Bank theft shines light on cyber risk
Banks and regulators increasingly concerned amid high-profile cyber security breaches
Risk management and portfolio optimization for gas- and coal-fired power plants in Germany: a multivariate GARCH approach
This paper investigates the hedging effectiveness of energy derivatives traded at the EEX for the purpose of mitigating the risk exposure of gas- and coal-fired power plants in Germany.
People: SG Americas appoints chief culture and conduct officer
Nancy Harrington Jones is promoted; Cheri McGuire joins Standard Chartered as CISO; Penny Judd exits Nomura
Two sides of the same coin: risk measures in the energy markets
This paper investigates whether there are existing common model features that yield consistently superior results under both VaR and ES risk metrics in the energy commodities markets.
Stochastic receding horizon control for short-term risk management in foreign exchange
The authors of this paper formalize a methodology to manage short-term FX risk.
Evaluating the performance of the skewed distributions to forecast value-at-risk in the global financial crisis
This paper models the tail behavior of daily returns and forecasting VaR in order to evaluate the performance of several skewed and symmetric distributions.
IFRS 9 loss rules distracting banks from models and data
Banks neglecting necessary work on data and model governance, warn tech vendors
Technological nightmares worry Zurich Global Corporate CRO
Cyber crime and nanoparticles represent emerging risks for insurers, says John Scott
Leeson: risk managers should be personally liable for trades
Former rogue trader says new UK rules could "change the way people look at risk"
The future of risk data management
Sponsored webinar: FIS
An application of sensitivity analysis to hedge funds
This paper investigates a sample of 142 live hedge funds via a DEA sensitivity analysis using a super-efficiency model.
Regulation, risk-taking and responsibility
Supervisors “need firms to be profitable”, writes BoE’s Fisher
Quant Ideas: How VAR can add value to energy market analysis
Alessandro Mauro shows how using value-at-risk can improve market risk analysis in the energy sector
Johnson-Omega performance measure
Alexander Passow presents a portfolio performance measure that combines the omega measure with Johnson distributions
Banks struggling with IFRS 9 impairment rules
Firms seek clarity on use of probabilistic scenarios ahead of January 2018 deadline