Risk measurement
Operational risk measurement: a loss distribution approach with segmented dependence
This paper proposes an approach, called the loss distribution approach with segmented dependence (LDA-SD), which can model the different dependencies of HFLI and LFHI losses in the framework of LDA.
Measuring latent risk preferences: minimizing measurement biases
In this paper, the author uses a unique data set, containing the revealed risk preferences of 9235 subjects, elicited with four different methods, to estimate latent risk preferences.
Embracing the sea change to come with FRTB
Firms have until 2021 to implement FRTB, and those yet to begin compliance efforts risk putting themselves at a disadvantage. EY‘s financial services risk partners Shaun Abueita and Sonja Koerner explore the current level of readiness within the industry…
Libor transition calls for modelling overhaul, quants warn
All pricing, risk and valuation models will need to be changed to reflect the new rate
New frontiers
Innovative investment opportunities are helping to mitigate risk and satisfy Solvency II capital requirements as insurers face continued economic uncertainty. Frederic Morlaye, managing director, insurance and capital management solutions, Global Markets…
News-sentiment networks as a company risk indicator
This paper defines an algorithm for measuring sentiment-based network risk, to understand the relationship between news sentiment and company stock price movements, and to better understand connectivity among companies.
Quants head for the shop floor
Demand for technical skills is growing, but roles have changed – and some schools are not keeping up
Fintech and wholesale banking: why nothing has changed
Staff turnover, regulation among five factors holding banks back
Risk measurement: A call for standards
Risk professionals and investors would both benefit from industry-wide norms
Shortfall deviation risk: an alternative for risk measurement
In this paper, the authors propose the SDR risk measure to consider the degree of dispersion of an extreme loss in addition to its expected value.
Comments on the Basel Committee on Banking Supervision proposal for a new standardized approach for operational risk
In this paper, the behavior of the SMA is studied under a variety of hypothetical and realistic conditions, showing that the simplicity of the new approach is very costly.
A tale of two worlds: performance and risk
Performance and risk offer two complementary views of investment management. It’s time to swap some DNA
How to turn uncertainties of operational risk capital into opportunities from a risk management perspective
Going beyond the regulatory requirements to operational risk measurement, the authors of this paper aim to provide relevant business applications to a bank.
Trust in clusters: a new approach to stress testing
Search for plausible stress scenarios leads Natixis risk managers in a new direction
Firms seek to improve use of key risk indicators
KRIs are useful tools, say risk managers, but can also be a source of frustration
CRO says NY Fed faces same op risks as commercial banks
“The predominant risks the bank faces have shifted since the end of the financial crisis,” says Rosenberg
Model uncertainty in risk capital measurement
The authors of this paper propose to quantify the effectiveness of a capital estimation procedure via the notions of residual estimation risk and estimated capital risk.
'Have your cake and eat it': efficient op risk reporting
Cakes and candles can help risk managers get flavour right, argues Ariane Chapelle
Suitability of capital allocations for performance measurement
Capital allocation principles are used in various contexts in which the risk capital or the cost of an aggregate position has to be allocated between its constituent parts.
Applied risk management series: Integrating stress tests with risk management
Stress testing is a vital part of successful risk management, but risk managers at energy trading firms frequently face obstacles in designing and implementing successful stress testing programmes. In this article, Carlos Blanco provides some advice on…
