Risk
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.
The new world of risk analytics
Webinar: SAS
Sponsored video: Thomas Lee, Vivo Security
Thomas Lee, chief executive and co-founder of Vivo Security – a start-up firm based in Silicon Valley and sponsors at OpRisk North America – talks about how special the banking industry is to Vivo Security and why its approach to model risk management…
Regtech – Enabler of the shift from compliance to performance
Survey report & white paper | Moody's Analytics
UBS shrugs off VAR exceptions
The Swiss bank has crunched down its market RWAs to Sfr12.3 billion
Fed’s risk proposal puts banks on the defensive
New supervisory guidance will make business heads responsible for risk management
Advancing on all fronts
Sompo Global Weather continues to expand its offering with timely, tailored weather risk solutions designed to service a growing global audience and diversification into new sectors supplying responsive solutions
Ensuring reliability in a rapidly changing energy landscape
Igor Koprivnikar, member of the management board at Gen-i, discusses what sets the organisation apart as the top power dealer in eastern Europe, the benefits that a global portfolio can bring for clients in regional European markets, and how strong…
Regulatory merger keeps China on course for deleveraging
Combination of banking and insurance regulators offers opportunity to co-ordinate debt reduction measures
Next-generation GRC
Webinar: Nasdaq BWise
Mostly prior-free asset allocation
This paper develops a prior-free version of Harry Markowitz’s efficient portfolio theory, which allows the decision maker to express their preferences with regard to risk and reward, even though they are unable to express a prior over potentially…
Valuing streams of risky cashflows with risk-value models
Based on risk-value models this paper introduces a multi-period approach to the valuation of streams of risky cash flows.
FRTB: Delivering on the promise of data-driven insights
Content provided by IBM
Asia Risk Congress 2017: The new XVA challenge
Video interview: Fabio Mercurio, Bloomberg
Risk and finance: Working more closely together
Video interview: Thomas Kimner, SAS
Optimal investment and financing with macroeconomic risk and loan guarantees
This paper considers an entrepreneur who has no assets in place but possesses an option to invest in a project incurring a lump-sum investment cost, of which a fraction must be financed by entering into an equity-for-guarantee swap.
Video interview: Pieter Entius, Flow Traders
Pieter Entius, head of trading at Flow Traders, discusses how Eurex Market-on-Close can deliver listed solutions for basis trading
Unified data – Key to IFRS 9 implementation
Regulatory information brief part II – Benchmarks
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
How IFRS 9 can unite risk and accounting
Regulatory information brief part I – Modelling
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
Addressing probationary period within a competing risks survival model for retail mortgage loss given default
This paper presents a novel approach to modeling retail mortgage LGD estimation.