Learn about the effect Ibor ending is going to have on the industry, and how the market will deal with the transition to risk free rates.
This training course will address in-depth the regulatory landscape of CCPâs and focus on how risk managers and clearing houses can most efficiently manage CCP risk.
Quant Summit Asia will bring together top quants to deliver their latest research and insights on the latest in quantitative finance, covering themes such as machine learning, portfolio construction,â¦
Over the last decade, regulators have directed most of their energy and time to Pillar 1 (Basel III and IV) reforms. Now, European regulators are focusing on Pillar 2âparticularly on the inâ¦
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Hosted by , these awards bring together recognition of the leading vendor solutions for credit, operational and enterprise-wide risk management.
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Risk.net partnered with specialists NICE Actimize to survey senior financial crime executives in banks and other financial services firms to assess the efficiency of current resources, processes and â¦
This white paper aims to understand whether and how banks are approaching the assessment of their Credit Spread Risk in the Banking Book (CSRBB), and to identify best practices in preparation for comâ¦
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Clearing house power-downs raise fears among members
When the datas not there, expert-led models could help
JP Morgan turns to start-up to manage CME margin
ADOL: Markovian approximation of a rough lognormal model
FCA steps up call for Libor pre-death trigger in swaps
JP Morgan debuts Nexus spinoff for hedge fund exposure
Sonia-Libor basis narrows after fallback verdict
EU to grant last-minute margin reprieve for equity options
G-Sibs eye simpler market risk calculations in Hong Kong
The future of compliance Why firms are taking the risk-based approach
Clearing house power-downs raise fears among members
JP Morgan debuts Nexus spinoff for hedge fund exposure
Quants clone private equity: pale imitation or real deal?
Over five years, swaps plummet, options climb at US banks
Threats posed by systemic banks vary by region
JP Morgan usurps Deutsche as worlds largest derivatives bank
ADOL: Markovian approximation of a rough lognormal model
Quants bring triptych of variables to risk measurement
A triptych approach for reverse stress testing of complex portfolios
Podcast: Mats Kjaer on how trades affect the balance sheet
Credit Risk Measurement and Management: Disruption and Evolution
Edited by Akhtar Siddique, Iftekhar Hasan and David Lynch
Measuring expected shortfall under semi-parametric expected shortfall approaches: a case study of selected Southern European/Mediterranean countries
Crash risk exposure, diversification and cost of equity capital: evidence from a natural experiment in China
Backtesting expected shortfall: a simple recipe?
The impact of enterprise risk management on the performance of companies in transition countries: Serbia case study
Quantification of the estimation risk inherent in loss distribution approach models
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Banking regulators remain focused on expanding and developing the range of stress-testing regimes across the globe to maintain stability, monitor emerging risks and avoid another financial crisis. Here, a forum of industry leaders discusses the evolution
Changing regulations and new accounting standards are creating enormous challenges for financial organisations. Thorsten Hein, principal product marketing manager, risk research and quantitative solutions at SAS, explores why, to successfully meet these
Insurer edges toward over-capitalisation on its own measures
In this paper, the author presents an easy-to-implement, fast and accurate method for approximating extreme quantiles of compound loss distributions (frequency + severity), which are commonly used in insurance and operational risk capital models.
Feds stress tests are forcing banks to cut loan portfolios and trading assets
Extending risk-adjusted performance metrics to take into account real-world investment returns
Allianzs Thomas Wilson re-examines how firms measure the value of capital-intensive products
Insurers are using the delays to Solvency II to improve their economic capital models
European insurers are refining their internal economic capital models as regulators efforts to define statutory solvency requirements grind to a standstill. Louie Woodall reports
Firms look to make model outputs publicly available to test investor response to future Solvency II requirements
Insurance Risk Solvency II Solutions Guide 2012/13
Ineffective use of economic capital frameworks could obscure true risk profile of firm
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