Risk Insights Archive
Displaying 383 results
The Collapse of Silicon Valley Bank: An FRM Perspective
March 16, 2023
When the second largest banking failure in U.S. history occurs virtually overnight, people want an explanation of what went wrong. Was the collapse ...
Read ArticleRisk Managers’ Role in Expanding DEI Opportunities
December 9, 2022
Minority-owned business offer financial institutions an excellent chance for expansion and for improved return on investment, but insufficient ...
An ‘Alternative’ Horizon for Credit Risk
December 2, 2022
Nontraditional data inputs and analytics enhance consumer credit scoring and raise the possibility of greater financial inclusion
Capital Rules in EU Could Affect Securities Lending Elsewhere
November 23, 2022
U.S. market participants, already facing tough requirements, may find some relief
The Stagflation Challenge for Next-Generation Risk Managers: A Q&A With Paul Shotton
November 18, 2022
How would a combination of economic stagnation and inflation impact the risk management landscape, and what specific steps can young risk ...
Market Volatility Slows Libor Benchmark Transitions
November 11, 2022
A survey indicates progress, but challenges remain as the market awaits Fed rules to facilitate “tough” contractual remediations
Two Regulators, Two Views: BCBS and ECB Offer Contrasting Perspectives on Bank Credit Risk
November 11, 2022
How did European banks respond to the risk management concerns of the COVID-19 pandemic, and should we be concerned about their approach to current ...
Read ArticleThe Holiday Season Outlook for Credit Risk
November 4, 2022
To predict bank credit losses more accurately, in an environment of high inflation, falling output and rising interest rates, risk managers need to ...
How to Avoid the Risk Mechanic Syndrome in Machine Learning
November 4, 2022
Complex, ML-driven risk models are trending at financial institutions, sometimes at the lamentable expense of critical-thinking skills. Consequently, ...
Read ArticleWall Street Warms to Tokenization
October 28, 2022
Although still at an early stage, blockchain technology is proving capable of streamlining issuance and settlement of financial instruments
The Forecast for U.S. Housing Risk: Cracks in the Foundation?
October 7, 2022
The American housing market has fared well this year, but there have been some ominous signs lately – particularly in the nonbanking sector. Should ...
Read ArticleForeign Exchange Risk in a Strong-Dollar Environment
September 30, 2022
Rather than try to reduce every risk to zero, narrow the band of outcomes to achieve adequate protection and meaningful cost savings
Calculating the Capital Buffer in Volatile Times: How Much is Enough?
September 30, 2022
In a market replete with extreme events and great uncertainty, it’s very challenging for a financial institution to determine the optimal size of its ...
Read ArticleAn Islamic Investment Fund Is ‘Serendipitously’ Well Positioned
September 23, 2022
Industries that are off limits haven’t been performing well, and the Amana Growth Fund is thriving
Crypto AUM: Four Growth Factors
September 2, 2022
Why investing interest should persist despite market risks and volatility
Multiple Credit Scores in Mortgage Lending: Understanding the Risks
August 26, 2022
As policymakers consider allowing the use of multiple credit scores in mortgage underwriting, banks need to be alert to risks to lenders and ...
Read ArticleHumility and Risk Modeling
August 26, 2022
To build better models with more accurate forecasts, risk managers must be humble enough to accept the uncertainties of their own analysis and to ...
Read ArticleAutomation Is New Frontier for Loan Syndications and CLOs
August 26, 2022
Platforms aim to improve liquidity and transparency, eliminate manual errors and reduce settlement risk
Strategic Risk: How to Select Critical Future Scenarios
August 19, 2022
Risk modeling needs a new approach. That’s one thing that model developers, model users and senior management can all agree upon – but what, exactly, ...
Read ArticleData Regulations Follow – and Go Beyond – Europe’s GDPR
August 12, 2022
The influential data protection law set standards that some have tried to weaponize; privacy debates continue in the U.S.
Natural Asset Management, Risk and Opportunity
August 8, 2022
For many local governments, the term “asset management” refers only to the management of built or engineered resources. In Canada, however, there is ...
Read ArticleA Date with Destiny: The Importance of Demographics for Risk Modelers
August 5, 2022
Over the next five years, credit risk could be significantly impacted by worldwide population changes that are being driven by migration, ...
Questions High-Growth Companies Should Be Asking About Financial Risk
July 29, 2022
Innovation, Collaboration and Networking Drive Digital-Asset Custody
July 22, 2022
SEC Approval Sets Stage for Central Clearing in Securities Finance
July 22, 2022
Money Market Funds Adamantly Oppose Swing Pricing
July 8, 2022
Commodity Risk: 5 Lies Corporates Tell Themselves
July 1, 2022
Let’s Get Real: Managing Consumer Credit Risk in a Time of Inflation
July 1, 2022
EBA’s Latest Risk Report for European Banks: Interesting, But Mistimed
June 10, 2022
Read Article
In Brazil, a Domestic Election Under Global Pressures
June 3, 2022
Comparing the Benefits of Risk Management Courses With Professional Certifications
May 30, 2022
Could risk management courses or certifications help you land your dream job? If you're looking to enter or advance in the field of risk management, ...
Crypto Billionaire Bankman-Fried Ignites Futures Clearing Debate
May 27, 2022
Proposed “non-intermediation” for bitcoin and ether contracts is derided as “risk management light”
Building a Unified Theory of Risk Management: How and Why
May 13, 2022
5 Networking Tips for Risk Professionals
May 4, 2022
Networking can help any professionals — including risk managers — drive career advancement. While having a robust network is often critical to ...
The Cyber Hiring Gap: What Does It Mean for Financial Risk Managers?
April 1, 2022
A 2022 WEF report identified cyber threats as one of the top five global risks, while also citing a large deficit in cyber-risk professionals. This ...
One Diverse CRO's Blueprint for Success: A Q&A with Philip Melville
February 25, 2022
How can you get your foot in the door, and what skill sets, qualifications and personality characteristics are needed to rise to the top? Learn more.
The Impact of Technological Advancements on Risk Managers
February 18, 2022
AI and ML are making waves in risk management, but how are these disruptive technologies likely to change the careers of risk practitioners? Should ...
4 Ways to Build Communication and Leadership Skills
February 3, 2022
Communication and leadership are essential to career development for risk managers. Here are four ways risk managers can boost their soft skills.
Financial Risk Management Hiring Trends for 2022
January 25, 2022
It's important to monitor industry trends to make sure your skills and experience line up with what hiring firms are seeking. Read more now.
What Do Risk Managers Think of Their Profession?
January 10, 2022
Quantitative skills and abilities are building blocks for a career in financial risk management. But practitioners need more. Learn what's in demand ...
Top Risk Management Career Opportunities to Break Into the Industry
October 28, 2021
Several career paths may be suited to your skills and interests and a host of emerging risk areas will drive the need for professionals. Learn your ...
What is Risk Management?
October 15, 2021
For professionals considering career options, risk management can offer opportunities beyond traditional paths in finance and accounting. Learn more.
A Simple Framework for Predicting Overnight Returns and Illiquidity Changes
December 11, 2020
How do adverse news announcements impact liquidity on stock and options markets, and can overnight variations from the previous day’s closing price ...
See White PaperToday's Climate Leaders: What Are They Doing Right, and How Can Other Firms Follow?
November 23, 2020
Firms that are leading the way in climate risk management have done so by embedding this risk into their day-to-day businesses, enhancing their risk ...
Climate Risk Symposium Q&A (2020)
November 1, 2020
Supervisors and Risk Practitioners Answer Questions from GARP's November Climate Risk Symposium.
Climate Risk Symposium Q&A (2020)
November 1, 2020
Supervisors and Risk Practitioners Answer Questions from GARP's November Climate Risk Symposium. In November GARP presented the 2020 Climate Risk ...
IBOR Transition Challenges
October 22, 2020
What affect will the shift from IBOR to alternative reference rates, like SOFR, have on funds transfer pricing (FTP)? EY India's Subrahmanyam ...
See White PaperPandemics, Vaccines and Corporate Earnings
October 15, 2020
Reduced growth rates and significant investments in costly risk mitigation have damaged corporate earnings. Harrison Hong, Jeffrey D. Kubik, Neng ...
See White PaperThe COVID-19 Pandemic: Supply Chain Disruption, Wealth Effects and Corporate Responses
October 8, 2020
In the first quarter of 2020, amid the pandemic, many U.S. firms were unable to relocate their supply chains, leading to lower inventory, sales and ...
See White PaperWhen Does Portfolio Compression Reduce Systemic Risk?
October 1, 2020
In the U.S. and Europe, there is a post-trading netting mechanism that can potentially mitigate the risk of events that trigger severe market ...
See White PaperHow to Manage the Transition from EONIA to €STR
September 24, 2020
What will be the consequences of the end-of-2021 financial benchmark shift from the Euro OverNight Index Average (EONIA) to the Euro ShortTerm Rate ...
See White PaperMaking CECL Changes Transparent
September 3, 2020
How can the quarterly changes of Current Expected Credit Loss accounting standard be attributed to underlying risk drivers such as ...
See White PaperThe Connection Between Hurricanes and Mortgage Default Risk
August 27, 2020
Will rising hurricane intensity and frequency lead to an increase in mortgage defaults? Clifford Rossi examines the effects of the projected ...
See White PaperReshaping the Cybersecurity Landscape
August 21, 2020
The cyber risk management needs of large financial institutions are changing amid the COVID-19 pandemic and the acceleration of digitization. A joint ...
See White PaperForecasting Macroeconomic Risk in Real Time: Great and Covid-19 Recessions
August 13, 2020
In the run-up to the coronavirus pandemic, financial variables provided policymakers with timely warnings about the potential severity of the crisis. ...
See White PaperThe Buy-Side Impact of COVID-19
August 6, 2020
Over the past six months, investment managers have contended with unprecedented uncertainty, thanks to increased volatility, repricing of assets and ...
See White PaperRisk, Uncertainty and Leverage
July 30, 2020
Banks and broker-dealers must understand the connection between various market factors to more effectively project risk and return. Khandokar Istiak ...
See White PaperCOVID-19: Return-to-the-Workplace Strategies
July 23, 2020
What challenges do financial services leaders now face as they consider when, how – and sometimes, if – operations may resume across the world? ...
See White PaperThe Impact of Zero and Negative Interest Rates on Investment Decisions
July 16, 2020
Controversial monetary policy decisions on interest rates have caused friction among economists and politicians, but have they really changed the ...
See White PaperSteadfast, Greedy or Fearful? Strategies for Responding to Extreme Market Volatility
July 9, 2020
The pandemic has presented a huge challenge for investors who are hungry for better risk-adjusted investment returns. Elm Partners’ James White and ...
See White PaperThe Climate Imperative: Opportunities for Risk Managers
July 7, 2020
From wildfires to windstorms, climate change poses a significant threat to the global economy. Companies, financial regulators, and governments are ...
Model Risk Management During Times of Crisis
July 2, 2020
The input variables for financial institutions’ models have changed significantly amid the fallout from COVID-19. DHG’s Jared Forman explores the ...
See White PaperWorld Economic Forum to Asset Managers: How to Mitigate 6 Systemic Risks
June 26, 2020
Climate change, geopolitical stability, negative interest rates and technology risk are among sources of systemic risk cited in an investment ...
Debt De-Risking
June 18, 2020
Do corporate bond fund managers manipulate portfolio risk in response to competitive pressure? Andreas Schrimpf, Gianpaolo Parise and Jannic Cutura ...
See White PaperRisk Contagion of COVID-19 on the Japanese Stock Market
June 4, 2020
The coronavirus now ranks as one of the worst pandemics in history. Nihon University’s Masayasu Kanno applies correlation and network analyses from ...
See White PaperCoronavirus Risks May Substantially Impact a Bank’s Liquidity and Profitability
May 29, 2020
The COVID-19 crisis continues to unfold, wreaking havoc in financial markets. DHG’s Jared Forman uses market mechanisms and lessons learned from ...
See White PaperCase Study: The Credit Default of China’s Chaori Solar Bond
May 21, 2020
What factors drove the first credit default in the history of the Chinese bond market, and what lessons have been learned from this event? Dr. ...
See White PaperSecond Annual Global Survey of Climate Risk Management at Financial Firms: Mapping out the Continuing Journey
May 14, 2020
The focus on the potential financial risks from climate change has intensified since the GARP Risk Institute's inaugural global, cross-sectoral ...
LIBOR Transition: Obstacles and Approaches
May 14, 2020
To limit potential adverse impacts to the global economy, the shift from LIBOR to an alternative reference rate requires careful consideration. DHG’s ...
See White PaperStaying Safe Online in the New World of COVID-19
May 7, 2020
How can cybercrime risks be mitigated amid the pandemic? Tarquin Folliss explains the steps financial institutions can take to protect themselves and ...
See White PaperDynamic Mean-Variance Portfolio Allocations: A New Benchmark
April 30, 2020
Portfolio allocation models must account for transaction costs, short-selling and leverage constraints, among other factors. Hugues Langlois proposes ...
See White PaperBitcoin: Safe Haven or Risk Hazard amid COVID-19?
April 23, 2020
Does Bitcoin offer shelter during periods of market turbulence? Thomas Conlon and Richard McGee examine the cryptocurrency’s performance during the ...
See White PaperEstimating the COVID-19 Cash Crunch
April 16, 2020
The global pandemic is having a significant effect on liquidity across the globe. Antonio De Vito and Juan-Pedro Gómez stress-test three liquidity ...
See White PaperTail Risk Measurement in Crypto-Asset Markets
April 9, 2020
What are the different types of crypto assets, and how do they perform during stressful times? Daniel Felix Ahelegbey, Paolo Giudici and Fatemeh ...
See White PaperCOVID-19: Potential Implications for the Banking and Capital Markets Sector
March 27, 2020
What specific actions should banks take to mitigate the risks of the coronavirus? Deloitte executives ponder 58 relevant questions and offer ...
See White PaperLessons from the Latest Phase of Initial Margin Regulation
March 19, 2020
What can financial institutions learn from analyzing Phase 4 of the initial margin requirements? Vivek Agarwal examines the pitfalls firms need to ...
See White Paper5 Hallmarks of an Effective Cybersecurity Program
March 12, 2020
Cyber events can cause significant economic, operational and reputational damage. John Thackeray outlines the key elements of a comprehensive ...
See White PaperThe Future of Integrated Risk Management
March 6, 2020
Bringing together diverse and dispersed risks under a single risk framework is a key objective for many financial institutions. MetricStream ...
See White PaperIntra-Portfolio Systemic Contagion
February 27, 2020
Regulatory changes in Europe have spurred banks to adopt new methods for credit risk evaluation. Lucio Biggiero explores the pros and cons of these ...
See White PaperStatistical Mechanics of Price Stabilization and Destabilization in Financial Markets
February 20, 2020
What’s the best strategy for analyzing volatile price movements? Jack Sarkissian explains imbalances using his own theory of market equilibrium.
See White PaperCapturing Macroeconomic Tail Risks
February 13, 2020
Portfolio losses stemming from rare events are challenging to assess. Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino explain how ...
See White PaperBuilding Smarter Models: How to Improve Model Risk Management
February 6, 2020
Financial institutions can develop, or redevelop, model eco-systems using active intelligent agents embedded in model source code. NYU's Jon R. Hill ...
See White PaperModel Risk Measures: New Proposals on Risk Forecasting
January 30, 2020
In financial decisions, model risk is an important source of uncertainty. Fernanda Müller and Marcelo Righi explore the best approaches for ...
See White PaperVolatility Term Structures in Commodity Markets
January 23, 2020
Accurate forecasting in the commodity markets cannot occur without an understanding of volatility term structures. Fabian Hollstein, Marcel ...
See White PaperValue-Added Risk Management
January 16, 2020
Banks, hedge funds and mutual funds have varying objectives for managing risk. Mohsen Mazaheri explains how risk management can add value to the ...
See White PaperScenario Design for Macro-Financial Stress Testing
January 9, 2020
The effectiveness of stress scenarios depends, in part, on their plausibility. Emanuele De Meo outlines an approach for selecting a stress scenario ...
See White PaperPricing Climate Risk
January 2, 2020
Which climate risk factors have the greatest effect on variation in global individual stock returns? Glen Gostlow explores how physical and ...
See White PaperCyber Insurance and Risk Management: A Normative Analysis
December 26, 2019
Cyber insurance is becoming an essential tool for managing cybersecurity risks. Kai-Lung Hui, Wendy Wan-Yee Hui and Wei Thoo Yue examine how cyber ...
See White PaperCollateralized Debt Networks with Lender Default
December 19, 2019
The Lehman Brothers' 2008 bankruptcy spread losses to its counterparties even when Lehman was a lender of cash, because collateral for that lending ...
See White PaperThe Known Unknowns 2020: Perils and Opportunities
December 12, 2019
What are the greatest risk management challenges financial institutions will face next year? MetricStream executives explain why operational ...
See White PaperCECL and the Credit Cycle
November 27, 2019
How would banking lending have been affected if the Current Expected Credit Loss financial reporting standard had been in place before the financial ...
See White PaperDefault Recovery Rates and Aggregate Fluctuations
November 21, 2019
In the US, default recovery rates are highly volatile and procyclical. Giacomo Candian and Mikhail Dmitriev propose a model that explains the ...
See White PaperPortfolio Stress Testing Applied to Commodity Futures
November 14, 2019
The increased amount of investments in commodity futures over the past decade have prompted calls for more thorough, forward-looking stress tests of ...
See White PaperDistress and Default Contagion in Financial Networks
November 7, 2019
Existing models do not do an effective job of accounting for the spread of contagion, particularly pre-default. Luitgard A. M. Veraart proposes a new ...
See White Paper5 Emerging GRC Trends
October 31, 2019
Banks, regulators and advisory bodies all face unique governance, risk and compliance challenges, but there are some trends that cut across ...
See White PaperTail Risk Targeting
October 24, 2019
What are the most effective downside risk trading strategies? Lars Rickenberg explores the pros and cons of dynamic trading strategies that target a ...
See White PaperModel Risk in the Era of Deep Learning
October 17, 2019
Machine-learning models have been introduced to support decision-making at insurance companies. Ronald Richman, Nicolai von Rummell and Mario V. ...
See White PaperOperational Resilience: A Better Understanding
October 10, 2019
Financial institutions are now facing more pressure from regulators to have effective plans for responding to cyber attacks, fraud, natural disasters ...
See White Paper10 Best Practices for Optimizing Regulatory Engagements
October 3, 2019
What steps can financial institutions take to build credibility with regulators and to ensure that they are meeting compliance requirements? During a ...
See White PaperLearning from Rare Disasters
September 26, 2019
Financial crises have long-lasting effects. The University of Pennsylvania’s Jessica A. Wachter and Yicheng Zhu use a Bayesian approach to explain ...
See White PaperForecasting Recovery Rates on NPLs with Machine Learning
September 19, 2019
What role can disruptive technology play in recovery rates forecasting? Anthony Bellotti, Damiano Brigo, Paolo Gambetti and Frédéric D. Vrins use a ...
See White PaperCredit Rating Agencies and Accounting Fraud Detection
September 12, 2019
Issuers who commit fraud are subject to negative rating actions from CRAs. Allen Huang, Pepa Kraft and Shiheng Wang examine the circumstances and ...
See White PaperLGD Parameter Estimation for the Retail Mortgage Book
September 6, 2019
By 2020, European banks are expected to adhere to guidelines the EBA recently published on PD, LGD and the treatment of defaulted exposures. Naval ...
See White PaperBuilding a Shareholder Value-Focused Integrated Risk Program
August 29, 2019
How can financial institutions bridge the gap between risk and shareholder value? CXOs from across the industry answered this question and discussed ...
See White PaperLife After LIBOR
August 22, 2019
The financial services industry is diligently planning for the expected 2022 shift away from the LIBOR benchmark, but the changeover will be far from ...
See White PaperYield Estimation Techniques
August 15, 2019
A scarcity of quality data for private debt securities makes yield estimation a significant challenge. Rajesh Khetan, Anand Bhandar and Neha Dandu ...
See White PaperLIBOR Transition
August 8, 2019
The expected U.S. shift from the London Interbank Offered Rate to the Secured Overnight Financing Rate is complex and controversial. John Thackeray ...
See White PaperCXO Roundtable: Key Takeaways
August 1, 2019
Integrated risk management, the future of internal audit and cyber risk management were among the important issues discussed in a recent meeting of ...
See White PaperMachine-Learning Models: Applicability to Credit-Risk Evaluation
July 24, 2019
How can next-generation predictive models be used for credit risk assessment? Cynthia Rudin and Yaron Shaposhnik take an in-depth look.
See White PaperNon-Performing Loans in European Systemic and Non-Systemic Banks
July 17, 2019
Globally systemic important banks (GSIBs) typically have huge and diverse loan portfolios, but how do they compare with non-GSIBs with respect to ...
See White PaperA Practical Guide to Harnessing the HAR Volatility Model
July 10, 2019
The standard heterogeneous autoregressive (HAR) model is a popular benchmark for forecasting return volatility. Adam Clements and Daniel P. A. Preve ...
See White PaperAI and Big Data Regulatory Risks Under Banking and Consumer Financial Laws
July 2, 2019
Artificial intelligence and big data stand to transform the financial services industry from the inside out. Melanie Brody, Joy Tsai, and Eric T. ...
See White PaperCyber Risk for the Financial Services Sector
June 26, 2019
Financial institutions now have to contend with the ongoing and significant threat of cyber risk. The ESMA’s Antoine Bouveret analyzes some recent ...
See White PaperThe Hitchhiker's Guide to the Risk-Neutral Galaxy
June 19, 2019
How does the quanto adjustment compare with stock price dynamics under the risk-neutral measure and pricing IR derivatives under the T-forward ...
See White PaperTesting Derivatives Pricing Models under Higher-Order Moment Swaps
June 13, 2019
Parametric models can be used to price and hedge higher-order moment swaps. Ako Doffou uses three such models to test pricing accuracy and to ...
See White PaperDo Distressed Banks Really Gamble for Resurrection?
May 30, 2019
What can we learn from the past actions of financially-troubled banks? Are they more interested in resurrection or in reducing leverage and risk? ...
See White PaperClimate Risk Management at Financial Firms: A Good Start, But More Work to Do
May 29, 2019
Potential financial risks arising from climate change are an increasing area of focus, particularly for investors and regulators. To provide a ...
See White PaperClimate Risk Management at Financial Firms: Challenges and Opportunities
May 29, 2019
The treatment of climate risk at financial institutions has changed significantly over the past five years. Whereas it used to be viewed mostly as a ...
Stacked Monte Carlo for Option Pricing
May 23, 2019
A new learning-driven version of the Monte Carlo algorithm is now available. Antoine Jacquier, Emma Malone and Mugad Oumgari describe the principles ...
See White PaperChief Risk Officers and Firm Value
May 16, 2019
What type of impact do chief risk officers really have on the bottom line? Aldy Fernandes da Silva, Vinicius Brunassi Silva, Joelson Oliveira Sampaio ...
See White PaperGeopolitical Risk and Corporate Investment
May 9, 2019
Financial institutions certainly take geopolitical risks into account when making investment decisions. Ruchith Dissanayake, Vikas Mehrotra and ...
See White PaperAssessing Macroeconomic Tail Risk
May 2, 2019
Extremely improbable events are difficult to measure. Francesca Loria, Christian Matthes and Donghai Zhang examine the intricacies of economic shocks ...
See White PaperThe Central Role of the US Volatility Index in Global Stock Market Uncertainty
April 11, 2019
What part does the CBOE’s VIX play in spreading fear across worldwide stock markets, and how do volatility swings at non-US stock exchanges impact ...
See White PaperExpected Loan Loss Provisioning: An Empirical Model
April 4, 2019
IFRS 9 and CECL require that financial institutions provision for expected losses on their loan portfolios. Yao Lu and Valeri V. Nikolaev offer a ...
See White PaperArtificial Intelligence in Banking and Risk Management
April 4, 2019
AI deployment has been a hot topic in almost all business sectors in recent years. This Global Association of Risk Professionals (GARP) and SAS ...
See White PaperBayesian Risk Forecasting for Long Horizons
March 28, 2019
What are the challenges of Bayesian risk forecasting, and how can it be used efficiently? Agnieszka Borowska, Lennart F. Hoogerheide and Siem Jan ...
See White PaperGlobal Rating Standards: Connecting a Puzzle
March 21, 2019
How do rating standards in the U.S. and other developed countries measure up against emerging countries? Najah Attig, Hamdi Driss and Sadok El Ghoul ...
See White PaperMeasuring Financial Stress Under Disruptive Energy Transition Scenarios
March 14, 2019
Climate-transition risks warrant close attention from a financial stability perspective. De Nederlandsche Bank’s Robert Vermeulen, Edo Schets, ...
See White PaperGRC 2019: The Known Unknowns
March 7, 2019
How will governance, risk and compliance roles and responsibilities change in 2019, and what are some of the weak links that enterprises need to ...
See White PaperA Thorough Look at the VIX
March 1, 2019
Historically, the CBOE's Volatility Index has been prone to both manipulation and inadvertent errors. Joerg Osterrieder, Lars Vetter and Kevin ...
See White PaperManaging Investment Risks
February 21, 2019
How do modern investment tools stack up with traditional knowledge and practices? Rakesh Swami and Trilok Kumar Jain compare the different types of ...
See White PaperThe Role of Non-Performing Loans for Bank Lending Rates
February 14, 2019
Do loans that are either in default or close to default lead to higher lending rates at banks? Sebastian Bredl explores the impact of NPLs on lending ...
See White PaperGlobal Risk Management Survey
February 7, 2019
Financial institutions are reengineering their risk management programs, with a focus on emerging technologies such as robotic process automation. ...
See White PaperFinancial Hedging and Corporate Investment
February 1, 2019
What’s the connection between financial derivatives and M&A financing? George Alexandridis, Zhong Chen and Yeqin Zeng explain how financial ...
See White PaperBitcoin Futures: From Self-Certification to Systemic Risk
January 24, 2019
How does the self-certification process work, and should the CFTC have stopped the self-certification of bitcoin futures at the CME and the CBOE ...
See White PaperCredit Risk Transfer and De Facto GSE Reform
January 17, 2019
Through credit risk transfer (CRT) programs run by Fannie Mae and Freddie Mac, private-sector investors have assumed a portion of the credit risk on ...
See White Paper2019 Banking Regulatory Outlook
January 10, 2019
Now that most post-crisis regulatory reforms are in place, banks are shifting their focus to culture and governance, the challenges of new technology ...
See White PaperA New Method for Determining Government Credit Risk Exposure
January 3, 2019
There is now an effective methodology for valuing government interventions in capital markets. Brent W. Ambrose and Zhongyi Yuan use the mortgage ...
See White PaperModeling the Default Risk Charge Using the Intensity Model
December 20, 2018
The Fundamental Review of the Trading Book proposes to replace the incremental risk charge (IRC) with a default risk charge (DRC). Badreddine Slime ...
See White PaperHow Do Regulations Affect Credit Ratings?
December 19, 2018
In the Chinese banking sector, rating standards loosened significantly between 2015 and 2017. Shida Liu and Hao Wang explain how regulatory revisions ...
See White PaperCapital Allocation Under the FRTB Regime via Marginal Measures
December 13, 2018
For the allocation of capital charges and risk-weighted assets (RWA) to individual risk factors, financial instruments and/or portfolios, marginal ...
See White PaperMacroeconomic Factors Impacting Bank Risk in the U.S
December 6, 2018
Macroeconomic dynamics vary from state to state in the U.S. Anirban Naskar and Sukanya Bhattacharya offer an econometric analysis of banking risks in ...
See White PaperHow Informative Is High-Frequency Data for Tail Risk Estimation and Forecasting?
November 29, 2018
Timo Dimitriadis and Roxana Halbleib-Chiriac propose a novel and simple approach to computing daily value-at-risk (VaR) and expected shortfall (ES) ...
See White PaperVolcker Revision: A Toxic Proposal
November 19, 2018
US regulatory agencies recently proposed significant changes to the Volcker Rule, but will these revisions lead to improved risk management? Kelvin ...
See White PaperSystemic Risks and Spillovers in China's Stock Market
November 15, 2018
How do risks spread across the stock market in China? Fei Wu, Dayong Zhang and Zhiwei Zhang use a graph theory to explore patterns of risk spillovers ...
See White PaperThe Easing of DFAST: An Overview of 2018 Results
November 8, 2018
What can we learn from the DFAST 2018 stress tests, and how do those results compare to data from previous years? Ramesh Kumar, Kavita Sarma and ...
See White PaperIlluminating a Path Forward on Strategic Risk
November 1, 2018
What are the strategic risks that are keeping CEOs and board members up at night, and are proactive steps being taken to address these risks? Through ...
See White PaperEvaluating Risk Mitigation Strategies
October 25, 2018
Before developing an effective strategy for reducing risk, one must first understand a given client’s risk preferences. Harald Lohre, David ...
See White PaperScenario-Based Risk Evaluation
October 18, 2018
Risk measures such as expected shortfall and value-at-risk have been prominent in banking regulation and financial risk management. Motivated by ...
See White PaperReal Implications of Corporate Risk Management
October 11, 2018
What kind of impact does risk management have on firm value, risk and accounting performance? Georges Dionne and Mohamed Mnasri use a new dataset on ...
See White PaperSemiparametric Estimation of a Credit Rating Model
October 4, 2018
In recent years, the major credit rating agencies (CRAs) have been criticized for their issuer-pay model and overly-favorable ratings. Yixiao Jiang ...
See White PaperConsumer Debt: A 10-Year Look Back
September 27, 2018
US consumers are better positioned to handle rising rates than they were on the eve of the global financial crisis. However, as SSGA’s Bruce Casper ...
See White PaperCalculating Lifetime Expected Loss for IFRS 9
September 21, 2018
Provisioning for expected loss over a loan’s lifetime is one of the key requirements of the IFRS 9 accounting standard for financial instruments. As ...
See White PaperA Decade Post-Lehman, Are Banks Safer?
September 13, 2018
While the profitability of banks has been challenged by increasing regulatory costs and unfavorable market conditions, they are also now better ...
See White PaperA Review of Entity Risk Assessment
September 6, 2018
Entity risk assessment has become a key component of integrated risk management. Claire Yu compares a traditional ERA approach with an advanced ERA ...
See White PaperForecasting Expected Shortfall: What is the Best Approach?
August 30, 2018
When forecasting the market risk of stock portfolios, is a univariate or a multivariate modeling approach more effective? Alain-Philippe Fortin, ...
See White PaperHigh Frequency Tail Risk
August 23, 2018
Stock portfolios with higher exposure to tail risks stand a lot to gain, provided that such risks can be assessed properly. Caio Almeida, Kym Ardison ...
See White PaperCredit Risk, Liquidity and Bubbles
August 16, 2018
For certain risky securities, credit risk can coexist and interact with asset price bubbles and liquidity risk. Robert Jarrow and Philip Protter use ...
See White PaperForecasting Bitcoin Risk Measures: A Robust Approach
August 9, 2018
What models can be used to project the volatility and value-at-risk of Bitcoin? Carlos Trucios explores a comprehensive forecasting approach for this ...
See White PaperTail Risks, Asset Prices and Investment Horizons
August 2, 2018
Pricing extreme market risks is a difficult challenge. Jozef Barunik and Mat?j Nevrla examine how tail risks are priced in the cross-section of asset ...
See White PaperThe Best Choice for Measuring Credit Risk
July 26, 2018
What is the most effective and most accurate approach for assessing corporate credit risk? Isabel Abinzano , Ana Gonzalez –Urteaga and Luis Muga ...
See White PaperAI and Machine Learning for Risk Management
July 20, 2018
How are disruptive technologies transforming risk management? Saqib Aziz and Michael Dowling provide an overview of the benefits and limitations of ...
See White PaperThe Impact of the Current Expected Credit Loss Standard on the Timing and Comparability of Reserves
July 12, 2018
CECL is intended to promote proactive credit loss provisioning. The Federal Reserve Bank of New York's Sarah Chae, Robert Sarama, Cindy Vojtech and ...
See White PaperRegulation and Reshuffling in Bank Securities Portfolios
July 5, 2018
How do banks react to regulatory policy changes? Typically, they reclassify securities to reduce the riskiness of their securities portfolios and to ...
See White PaperBitcoin Risk Modeling with Blockchain Graphs
June 28, 2018
Managing FX risk is a huge challenge for Bitcoin cyrptocurrency holders. Cuneyt Akcora, Matthew Francis Dixon, Yulia Gel and Murat Kantarcioglu ...
See White PaperA Triumph of Risk Management Over Psychiatry: Revisions to the Volcker Rule
June 22, 2018
Comprehensive reform of the Volcker rule is on the horizon, as evidenced by expected changes to the rule that were jointly published, recently, by a ...
See White PaperModeling Loss Given Default
June 14, 2018
Regulators in both the US and Europe expect banks to develop a suite of robust, granular PD, LGD and EAD models for stress testing and allowance. ...
See White PaperYield Estimation in Private Debt for a Given Capital Structure
June 7, 2018
Corporate yield can be determined through the use of different standard methodologies, including the yield buildup method. However, it has always ...
See White PaperCredit Risk Analysis Using Machine and Deep Learning Models
June 1, 2018
Taking into account the rise of Big Data and disruptive technologies, many banks are now renewing their business models. Peter Martey Addoo, ...
See White PaperLiquidity Risk and the Dynamics of Arbitrage Capital
May 24, 2018
Peter Kondor and Dimitri Vayanos examine a continuous time-model of liquidity provision that allows hedgers to trade multiple risky assets with ...
See White PaperManaging Equity Risk in 2018
May 17, 2018
The bull market in US equities has been going strong for nearly nine years, but is certainly still subject to risk. Ryan McGlothlin and James Walton ...
See White PaperOvercoming The Cyber Risk Appetite Challenge
May 10, 2018
Cyber attacks, and the resulting supervisory pressure and media attention, have placed a lot of heat on financial institutions to upgrade their cyber ...
See White PaperThe Post-Crisis Evolution of Banks and Markets
May 3, 2018
The boundaries between banks and markets have blurred in the decade since the last global economic crisis. Arnoud Boot and Anjan Thakor explore ...
See White PaperInvestment Decisions and Falling Cost of Data Analytics
April 26, 2018
Do risk-averse and financially-constrained investors actually use less data analytics? Justin Keppo, Hong Ming Tan and Chao Zhou examine the ...
See White PaperA Framework for Understanding the Evolution of Financial Institutions
April 19, 2018
Financial institutions are financed by both investors – who expect an appropriate risk-adjusted return for providing financing and risk bearing – and ...
See White PaperEstimating Portfolio Risk for Tail Risk Protection Strategies
April 12, 2018
What are the best approaches for limiting the downside risk of an investment? David Happersberger, Harald Lohre and Ingmar Nolte explore various tail ...
See White PaperMachine Learning for Model Development in Market Risk
April 5, 2018
Machine learning and artificial intelligence have become buzzwords in the global financial services industry. P. Phani Kumar reviews the scope of ...
See White PaperSpeeding Up VaR with Smart Monte Carlo
March 29, 2018
Bloomberg’s Jan Dash and Xinchong Zhang demonstrate how VaR calculation can be expedited by an order of magnitude using a sophisticated Monte Carlo ...
See White PaperThe Myth and Reality of Financial Machine Learning
March 22, 2018
Machine learning applications are now used by some of the most successful hedge funds. Marcos López de Prado separates machine learning fact from ...
See White PaperWrong-Way-Risk in Tails
March 15, 2018
Regulations like the credit valuation adjustment (CVA) make the proper assessment of wrong-way-risk (WWR) imperative. The University of Dortmund’s ...
See White PaperAsset Price Bubbles, Market Liquidity and Systemic Risk
March 8, 2018
What’s the connection between price bubbles, trading constraints and illiquid markets? Cornell University’s Robert Jarrow and Sujan Lamichhane use an ...
See White PaperCollective Risk Models with Hierarchical Archimedean Copulas
February 27, 2018
What are collective risk models, and what role do they play in the financial services and insurance industries? Hélène Cossette, Etienne Marceau and ...
See White PaperThe 10 Reasons Most Machine Learning Funds Fail
February 20, 2018
The rate of failure in quantitative finance is high. Marcos López de Prado outlines the 10 critical mistakes underlying the failures of quantitative ...
See White PaperWhy Has Idiosyncratic Risk Been Historically Low in Recent Years?
February 13, 2018
Average idiosyncratic risk (IR) is currently at its lowest point in 53 years. Söhnke M. Bartram, Gregory W. Brown and René M. Stulz use macroeconomic ...
See White PaperDiversification of Business Activities and Systemic Risk
February 6, 2018
Are financial institutions with a range of businesses in a better risk management position than those with a singular focus? Christian Kubitza and ...
See White PaperWhy Do Banks Bear Interest Rate Risk?
January 18, 2018
There are many factors that determine a bank’s exposure to interest rate risk. Deutsche Bundesbank’s Christoph Memmel examines these determinants, ...
See White PaperMeasuring Default Risk for a Portfolio of Equities
January 11, 2018
What impact will new changes proposed by the Basel Committee on Baking Supervision have on probability of default? Matheus Pimentel Rodrigues and ...
See White PaperCapital and Currency-Based Macroprudential Policies
January 4, 2018
Horacio A. Aguirre and Gaston Luis Repetto use credit registry data from Argentia to evaluate the the impact of capital- and currency-based ...
See White PaperBanks’ Maturity Transformation: Risk, Reward and Policy
December 28, 2017
What role does a bank's borrowing and lending practices play in determining its net interest margin? The Bank of Italy's Pierluigi Bologna answers ...
See White PaperCredit Ratings and Credit Default Swaps During the European Sovereign Debt Crisis
December 20, 2017
CDS spreads can help predict forthcoming credit rating events. The University of Bath’s Utkarsh Katyaayun and Andreas Krause explain the relationship ...
See White PaperBehavioral Modeling for Prepayment of Term Loans
November 29, 2017
Various banking regulators, including the Basel Committee on Banking Supervision, require banks to factor prepayments for assessment of liquidity ...
See White PaperEnterprise Risk Management Components
November 16, 2017
What are the key elements and benefits of ERM? John Thackeray offers a comprehensive overview of ERM, and explains how it can be integrated with a ...
See White PaperConforming CVA and DVA Calculations with Guarantee Valuations
November 9, 2017
Gordon Goodman takes a detailed look at the history of credit and debt value adjustments, and proposes a unified approach to the measurement of ...
See White PaperApplying an Enterprise Risk Management Framework to Fund Governance
November 2, 2017
ERM has broad relevance. Masao Matsuda discusses how an ERM framework can be applied to governance of investment funds to maximize investor values ...
See White PaperManaging Mortgage Product Development Risk
October 26, 2017
In the highly cyclical mortgage banking business, understanding product risks and process quality is critical. Clifford Rossi explains how effective ...
See White PaperImplications of the New Global Accounting Standards for Insurance Contracts
October 19, 2017
Insurers will soon be on a level footing internationally. Ann Sin-Yee Lee explores how the new global accounting standards will drive insurers to ...
See White PaperLiquidity Risk Management: Recent Trends
October 13, 2017
Regulatory reform and changes in best practices have significantly altered the liquidity risk market. Sidharth Reddy and Anirban Naskar explore new ...
See White PaperProfitability in the CDS Market
October 4, 2017
Opinions on the best strategies for credit default swaps certainly vary. Singapore Management University's Hao Cheng and Kian Guan Lim attempt to ...
See White PaperVolcker Rule: Proposed Revisions vs. Potential Reality
September 28, 2017
The OCC just finished its solicitation of public comments on revising the Volcker Rule, and there is some optimism that the proposed changes will ...
See White PaperCounterparty Credit Risk in IR and FX Swaps
September 20, 2017
Properly assessing counterparty credit risk is a complicated task. To meet this challenge, Rajesh Khetan and Abhishek Sharma propose two ...
See White PaperNetwork Structure and Systemic Risk in the European Equity Market
September 12, 2017
Can corporate news headlines be leveraged to determine what lies ahead in financial markets? Steven Institute of Technology's Germán G. Creamer ...
See White PaperAn Application of a Conditional Illiquidity Measure for US Corporate Bond Yields
August 15, 2017
What does a conditional illiquidity market model look like? Giuseppe Corvasce analyzes illiquidity risk management metrics and proposes the ...
See White PaperRisk-Managed Momentum: The Effect of Leverage Constraints
August 8, 2017
Investors can take advantage of momentum to improve their performance, but must manage their risk in the process. Federico Nucera explains how ...
See White PaperThe Rogue Hall of Fame
July 19, 2017
Over the past 25 years, large financial institutions have racked up billions of dollars of losses from rogue trades. Kelvin To takes an in-depth look ...
See White PaperUS Bank Credit Spreads During the Financial Crisis
July 12, 2017
Understanding and pricing bank default risk is extremely important. Peter Spencer analyzes the behavior of CDS rates during the financial crisis to ...
See White PaperCredit Scoring vs. Expert Judgment: A Randomized Controlled Trial
June 27, 2017
Credit information sharing systems can increase the availability of borrower information in developing financial markets. Thomas Gietzen discusses ...
See White PaperMarket Implications of Default Prediction
June 20, 2017
Can default forecasting be improved through a model that applies implied volatility and an implied cost of capital? Colorado State University’s Hong ...
See White PaperReconciling Default Concepts for Risk Management Analytics
June 6, 2017
Today, with the various regulatory, accounting and portfolio management exercises required for different credit loss estimates, it is difficult for ...
See White PaperA Practical Guide to Market Risk Model Validations
May 30, 2017
What are the most common modeling issues in market risk management, and which validation techniques are the most popular? Vilen Abramov, Matt ...
See White PaperBank Rating Gaps as Proxies for Systemic Risk
May 23, 2017
Banks receive two types of ratings from major rating agencies: “all-in” and “standalone.” The University of Alberta’s Lu Wang investigates whether or ...
See White PaperEstimating the Physical Probability for Successful Stock Swap Mergers
May 9, 2017
What is the best approach for appraising the probability of fruitful stock swap mergers and acquisitions? Giuseppe Corvasce explains how this can be ...
See White PaperThe New Era of Expected Credit Loss Provisioning
May 2, 2017
To protect against future crises, regulators like the FASB and the IASB require banks to provision against loans based on expected credit losses. ...
See White PaperA Gentle Introduction to Value-at-Risk
April 24, 2017
What's the best way to measure market risk in financial markets? Laura Ballotta and Gianluca Fusai discuss the concept of VaR and explain its limits.
See White PaperA Novel Approach to the Quantification of Model Risk for Practitioners
April 11, 2017
Sophisticated models are in broad use across the financial services industry, but, to comply with evolving regulation, firms must accurately measure ...
See White PaperRethinking Market Surveillance
March 22, 2017
The effectiveness of the SEC’s consolidated audit trail relies largely on regulators’ ability to reconstruct market events and accurate time ...
See White PaperHow to Make ERM Effective with Limited Resources
March 15, 2017
Firms that want to make better risk-informed decisions and to protect themselves in the event of a crisis need competent enterprise risk management. ...
See White PaperLinkages Between IFRS 9 Impairment And Stress Testing
February 21, 2017
What's the connection between stress testing and the IFRS 9 international accounting framework for financial instruments? Claire Yu answers explores ...
See White PaperFRTB Regulation: A P3 Framework for Centralized Testing
February 8, 2017
Complying with the all of the rules of the fundamental review of the trading book is a major IT challenge for financial institutions. Bhuma ...
See White PaperA Stress Testing Framework for Operational Risk Loss Estimation
January 31, 2017
Financial institutions have been hit hard by rogue trading, cyber attacks and other events related to operational risk. Phani Kumar examines the ...
See White PaperClimate Change Emerges as a Risk for Financial Institutions
January 18, 2017
A recent WEF report on global risks identified climate change as a significant threat to financial resilience. Mary Schapiro, Didem Nisanci, Stacy ...
See White PaperCollateral Transformation Services: The New Kid on the Block
January 11, 2017
Financial regulations have ensured that liquidity, confidence and collateral are intertwined – but some market participants still do not have enough ...
See White PaperThe Role of Dynamic Conditional Quartic Beta and Capital Markets
December 20, 2016
DCQB is an alternative methodology that can measure the sensitivity of a risky asset with respect to a market portfolio. Giuseppe Corvasce uses ...
See White PaperModel Data Governance
December 14, 2016
The OCC's SRC 11-7 guidelines on model risk management have placed a significant emphasis on the quality of the data that banks use to develop risk ...
See White PaperIFRS 9, CECL, BCBS 311: Preparing for Financial Standards around the World
December 6, 2016
As deadlines loom for new accounting and regulatory frameworks, firms must ensure they have the right management structures and systems in place. ...
See White PaperCAT: A Flawed and Controversial Approach to Market Surveillance
November 22, 2016
The SEC may have to approve the multibillion-dollar Consolidated Audit Trail, because there is no viable alternative. But the CAT's hype is likely to ...
See White PaperThe 2016 Systemic Risk Barometer
November 16, 2016
In a recent DTCC survey, financial institutions indicated that cyber risk is the biggest risk to the global economy. Geopolitical risk (e.g., the ...
See White PaperDefining Entities for Better Risk Assessment
November 10, 2016
Proper risk assessment is vital to banks, which potentially face huge losses if they do not establish ownership of their exposures. Jill Coppersmith ...
See White PaperEmbedded Derivatives
November 2, 2016
To meet accounting regulations, financial institutions must scan all of their contracts for embedded derivatives. Deepali Ray defines embedded ...
See White PaperBenefits, Barriers, Governance and Controls of Automated Advisory Services
October 25, 2016
Regulators are having trouble keeping up with “robo-advisors” – automated advisory services that have already made a splash in the US and European ...
See White PaperAn Explanation of the Allowance for Loan and Lease Losses Calculation
October 17, 2016
Banks can estimate credit losses with help from the OCC's so-called allowance for loan and lease losses. Abhik Agrawal explains how to calculate ALLL ...
See White PaperHow Persistent are the Effects of Negative Reputation Events?
October 5, 2016
Negative events can certainly impact a company's reputation. But what are the true short-term and long-term effects of so-called negative reputation ...
See White PaperUses and Abuses of ARIMA in PPNR Modeling and Risk Management: Why Not to Fear ARIMA
September 28, 2016
The ARIMA model is widely used in PPNR modeling. However, some banks fear stability issues. Dimitri Bianco discusses the abuses in ARIMA modeling and ...
See White PaperComprehensive Capital Adequacy Review Challenges Facing Capital Markets Players
September 8, 2016
What are the latest trends and regulatory developments for CCAR from a capital markets perspective? Accenture’s Joshua Gorrera, Michael Jacobs and ...
See White PaperEIA Review: Trends and Challenges in the Energy Sector
August 25, 2016
Renewable energy, the future of LNG and greenhouse gas reduction were among the hot topics discussed and debated at this year's Energy Information ...
See White PaperThe Capital Planning Process in Focus: Qualitative Assessment Remains the Hurdle for CCAR 2016
July 20, 2016
How did banks fare in the Fed's stress testing and CCAR programs in 2016? Jared Forman analyzes this year's results and explores the capital planning ...
See White PaperExecutive Summary: Legal/Regulatory Risks in Energy Trading and End-User Hedging Programs
July 18, 2016
The potential impact of several key regulatory changes – including rulings on clearing, position limits and OTC margin requirements – was the focus ...
See White PaperBanks Can Use Technology To Extract More Value From Covenant Structuring
July 11, 2016
Implementing information systems to capture and monitor loan covenants will improve operational efficiency, but other benefits may prove even more ...
See White PaperHit-and-Run Competition in the New Oil Market Order
June 17, 2016
The changes that have reshaped international oil markets have been largely attributed to the shale revolution. Using the framework of the theory of ...
See White PaperThe Role of Third-Party Institutions in Biomass Contracting: A Comparative Perspective
June 10, 2016
Driven in part by the Obama Administration’s Clean Power Plan, new challenges have emerged in the U.S. bioenergy market. Isabel Freitas Peres and Jay ...
See White PaperCaribbean Energy: Macro-Related Challenges
May 26, 2016
High costs have dampened competitiveness and growth potential in Caribbean energy. IMF executives provide an overview of the obstacles standing in ...
See White PaperFERC v. EPSA and the Path to a Clean Electricity Sector
May 19, 2016
A recent Supreme Court ruling upheld the FERC’s demand response rule, confirming the regulator’s authority over practices directly affecting ...
See White PaperRisk in Review: Going the Distance
May 10, 2016
At many companies, the budget for compliance risk is not as large as it should be and risk management strategies are still not seen as a catalyst for ...
See White PaperForward Premia in Electricity Markets with Fixed and Flexible Retail Rates: Replication and Extension
May 5, 2016
What methodologies can be used to analyze forward premia in electricity markets? Silvester Van Koten runs both established and new simulations to ...
See White PaperSystemic Risk in Banking Sector: A Practical Approach to Assessment and Control
May 3, 2016
Preparing for potentially catastrophic, crisis-level events is a big challenge. Farrukh Mirza offers a simple but practical methodology for measuring ...
See White PaperInstitutionalizing Countercyclical Investment: A Framework for Long-Term Asset Owners
April 26, 2016
How do world's largest asset owners respond to portfolio shifts? The IMF's Bradley Jones addresses this important issue and suggests an approach ...
See White PaperRisk Management Principles for Use of Derivatives in Registered Funds
April 19, 2016
GARP recently responded to an SEC request for comments on its proposed rule on the Use of Derivatives by Registered Investment Companies and Business ...
See White PaperDetermining Capital Adequacy for Banks
April 13, 2016
Driven by CCAR and other regulatory-driven stress testing exercises, banks are now under more pressure than ever to implement well-defined capital ...
See White PaperModel Risk: Implementation Testing Challenges
April 6, 2016
Models are typically embedded in large, complex information systems. Genpact's PSS Moorthy and Venkata Krishna discuss the obstacles that model ...
See White PaperAn Alternative Measure of Illiquidity: Insights on U.S. Treasury Bills, Notes and Bonds
April 5, 2016
Recent events have demonstrated why it's important for financial institutions to gain a better understanding of liquidity problems. Giuseppe Corvace ...
See White PaperGARP Comments on SEC's Liquidity Risk Proposal
March 31, 2016
GARP, in consultation with its Buy?Side Risk Managers Forum Swing Pricing Sub Committee, recently responded to an SEC request for comments. The ...
See White PaperImplications of Collateral Settlement Fails: An Industry Perspective on Bilateral OTC Derivatives
March 28, 2016
New rules for bilateral clearing of OTC derivatives, scheduled to take effect later this year, could exacerbate the problems that cause settlement ...
See White PaperOn the Road to Digitalization: A 2016 Global Asset Management and Administration Survey
March 18, 2016
Buy-side executives see cybercrime as the largest threat to their industry over the next five years, but they're also very concerned about adapting ...
See White PaperBeyond the Flash Crash: Systemic Risk, Reliability and High-Frequency Financial Markets
March 10, 2016
It is imperative for financial institutions to understand the risk of extreme market moves. Andrew Kumiega, Greg Sterijevski and Ben Van Vliet ...
See White PaperShort-Selling Bans and Bank Stability
March 4, 2016
How effective were the short-selling bans that were implemented in the U.S. and Europe after recent financial crises? Alessandro Beber, Daniela ...
See White PaperWhy Risk is so Hard to Measure
February 3, 2016
Financial institutions have traditionally used VaR and expected shortfall to analyze risk. But do these standard techniques actually work, and, if ...
See White PaperTop Regulatory Trends for 2016 in Banking
January 27, 2016
Cyber threats, capital planning and stress testing, model risk management, credit quality concerns and culture and ethics are among the major ...
See White PaperCredit Default Swaps as Indicators of Bank Financial Distress
January 20, 2016
CDS contracts provide valuable information about the condition of banks. Davide Avino, Thomas Conlon and John Cotter explain why changes in CDS ...
See White Paper"The Prayer," Part 2
January 14, 2016
In the second of a two-part series, Attilio Meucci examines the 10 steps of advanced risk and portfolio management.
See White Paper"The Prayer": The 10 Steps of Advanced Risk and Portfolio Management
January 13, 2016
In the the first of a two-part series, Attilio Meucci explores the path from data analysis to optimal execution across all asset classes and ...
See White PaperInsurance Activities and Systemic Risk
January 12, 2016
Many different factors – including size and level of diversification – contribute to systemic risk in the insurance industry. Elia Berdin and Matteo ...
See White PaperPredicting Chinese Stock Market Crashes
January 6, 2016
Are there any models that can accurately forecast the next huge fall of the stock market in China? Sebastien Lleo and William Ziemba examine whether ...
See White PaperHow to Value Guarantees
January 4, 2016
What are financial guarantees? What are their risk benefits, and how can risk control practices be used to help value guarantees? Gordon E. Goodman ...
See White PaperCollateral Risk for Fair Valuation and CCR Capital
December 21, 2015
To keep up with changes in regulation, financial institutions now must consider non-traditional methods for capturing collateral. Etienne Koehler and ...
See White PaperVolatility Forecasting in Futures Markets: A Statistical and Value-at-Risk Evaluation
December 21, 2015
Commodity trading advisors use volatility forecasts to help them manage their risks. Theo Athanasiadis examines widely-used volatility estimators for ...
See White PaperGeopolitical Risk: The Butterfly Effect and Black Swans
December 16, 2015
In our interconnected world, even the smallest action can potentially have a significant international impact. FTI Consulting’s David Wildman breaks ...
See White PaperA State-Dependent Dual Risk Model
December 2, 2015
In a dual risk model, the premiums are considered as the costs and the claims are regarded as the profits. The surplus can be interpreted as the ...
See White PaperBanks’ Credit-Portfolio Choice and Risk-Based Capital Regulation
November 23, 2015
The tightening of capital requirements has skewed banks’ portfolios toward higher-risk, higher-earnings assets. Lund University’s Caren Yinxia ...
See White PaperAnalyzing Systemic Risk in the Chinese Banking System
November 12, 2015
Are Chinese banks at greater risk than their banking counterparts in the U.S. and Korea? The University of Groningen’s Qiubin Huang, Jakob De Haan ...
See White PaperThe Derivative Effect: How Financial Services Can Make IoT Pay Off
November 6, 2015
IoT is certainly going to impact the way that financial institutions manage risk over the next five to 10 years. Deloitte’s Jim Eckenrode analyzes ...
See White PaperVendor Model Validation: Challenges and Proposed Solutions
October 29, 2015
Validating a vendor model is no easy task, but there is a blueprint for success. PSS Moorthy breaks down best practices for vendor model validators, ...
See White PaperStress Testing: Putting the Pieces Together to Solve an Increasingly Intricate Puzzle
October 22, 2015
Under pressure to meet the rigorous demands of regulators, banks must incorporate stress scenarios into everyday practices tied to liquidity ...
See White PaperThe Global State of Enterprise Risk
October 16, 2015
Firms today are facing a wide array of increasing and complex risks, but many small and medium-sized enterprises still do not have effective ...
See White PaperCurrency Risk Outlook: 2015
October 2, 2015
What trends are shaping the global currency risk market? Hedging, economic policy and cross-border trading are among the issues probed in AFEX’s 2015 ...
See White PaperStrategic Risk Management in Insurance: Navigating the Rough Waters Ahead
September 17, 2015
Insurers need to do a better job of recognizing and reacting to strategic risks. In a new report, Deloitte’s Rich Godfrey and Sam Freidman (et al.) ...
See White PaperAchieving Optimal IFRS 9 Compliance
September 11, 2015
The IASB’s new accounting standard, IFRS 9, will require banks to provide more timely recognition of expected credit losses (ECL). SAS’ Martim Rocha ...
See White PaperHuman Capital, Managerial Overconfidence and Corporate Valuation
September 3, 2015
Determining the true value of a firm is a complex problem. Dr. Richard Ottoo (FRM), a GARP staff member on the FRM program team, uses a valuation ...
See White PaperVolcker Rule: Legitimate Liquidity Concerns or Irrational Market Fears?
August 27, 2015
Critics contend that the Volcker Rule’s proprietary trading ban will destroy market liquidity. However, Data Boiler Technologies’ Kelvin To argues ...
See White PaperFundamental Review of the Trading Book: Are You Covered?
August 13, 2015
The Basel Committee’s so-called FRTB rule, which is scheduled to come into effect in 2017, attempts to address perceived capital deficiencies in the ...
See White PaperManaging FX Exposure for Long-Term Projects
August 6, 2015
A financial institution’s corporate treasury department is responsible for hedging the foreign exchange risk of long-term projects. GE Capital’s ...
See White PaperCreating Effective Risk Models Using Machine Intelligence
July 14, 2015
Today’s risk models need to account for far more complexity than can be handled by traditional methods. This is particularly true for challenges like ...
See White PaperRisk Management in Exotic Derivatives Trading: Lessons from the Recent Past
July 2, 2015
Structured products have a complex risk profile. BNP Paribas’ Jerome Frugier and Chappuis Halder & Co.’s Augustin Beyot explain why these ...
See White PaperHow Low Can House Prices Go? Estimating a Conservative Lower Bound
June 26, 2015
In this FHFA working paper, Alexander Bogin, Stephen Bruestle and William Doerner explain the depth of housing market downturns at both the national ...
See White PaperHow Basel III and CRD IV are Hurting Hedge Funds and Small Banks
May 29, 2015
Regulatory demands for increased capital and beefed-up leverage ratios have had a negative impact on bank balance sheets. Moreover, they’ve made life ...
See White PaperOperating in the New Normal: Increased Regulation and Heightened Expectations
May 22, 2015
In areas such as risk culture, incentive compensation, operational risk and risk data and technology, banks have a lot of work to do to meet the ...
See White PaperImportant Steps in the Development and Validation of Stress Testing Models
May 8, 2015
CCAR-compliant stress tests are the last line of defense for financial institutions. Genpact’s Chandrakant Maheshwari offers a step-by-step approach ...
See White PaperThe Rise and Fall of OW Bunker, the World’s Largest Marine Fuel Trader
May 1, 2015
In November 2014, just seven months after a successful IPO, OW Bunker went unexpectedly bankrupt because of alleged “risk management losses” and ...
See White PaperDodd-Frank Act Stress Testing for Mid-Size Banks
April 17, 2015
Data quality, model risk management, governance and policy and implementation are among the areas that mid-size banks need to focus on to comply with ...
See White PaperTips for Managing Foreign Exchange Risk
April 17, 2015
Foreign exchange risk can be driven by economic risk or accounting risk – or both. Deepali Ray says it may be prudent to hedge economic risk and ...
See White PaperStrategic Budgeting and Planning: How to Turn Mandatory Finance and Risk Disclosures into Strategic Tools
April 17, 2015
Financial institutions now face a lot of internal pressure (from the board) and external pressure (from regulators) to forecast the impact of future ...
See White PaperDriving Efficiencies through a Holistic Approach to New Banking Regulations
March 26, 2015
Compliance cost burdens will only get worse if banks respond to new regulations in tactical, patchwork fashion. Taking a more transformational, ...
See White PaperManaging Accounting Risk through Hedge Accounting
February 20, 2015
While derivatives instruments can be used to manage a firm's foreign exchange exposure, they can also lead to accounting problems. One way to ...
See White PaperEmpowering Loss Prevention with Strategic Data Analytics
February 13, 2015
In today's highly competitive business environment, it is very important to identify vulnerabilities before losses occur. PwC explains how companies ...
See White PaperEnsuring Effective Mitigation of Conduct Risk
February 6, 2015
In the wake of financial scandals and crises, regulators are now more intensely scrutinizing the conduct of banks. Realizing the potential penalties ...
See White PaperSovereign Risk and the Macroprudential Illusion
December 12, 2014
Despite increased capital requirements and new, more stringent liquidity rules, exposure to government debt remains a significant source of ...
See White PaperAnalyzing the Capital Requirements for High Yield Investments by Banks
December 4, 2014
How does the new Basel approach for calculating the capital requirement for banks' equity investments in funds compare with Bob Merton's famous ...
See White PaperRisk Oversight of Investment Activity: 12 Pitfalls to Avoid
November 25, 2014
Developing and supporting an independent, properly resourced and well managed risk oversight function is no easy task for an investment firm. Bob ...
See White PaperThe CVA Capital Charge under Basel III's Standardized Approach
November 7, 2014
Why has counterparty credit risk (CCR)become so important, and what steps must financial institutions take to meet new regulatory requirements for ...
See White PaperEconomic Time-Series-Based Risk Models: Challenges and Solutions
October 30, 2014
Improving the accuracy and trend sensitivity of risk models is no small task. Vikash Kumar Sharma and Animesh Mandal explain a comprehensive approach.
See White PaperGenerating Historically-Based Stress Scenarios
October 23, 2014
Is there a robust methodology for generating plausible interest-rate shocks? The FHFA's Alexander N. Bogin and William M. Doerner discuss the steps ...
See White PaperUnderstanding the Credit Risk Profiles of Over-the-Counter Derivative Transactions
October 10, 2014
OTC derivative transactions carry a huge amount of credit risk. R. Sathis Kumar explores the risks involved for both parties in these deals, and ...
See White PaperPortfolio Stress Testing Methodologies
September 25, 2014
Regulators like the US Fed, the International Monetary Fund and the Bank for International Settlements are leading the charge to institutionalize ...
See White PaperUS Regulatory Outlook: The Beginning of the End
August 21, 2014
American banks have had to deal with quite a bit of uncertainty because of regulatory delays. However, in 2014, we should finally see the regulatory ...
See White PaperDodd Frank At 4: Where do we go from here?
July 22, 2014
July 2013 marked the fourth anniversary of the enactment of the Dodd-Frank Act. Although most studies required to be undertaken by the Act have been ...
See White PaperBuilding Blocks for BCBS 239 Risk Data Aggregation (RDA) Compliance
July 3, 2014
Banks need to implement a comprehensive data and reporting framework to meet all of the requirements of Basel III. Dwarika Nath Mishra, ...
See White PaperOperational Risk Information Sensors for Unstructured Data
July 3, 2014
How to detect, process and manage the operational risk embedded in social media. By Dwarika Nath Mishra and Vijayaraghavan Venkatraman.
See White PaperA Bayesian Approach for Model Selection
June 6, 2014
During the recent sovereign debt crisis, the Bayesian composite hedging strategy was particularly effective. How, exactly, can sophisticated ...
See White PaperDeloitte NL Global Model Practice Survey
May 14, 2014
Models are powerful tools that can be used to assess risk and improve decision making. If managed inappropriately, however, models can increase ...
See White PaperA New Credit Crisis for 2014
May 8, 2014
From the perspective of credit risk analytics, bigger data, coming from a far greater number of sources, needs to be squeezed into fewer - and more ...
See White PaperDoes Active Management Benefit Active Management: An Analysis of the NACUBO-Commonfund Study Data
May 8, 2014
Active management for endowments is significantly positively related to higher returns net of fees from U.S. equity allocations over the 2006-2013 ...
See White PaperAdvanced Risk Management
May 8, 2014
For institutional investors, risk is the fuel that generates portfolio returns. At Commonfund, which manages $25 billion on behalf of nearly 1,400 ...
See White PaperCoface Sector Barometer Q2 2014
May 8, 2014
Economists at credit insurer Coface say North America remains on track, with company results consistently improving and financial strength ...
See White PaperEmerging Risks 2014
April 10, 2014
Financial volatility, cyber attacks and rapidly-changing regulation are among the risks that are top of mind for risk managers in 2014, according to ...
See White PaperRisk Communication
March 14, 2014
Effective risk communication between the board of directors and the C-Suite is critical for companies to seize on opportunities in today's uncertain ...
See White PaperCortisol Shifts Financial Risk Preferences
March 6, 2014
Many influential models assume that financial risk preferences form a stable trait. Is this assumption justified? The research results in this paper ...
See White PaperSimple Simulation of Non-Normal Distribution
March 6, 2014
This whitepaper presents, without going into the mathematical rigor, a simple step-by-step approach to developing a non-normal distribution using ...
See White PaperOvercoming Insufficient Data for Forecasting Probability of Default
February 20, 2014
In calculating a reserve for their loan portfolio, financial institutions must allocate enough to cover the expected loss over the next year, due to ...
See White PaperBasel, the Big Picture: Tackling Risk Aggregation & Reporting
February 17, 2014
When the Basel Committee on Banking Supervision released its "Principles for Effective Risk Data Aggregation and Risk Reporting" in January 2013, the ...
See White PaperPanorama Sector Barometer Winter 2013
January 30, 2014
Coface's third Panorama asses the risks facing 14 key industrial sectors in Asia, North America and Western Europe.
See White PaperEye on the Credit Markets
January 23, 2014
The worldwide credit markets were impacted by a confluence of factors in 2013, as the global economy continued to slowly regain its footing. Among ...
See White PaperImprove ROE with Better Credit Risk Practices
January 22, 2014
Many times, the first question companies ask BI software vendors is "can I export the data to a spreadsheet?" But this is the wrong question to ask. ...
See White PaperIdentifying Illicit Activity Through Financial Transactions
January 22, 2014
To shield against emerging threats from sources such as rogue states, terrorist groups, organized crime and disaffected internal elements, financial ...
See White PaperRisk-Neutral PDs and Default-Adjusted Cash Flows
January 8, 2014
In this paper, the author seeks to take some well-known methods of deriving market-implied PDs (risk-neutral PDs) and derive credit-adjusted cash ...
See White PaperRegulatory Reform Glossary
December 20, 2013
Since the financial crisis, financial institutions have been required to address significant regulatory changes. The new regulatory framework in the ...
See White PaperThe Internal Audit Analytics Conundrum
December 20, 2013
Leading organizations are able to gain significant competitive edge through data. The increasing sophistication of analytics technologies, coupled ...
See White PaperIntegrating Stressing of LGD Parameters into Basel AIRB Capital Supervisory Formula
November 21, 2013
Current Basel minimum capital requirements for credit risk under the Advanced Internal Rating Based Method (AIRB) use both probability of default ...
See White PaperEmbedding Risk Data Aggregation and Reporting
November 21, 2013
This paper considers the 14 Data Principles recently described by the Basel Committee for Banking Supervision (BCBS Regulation 239) and assesses ...
See White PaperCurrency Forcasting Using Value at Risk
November 13, 2013
This whitepaper explores an alternative application of Value at Risk models -- as a measure of forecasting currency over a certain horizon.
See White PaperLeveraging Risk Analytics
November 1, 2013
The global financial crisis of 2008 has often been attributed to a failure of risk management. Where the warnings of senior risk managers once went ...
See White PaperExploring Strategic Risk
October 23, 2013
Managing risk effectively has always been a touchstone of the most successful companies. But in today's risk-filled business environment, it can be ...
See White PaperQuantitative Approaches to Modeling Sovereign Risk
October 16, 2013
As sovereign bonds have become an increasingly important part of the global financial system, accounting for roughly one-fifth of financial assets, ...
See White PaperPanorama Sector Barometer
October 9, 2013
Coface's quarterly sector barometer analyses the situation in fourteen key economic sectors in three of the world's major regions (European Union, ...
See White PaperModel Risk Assessment A Model Doesn't Begin With a Model
September 25, 2013
The recent expansion of model development from origination to exposure valuation benefits the decision-making process of the management in financial ...
See White PaperBeyond the Horizon
September 11, 2013
This paper identifies several factors impeding the industry's ability to protect itself from emerging threats, including a rise in cyber attacks that ...
See White PaperLimited Data for Forecasting a Fact of Life for Credit Risk Managers
August 27, 2013
As the pace of business accelerates, financial institutions struggle to find enough relevant data to forecast risk-related parameters for reserve ...
See White PaperWall Street in Crisis
August 1, 2013
A particularly troubling and consistent finding from Labaton Sucharow's second annual survey of the U.S. financial services industry is what the ...
See White PaperEvolution of the OTC Swaps Market
July 23, 2013
There was much pointing of fingers in the aftermath of the global crash of 2008, as politicians, economists, the media, and the financial industry ...
See White PaperManaging Misconduct During Career Moments
June 26, 2013
This study from CEB finds that changes in employees' work environment -- dubbed "career moments" -- can disrupt established patterns of workplace ...
See White PaperEstimating Credit Spreads
June 19, 2013
Credit spreads refer to the difference in interest rates charged by borrowers to cover the default-related risks involved with any loan or set of ...
See White PaperTenor Adjustments for a Basis Swap
May 29, 2013
Interest rate swaps (IRS) are powerful tools to transfer the cash flows of assets and liabilities to fixed from floating and vice versa. They are ...
See White PaperGovernance for Strengthened Risk Management
May 23, 2013
In this report, the Institute of International Finance tackles some of the gaps between recommendations to strengthen risk governance practices and ...
See White PaperArt of Algorithmic War
May 2, 2013
In this market age of dark pools, contorted orders and 'self'-learning machines, the battle not only for alpha but also for simple survival looks ...
See White PaperState of Internal Audit Study
April 25, 2013
The overwhelming opinion of 1,700 executives participating in PwC's 9th annual State of the Internal Audit Profession Research is that internal audit ...
See White PaperMonitoring Risk While Pursuing High Returns
April 11, 2013
Understanding the different approaches to measuring credit, and what those techniques allow their users to actually see, is a crucial element in ...
See White PaperIncreasing Urgency and Evidence of Opportunity: A Survey of CROs in the Insurance Industry
April 3, 2013
Insurers have entered a new era of risk, with increased regulatory requirements and clear business justifications for embedding well-thought-out risk ...
See White PaperWrong-Way Risk
March 7, 2013
On the heels of a major financial crisis that saw the failure of a global bank and near failure of several others, institutions must be able to ...
See White PaperCreating a Risk Management Culture
February 21, 2013
How do you create a risk culture that permeates all levels and functions in an organization? These five steps are intended to provide CIOs, CEOs and ...
See White PaperDoes Black-Scholes Framework for Option Pricing Use Constant Volatilities and Interest Rates?
January 16, 2013
Many believe that when using the famous Black-Scholes framework for option pricing, you must assume that the stock volatility and risk free interest ...
See White PaperDodd-Frank Implementation
January 3, 2013
Almost two-and-a-half years after the enactment of the Dodd-Frank Act, the various federal agencies charged with implementation have made measurable ...
See White PaperBuyers and Bleeders
January 3, 2013
Capital requirements are tightening due to the Dodd-Frank Act and Basel III regulations, with the consequence that many banks will require hefty ...
See White PaperThe State of the Credit Markets
January 2, 2013
From widespread economic and political uncertainty to low yields and regulatory reform, a handful of themes are dominated the global credit markets ...
See White PaperCVA Capital Calculation
December 18, 2012
In response to the global financial crisis and a heightened awareness of counterparty credit risk and CVA, Basel III includes a new capital charge ...
See White PaperThe Global Outlook for Crude Oil
November 19, 2012
Strong crude oil prices are largely discounted by the market, and geopolitical and monetary factors suggest that prices could climb higher. However, ...
See White PaperManaging Counterparty Risk in an Unstable Financial System
November 19, 2012
In "Managing Counterparty Risk," David Belmont, Chief Risk Officer of Commonfund Group, analyzes MF Global, Peregrine Capital, and other counterparty ...
See White PaperTransition Of Memory (DRAM) Market From Oligopoly to Monopoly
August 22, 2012
The DRAM market has been competitive and dynamic right from the days of its formation. It has seen transition (in technology & market structure), ...
See White PaperDodd-Frank at 2
July 18, 2012
Making the wide-ranging financial reforms in the Dodd-Frank Act a reality requires the work of many federal agencies, either through rulemaking or ...
See White PaperVolatility-Volume Relationship in Energy Futures Markets
May 1, 2012
This paper investigates the relationship between trading volume and price volatility in the crude oil and natural gas futures markets when using ...
See White PaperSybase - Counterparty Risk
December 19, 2011
Counterparty risk has long been a source of concern for risk managers. However, the financial crisis brought new urgency to counterparty risk ...
See White PaperModeling Electricity Spot Prices -- Combining Mean-Reversion, Spikes and Stochastic Volatility
November 3, 2011
Starting with the liberalization of electricity trading, this market grew rapidly over the last decade. However, while spot and future markets are ...
See White PaperGDL-SECTRADE
June 7, 2011
This thought leadership paper examines the impact of the anticipated changes in financial regulation of securities trading in response to the current ...
See White PaperSybase Capital Markets Guide 2011
June 7, 2011
With articles and research that focus on technological innovation, business strategy and geographical markets, this guide provides thought leadership ...
See White PaperSAS-AFTERTHESTORM
June 7, 2011
In March 2009, the Economist Intelligence Unit conducted a global survey to assess how risk management is changing in the world's financial ...
See White PaperSYBASE - COMPLEX EVENT PROCESSING
June 7, 2011
"Today, everything happens fast. In Capital Markets, real-time analysis of data delivered from multiple sources, at high speed, is key to maximizing ...
See White PaperEvaluating and Managing Energy Portfolios: Overcoming the Challenges
June 7, 2011
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SYBASE-CAPITALMARKETS
June 7, 2011
For capital markets regulation to achieve its mission of fostering stable markets, enhancing transparency, and limiting market dislocations - despite ...
See White PaperRisk Appetite: Setting and Institutionalizing Enterprise Risk Tolerance
June 7, 2011
How do financial firms decide how much risk they will take, and how should that appetite be articulated throughout the organization? This IBM ...
See White PaperRisk Stress Testing and Scenario Analysis
June 7, 2011
This whitepaper tackles issues such as the importance of senior management's attitude toward risk analysis; the actions risk professionals should ...
See White PaperThe Impact of Physical Commodity Supply Trends on Financial Market Behavior
June 7, 2011
Do the market prices of physical commodities reliably reflect their underlying fundamentals, or does financial market behavior sometimes distort the ...
See White PaperLiquidity Risk: Improved Management Strategies and Controlling Exposure
June 7, 2011
Liquidity risk has been high on the regulatory agenda since the credit crisis of 2007 quickly became a liquidity crisis, as discussed in this ...
See White Paper