Financial crisis
How not to control trading behaviour
Quants show popular risk measures fail to limit risk-seeking behaviour among traders
Regulatory merger keeps China on course for deleveraging
Combination of banking and insurance regulators offers opportunity to co-ordinate debt reduction measures
Three ways to improve stress testing
Better scenario choice, iterative testing and top-down approaches could improve performance, says Ahraz Sheikh
Flexibility and a pragmatic approach puts Kairos Investment Management in a strong position for the future
After suffering a loss of more than 40% of assets under management during the financial crisis, Kairos Investment Management has recovered and – employing a virtually unchanged team – is building on the foundations previously put in place by taking a…
Customisation and risk mitigation strategies are the trends to watch in 2018
With the swing towards customisation expected to gather momentum in 2018, flexiblity and responsiveness to clients’ needs are increasingly important. Deutsche Bank is well positioned to assist its clients, improving their agility and flexibility with the…
Risk management and regulation
The author presents a systematic review of the chronological evolution of risk management, in tandem with financial innovation and methodological advances in derivatives pricing.
Asset price bubbles and the quantification of credit risk capital with sensitivity analysis, empirical implementation and an application to stress testing
This paper presents an analysis of the impact of asset price bubbles on standard credit risk measures.
Sponsored video: Jodi Richard, US Bank
Jodi Richard, chief operational risk officer, discusses the bank being named Bank of the year in the 2017 Operational Risk Awards.
Trust key to interbank lending, study finds
'Social collateral' collapsed during 2008 crisis, finds Swiss National Bank paper
Fed paper reignites debate on bank capital ratios
US industry association criticises official analysis suggesting optimal Basel ratios of up to 26%
Quants head for the shop floor
Demand for technical skills is growing, but roles have changed – and some schools are not keeping up
Hidden Markov regimes in operational loss data: application to the recent financial crisis
The authors propose a method to consider business cycles in the computation of capital for operational risk.
Risk managers: beware conventional 'wisdom'
Why the consensus view so often fails to predict seismic shocks
Why did the crisis cause such large op risk losses?
Huge losses from the 2008 crisis can be seen as a short option position
Interview: US Treasury CRO on credit risk, Tarp and cyber threats
Ken Phelan stresses importance of credit risk management in key Treasury role
The econometrics of Bayesian graphical models: a review with financial application
This paper provides a review of graphical modeling and describes potential applications in econometrics and finance.
Network theory takes root in post-crisis financial markets
Developments since 2008 open up exciting possibilities, says Kimmo Soramäki
Market pricing of credit linked notes: the influence of the financial crisis
This paper analyzes whether the financial crisis of 2007–9 had an effect on the mispricing of CLNs.
FSB's predecessor 'failed miserably' ahead of crisis – Andresen
Secretary general says FSF failed to act on known risks surrounding resolution and securitisations
Systemic risk and the sovereign-bank default nexus: a network vector autoregression approach
This paper investigates European bond markets; looking at credit risk spillover effects between financial institutions and sovereigns in the euro area.
Real-time prediction and post-mortem analysis of the Shanghai 2015 stock market bubble and crash
This paper assesses the performance of the real-time diagnostic of the bubble regime in Chinese stock markets.
Op risk needs more weight in business decisions – NY Fed
Head of op risk supervisory team views tools as 'catalysts for change'
Analysis of risk factors in the Korean repo market based on US and European repo market experiences during the global financial crisis
This paper evaluates the Korean repo market in the light of the global financial crisis.
Winds of change will continue to roar for energy markets
Financial crisis and shale revolution show nothing is certain - Kaminski