New models revolving around expected shortfall enabled Nomura to shave a third off market risk charges as of end-March, in the worldwide debut of the internal models approach (IMA) under the ...

Swaptions and constant maturity swap spread options are essential to calibrating interest rate models yet remain computationally demanding. Toufik Bellaj, Khalid Bellaj and Hicham Nait Yahia propose a ...

Researchers have found that one in four roles at the US Federal Reserve could benefit from the use of generative AI (GenAI), signalling the vast potential for its use within the central bank. However, ...

This paper uses a large number of earnings events from which the subset of outcomes for which the price strongly increased or ...

Ruhao Chen is a master degree candidate at the College of Economics and Management at China Jiliang University, China. Her research interests include interpretable machine learning, financial distress ...

Foreign bank subsidiaries experienced larger declines in their Common Equity Tier 1 (CET1) capital ratios during the most recent stress tests in both the US and Europe compared to domestic peers, ...

The European Central Bank’s new guidelines on the use of cloud services go beyond recently implemented European Union regulation, according to operational risk managers. The Digital Operational ...

Traders say Trump version 2.0 is already proving a much tricker task to manage than the original, and have had to adapt ...

Accurate and transparent bond pricing is critical for managing risk, meeting regulatory requirements and making informed investment decisions ...

Repo market participants are calling for regulators not to drag special collateral repo into the growing discussion around the appropriate level of haircuts on repurchase agreements.

Barclays incurred five value-at-risk backtesting exceptions in the second quarter, triggering a downgrade of its regulatory VAR model for the first time since Q2 2018. The UK bank overshot its VAR ...

Mandatory training on critical operational risks coverage has broadened over the past year, particularly in the domain of ...