Data shows drop in plans to pitch or switch vendors, amid tighter third-party rules – but TPRM bucks the trend ...

Credit valuation adjustment (CVA) risk-weighted assets (RWAs) spiked at two Singaporean banks in the second quarter, reaching their highest levels since at least 2018. DBS Bank’s CVA RWAs climbed 12% ...

This paper puts forward a dual-layer approach to climate risk management with utilises root cause-based analysis and severity ...

Hedge funds are reloading their short dollar bets – with a few new twists – ahead of US Federal Reserve chairman Jerome Powell’s highly anticipated keynote speech at the central bank’s annual Jackson ...

For years, senior staff of the Bank of England have been warning about the systemic risks posed by excessively leveraged non-bank financial firms. The tariff-driven market volatility in April showed ...

The author applies the Bernoulli distribution to an extrapolation of the capital provision that does not take into account ...

Mitsubishi UFJ Financial Group (MUFG) offloaded 27.1% of its available-for-sale (AFS) Japanese government bond (JGB) portfolio in the second quarter, bringing holdings to their lowest level in more ...

This paper discusses a new estimator for probability of default and compare its performance against two alternative ...

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 ...

Repo market participants are calling for regulators not to drag special collateral repo into the growing discussion around ...

Andrzej R. Stopczyński, PhD  is an experienced risk management professional and academic, currently serving as an Associate Professor at the Institute of Finance at the University of Łódź. He also ...

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