Risk.net - Financial Risk Management News Analysis
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Risk management news and analysis articles - Risk.net
The post-Archegos risk model rebuild begins… slowly. Following regulatory prodding, banks start to overhaul counterparty risk models. A flurry of new research on the topic may aid the effort. By Mauro Cesa and Luke Clancy.
RCSAs: designing and embedding in risk management
About the course. This course offers an in-depth exploration of the RCSA process, from designing and conducting assessments to reporting results and planning follow-up actions. Emphasising the integration of RCSA s within the broader risk management framework, key concepts such as risk taxonomy, governance and appetite are explored.. The curriculum examines RCSA …
Top 10 operational risks for 2021 - Risk.net
Mar 3, 2021 · Welcome to Risk.net’s annual ranking of the top op risks for 2021, based on a survey of operational risk practitioners across the globe and in-depth interviews with respondents.. As in years past, there is no great secret to the methodology: Risk.net’s editorial team gets in touch with 100 chief risk officers, heads of operational risk and senior practitioners at financial …
Credit risk definition - Risk.net
Credit risk is the risk of a borrower defaulting on a loan, or related financial obligation. Alongside market risk and operational risk, it is one of the three major classes of risk that banks face, and accounts for by far the largest share of risk-weighted assets (RWAs) at most banks. Banks use credit risk modelling to calculate the amount of capital to hold against credit losses.
Risk-weighted assets (RWAs) definition - Risk.net
Risk-weighted assets are used to determine the minimum amount of regulatory capital that must be held by banks to maintain their solvency. This minimum is based on a risk assessment for each type of bank risk exposure: credit, market, operational, counterparty and credit valuation adjustment risks. The riskier the asset, the higher the RWAs and the greater the amount of …
VAR versus expected shortfall - Risk.net
Mar 1, 2007 · Expected shortfall, like VAR, is a function of two parameters: N (the time horizon in days) and X % (the confidence level). It is the expected loss during an N -day period, conditional that the loss is greater than the X th percentile of the loss distribution. For example, with X = 99 and N = 10, the expected shortfall is the average amount ...
Risk Management for Beginners: The Operational Risk Policy
Aug 1, 2010 · They refer potentially to a large number of documents governing, in principle, any activity that can cause an operational loss. Operational risk is difficult, if not impossible, to manage separately from the day-to-day management of the business. In this chapter, by contrast, the term “operational risk policy” refers to a single document ...
Quant Finance Master’s Guide 2023 - Risk.net
May 23, 2023 · Quantitative finance. View 2023 full rankings. Welcome to the latest edition of Risk.net ’s guide to the world’s leading quantitative finance master’s programmes, and ranking of the top 25 courses. Fifty programmes feature in the 2023 edition of the guide, with the top 25 ranked according to Risk.net ’s proprietary methodology.
Journal of Risk - a Risk.net journal
The Journal of Risk is particularly interested in papers on the following topics: Risk management regulations and their implications. Risk capital allocation and risk budgeting. Efficient evaluation of risk measures under increasingly complex and realistic model assumptions. Impact of risk measurement on portfolio allocation.