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

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 ...

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 ...

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 ...

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 ...

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 ...

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 ...

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