Risk Management and FPA
Risk Management and Financial Predictive Analytics (FPA)
On this page we present a rather eclectic and random presentation of the key influencing publications in the topic areas of Economic Capital, Stress Testing, Basel II (and III) and Financial Predictive Analytics. Rather as Borio and Tsatsaronis describe their taxonomy of the ideal information set, this collection below is a set of the key tools and references for the up to date practitioner in this space (or at least those tools which have been important to Union Legend). We do hope you enjoy them and that they are useful to you.
Please just click on the picture to access the IP.
Quantitative Risk Management: Concepts, Techniques, and Tools, Alexander J. McNeil, Frey & Embrechts. |
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Capital allocation for securitizations with uncertainty in loss prioritization, Michael Gordy and David Jones, Federal Reserve Board. | |
Plight of the Fortune Tellers: Why We Need to Manage Financial Risk Differently, Ricardo Rebonato. | |
Bayesian inference for generalized linear mixed models of portfolio credit risk. Journal of Empirical Finance, 14(2): 131-149 . 2007 Earlier preprint version. | |
The ideal information set - a taxonomy, BIS Working Papers, No 180; by Claudio Borio and Kostas Tsatsaronis September 2005. | |
Econometric software development: past, present and future. | |
Econometrics in R: Past, Present, and Future. | |
Liquidity Stress-Tester: A macro model for stress-testing banks' liquidity risk, Jan Willem van den End, Netherlands Central Bank, Research Department in its series DNB Working Papers 175, May 2008. | |
The Basel II framework: the role and implementation of Pillar 2, PIERRE-YVES HORAVAL General Secretariat of the Commission Bancaire, Banque de France Financial Stability Review No. 9 December 2006. | |
Modelling The Distribution Of Credit Losses With Observable And Latent Factors, Gabriel Jiménez and Javier Mencía, 2007, Documentos de Trabajo, No. 0709, Banco de Espana. | |
Forecasting the Yield Curve with S-Plus, Dario Cziráky, PhD. |
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Adjusting Multi-Factor Models by Marc Gürtler, Martin Hibbeln, and Clemens Vöhringer. |
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WHAT WE KNOW, DON’T KNOW AND CAN’T KNOW ABOUT BANK RISK: A VIEW FROM THE TRENCHES Andrew Kuritzkes
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THE IMPACT OF ECONOMIC CAPITAL ON THE OPTIMAL Guy Ford
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Time-varying contributions by
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Bayesian Inference on
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MACROECONOMIC FLUCTUATIONS AND CORPORATE FINANCIAL FRAGILITY Catherine Bruneau, Olivier de Bandt and Widad El Amri December 2008. |
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The Stress Testing of Irish Credit Institutions by Andrew Mawdsley, Maurice McGuire and Nuala O’Donnell |
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SIMULATING FINANCIAL INSTABILITY Conference on stress testing and financial crisis simulation exercises Frankfurt am Main 12-13 July 2007. |
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Nested Simulation in Portfolio Risk Measurement
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Risk Management and the Costs of the Banking Crisis Patrick Honohan Institute for International Integration Studies, TCD |