Home

Risk Management and FPA

Printer-friendly versionSend to friendPDF version

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.

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.

Adjusting Multi-Factor Models
for Basel II-consistent Economic Capital

by Marc Gürtler, Martin Hibbeln, and Clemens Vöhringer.

WHAT WE KNOW, DON’T KNOW AND CAN’T KNOW ABOUT BANK RISK: A VIEW FROM THE TRENCHES

Andrew Kuritzkes
Til Schuermann.

 

THE IMPACT OF ECONOMIC CAPITAL ON THE OPTIMAL
FUNDING EQUATION FOR A BANK

Guy Ford
Macquarie Graduate School of Management
Macquarie University
NSW 2109
Australia
Maike Sundmacher
School of Economics and Finance
University of Western Sydney
Locked Bag 1797
Penrith South DC
NSW 1797
Australia.

 

Time-varying contributions by
the corporate bond and CDS markets
to credit risk price discovery
Niko Dötz
DEUTSCHE BUNDESBANK
Discussion Paper
Series 2: Banking and Financial Studies
No 08/2007 .

 

Bayesian Inference on
Dynamic Models with
Latent Factors
Monica Billio
Roberto Casarin
Domenico Sartore.

 

MACROECONOMIC FLUCTUATIONS
AND CORPORATE FINANCIAL FRAGILITY
Catherine Bruneau, Olivier de Bandt and Widad El Amri
December 2008.

The Stress Testing of Irish Credit Institutions
by Andrew Mawdsley, Maurice McGuire and Nuala O’Donnell

SIMULATING FINANCIAL
INSTABILITY
Conference on
stress testing
and financial
crisis simulation
exercises
Frankfurt am Main
12-13 July 2007.

Nested Simulation in Portfolio Risk Measurement
Michael B. Gordy and Sandeep Juneja
THE FEDERAL RESERVE

 

Risk Management and the Costs of the Banking Crisis
Patrick Honohan
Institute for International Integration Studies, TCD

 

Short URL
Asymptotix on Twitter

Are the key legislative pillars such as Basel II & III, UCITS IV and Solvency II forcing you to re-examine how you identify, measure and manage risk and capital?

Asymptotix work closely with our partners to help clients develop a more proactive, systematic and integrated approach to governance and risk management to deliver proper value.

Asymptotix can offer the support you need to deliver on time. Read more...
 

Is the goal of your website to sell services or products, educate, or collect data?

A positive customer experience is vital to conversion, no matter what your conversion goals may be. Our designers and developers will create a positive experience to maximize your conversions and deliver the optimal return on your investment. We strive to find the perfect balance between the web site’s design and functionality.

Asymptotix implements interactive solutions for European companies. From corporate websites to social communities, our clients will tell you an investment in building a scalable online experience will deliver long-term tangible benefits.

Based in Luxembourg we can help you all over Europe. Our multi-lingual team can work with projects and speak your language! Read more...