Risk.net - Financial Risk Management News Analysis
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Total loss-absorbing capacity (TLAC) definition - Risk.net
WEBJan 1, 2022 · Total loss-absorbing capacity is an international standard, finalised by the Financial Stability Board (FSB) in November 2015, intended to ensure that global systemically important banks (G-Sibs) have enough equity and bail-in debt to pass losses to investors and minimise the risk of a government bailout. From January 1, 2022, G-Sibs are required to hold a TLAC amount of 18% in terms of risk ...
Risk Journals - Quantitative Risk Management Resources - Risk.net
WEBRisk Journals deliver academically rigorous, practitioner-focused content and resources for the rapidly evolving discipline of financial risk management. Each quarter, Risk Journals provide peer-reviewed research and technical papers, delivered to a global audience in print and online. The Risk Journals portfolio has been serving broad and ...
VAR versus expected shortfall - Risk.net
WEBMar 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 ...
Cutting Edge - Risk.net
WEBCutting Edge. Cutting Edge is the quantitative finance section of Risk.net. It publishes exclusive peer-reviewed papers selected for their originality, relevance and applicability to financial markets. It also publishes podcasts with leading quants on the most topical issues, and comments from practitioners and our editorial team.
Credit risk definition - Risk.net
WEBCredit 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.
Prime broker of the year: BNP Paribas - Risk.net
WEBJan 26, 2023 · It’s been a dazzling ascent. Since its 2008 purchase of Bank of America’s prime brokerage business, BNP Paribas has cut its cloth according to its plan – to become a top-ranked contender – by buying an armful of existing PB business off-the-peg. As recently as 2019, BNP Paribas’s prime brokerage was seen as a mid-tier business, unlike those of its prominent European rivals, or the ...
Risk Learning – Training and Development for Risk Professionals
WEBInteractive learning. Learn through engaging workshops, case studies, inspiring presentations, simulations and Q&A sessions. Our courses are delivered in formats including user-friendly online sessions, in-person in financial hubs worldwide and via immersive e-learning platforms for self-paced study.
Journal of Risk - a Risk.net journal
WEBThe 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.
Risk magazine - a Risk.net magazine and app
WEBDownload the Risk Magazine app. Each month the magazine content is reformatted to make the most of your tablet and mobile’s functionality while retaining the familiar feel of Risk Magazine. Download the Risk app today to read content from the undisputed leader in risk management and derivatives intelligence on your tablet and mobile.