Journal of Risk Management in Financial Institutions

2007 - 2025

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Volume 10, issue 4, 2017

The politics of risk: A reflection of volatility in 2017 pp. 312-313

Unknown

Risk management for financial institutions in an age of populism pp. 314-318

Douglas J. Elliott

Sketching a roadmap for systemic liquidity stress tests pp. 319-340

Grzegorz Hałaj and Jerome Henry

Hedging the impact of climate change in the catastrophe space pp. 341-352

Carolyn W. Chang and Jack S.K. Chang

Improving finance and risk management foresight abilities: Growing past the ‘black swan’ mindset through integrative assessment pp. 353-364

Guntram Fritz Albin Werther

Forecasting initial margin requirements: A model evaluation pp. 365-394

Peter Caspers, Paul Giltinan, Roland Lichters and Nikolai Nowaczyk

Smoothing transition probability matrices under a risk sensitive approach pp. 395-411

Ahmet Perilioglu and Karina Perilioglu

Volume 10, issue 3, 2017

Editorial: Has too big to fail been resolved? pp. 220-223

Unknown

Stress testing: Where next? pp. 224-237

Jo Paisley

Forecast of forecast: An analytical approach to stressed impairment forecasting pp. 238-256

Jimmy Skoglund and Wei Chen

Critical appraisal of the Basel fundamental review of the trading book regulations pp. 257-275

J. Orgeldinger

A deeper understanding of payment shock dynamics pp. 276-281

Nidhi Verma

BCBS IRRBB pillar 2: The new standard for the banking industry pp. 282-288

Roberto Virreira Zijderveld

Operational resilience: Developing a comprehensive operational risk strategy pp. 289-295

David Suetens, Richard Flood and Cinzia Dicorato-Rura

Regulatory reform in banking 10 years after the financial crisis pp. 296-302

Mattia L. Rattaggi

Volume 10, issue 2, 2017

Backstopping risk: Capital versus transparency pp. 116-117

Unknown

Capturing initial margin in counterparty risk calculations pp. 118-129

Lee Moran and Sascha Wilkens

Underdetermination and variability of the results in macro-to-micro stress tests: A machine learning approach pp. 130-149

Alexander Denev and Orazio Angelini

Wrong-way risk bounds in counterparty credit risk management pp. 150-163

Amir Memartoluie, David Saunders and Tony Wirjanto

Statutory bail-in for an orderly resolution of insurers pp. 164-176

Shinya Kobayashi

Credit risk term-structures for lifetime impairment forecasting: A practical guide pp. 177-195

Jimmy Skoglund

Cybersecurity: Risks and management of risks for global banks and financial institutions pp. 196-200

Mark Camillo

Probabilistic causality and decisions on bailouts of financial institutions pp. 201-212

Fernando Moreira

Volume 10, issue 1, 2017

Country risk: A special issue pp. 4-6

Unknown

Managing political risk in advanced economies pp. 7-11

Sam Wilkin

Assessing vulnerabilities to financial shocks in some key global economies pp. 12-35

Jack Fisher and Lukasz Rachel

Stress tests as a systemic risk assessment tool pp. 36-44

Dimitri Demekas

Opinion: Beyond country risk: A comprehensive approach to address banks’ vulnerabilities pp. 45-47

Gregorio De Felice

Changing the treatment of sovereign exposures in banking regulation: A market impact assessment pp. 48-64

Áron Gereben

Incorporating external factors into country risk analysis pp. 65-73

Mina Toksoz

Reassessing the risks in emerging markets pp. 74-77

Richard Wise

Exposure exchange agreements among multilateral development banks for sovereign exposures: An innovative risk management tool pp. 78-88

Riadh Belhaj, Merli Baroudi, Norbert Fiess, Jonas Campino De Olivera, Frank Sperling and Tim Turner

The challenge of assessing and shaping bank conduct, ethics and culture: Insights from the social sciences pp. 89-98

Matthew Connell

Convexity and correlation effects in expected credit loss calculations for IFRS9/CECL and stress testing pp. 99-110

Gaurav Chawla, Lawrence R. Forest Jr and Scott D. Aguais

Volume 9, issue 4, 2016

Asset and liability management in financial institutions pp. 312-312

Unknown

Bank’s asset and liability management: A chief risk officer’s perspective pp. 313-326

Venkatesh Kallur

Bank profitability: Liquidity, capital and asset quality pp. 327-331

Edward Bace

Expected loss provisioning under upcoming IFRS 9 Impairment Standards: A new source of P&L volatility — can we tame it? pp. 332-343

Wolfgang Reitgruber

Challenges in implementing a robust rates transfer pricing framework pp. 344-350

Juan Ramirez

Rethinking banking: How to fit bank business models to regulatory constraints pp. 351-362

Fernando De La Mora and Paul Sharma

Towards a 3-D model of risk management: Why is the current focus on culture, conduct and senior management having so little impact? pp. 363-372

Gary J. Storer

Managing interest rate risk in the banking book using an optimisation framework pp. 373-390

Bogie Ozdemir and Gokul Sudarsana

Regress under stress: A simple least-squares method for integrating economic scenarios with risk simulations pp. 391-412

Dan Rosen and David Saunders

Comments on Risk Accounting pp. 413-420

Unknown

Volume 9, issue 3, 2016

Managing model risk pp. 204-206

Unknown

Fixing prompt corrective action pp. 207-223

Paul Kupiec

Risk accounting - part 2: The risk data aggregation and risk reporting (BCBS 239) foundation of enterprise risk management (ERM) and risk governance pp. 224-248

Allan D. Grody and Peter J. Hughes

Point-in-time loss-given default rates and exposures at default models for IFRS 9/CECL and stress testing pp. 249-263

Gaurav Chawla, Lawrence R. Forest Jr. and Scott D. Aguais

An investigation of hypothetical variance-covariance matrix stress-testing pp. 264-288

Quintin Rayer

Causal analysis of operational risk for deriving effective key risk indicators pp. 289-304

Lasse B. Andersen, David Häger and Hilde B. Vormeland

`Value and Capital Management. A Handbook for the Finance and Risk Functions of Financial Institutions` by Thomas C. Wilson pp. 305-306

Krzysztof Jajuga

Volume 9, issue 2, 2016

Risks of regulation pp. 108-111

Unknown

Behavioural insights for improving the practice of risk management pp. 112-119

Hersh Shefrin

Risk governance of financial institutions: The growing importance of risk appetite and culture pp. 120-129

Walter Gontarek

Risk Accounting - Part 1: The risk data aggregation and risk reporting (BCBS 239) foundation of enterprise risk management (ERM) and risk governance pp. 130-146

Allan D. Grody and Peter J. Hughes

Strategic risk management: The failure of HBOS and its regulators pp. 147-162

Patrick J. Mcconnell

The FinTech revolution: Quantifying earnings uncertainty and credit risk in competitive business environments with disruptive technologies pp. 163-174

Jorge R. Sobehart

A quantitative model to articulate the banking risk appetite framework pp. 175-196

Cinzia Baldan, Enrico Geretto and Francesco Zen

`Key Risk Indicators` by Anna Rodriguez and Viney Chadha pp. 197-198

Krzysztof Jajuga

Volume 9, issue 1, 2016

Strategic ALM: The future of bank risk management pp. 4-5

Unknown

What it takes to lead in risk management: An interview with Madelyn Antoncic pp. 6-16

Madelyn Antoncic

The influence of systemic importance indicators on banks’ credit default swap spreads pp. 17-31

Jill Cetina and Bert Loudis

Stress testing convergence pp. 32-45

German Gutierrez Gallardo, Til Schuermann and Michael Duane

Big Data in risk management pp. 46-52

Dilip Krishna

Managing non-financial risks: A new focus area for executive and non-executive board members pp. 53-58

Thomas Kaiser

Trade finance as a financial asset: Risks and mitigants for non-bank investors pp. 59-70

Robert M. Kowit, William May and Erick Rengifo

Does risk culture matter? The relationship between risk culture indicators and stress test results pp. 71-84

Sebastian Fritz-Morgenthal, Julia Hellmuth and Natalie Packham

Low RWA but high GNPA? Risk performance of some Indian banks under Basel II-SA pp. 85-98

Anjan Roy

`Country and Political Risk Edited` by Sam Wilkin pp. 99-102

David Bobker