Journal of Risk Management in Financial Institutions

2007 - 2026

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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

Volume 8, issue 4, 2015

How are the new rules for OTC derivatives working? pp. 312-313

Unknown

Capital for concentrated credit portfolios pp. 314-322

Paul Kupiec

Risk modelling: Convergence needed, but some variances are legitimate pp. 323-331

Brad Carr

Simulating and validating a multi-factor Heath, Jarrow and Morton model with negative interest rates pp. 332-346

Robert Jarrow and Donald R. Van Deventer

Governance as the driver of culture change and risk management pp. 347-357

Marcy S. Cohen

How is risk management contributing to financial stability? The perspective of a European-GSII pp. 358-364

Alban De Mailly Nesle

The end of the waterfall: Default resources of central counterparties pp. 365-389

Rama Cont

CVA wrong way risk multiplier decomposition and efficient CVA curve pp. 390-404

Tao Pang, Wei Chen and Le Li

`Contemporary Challenges in Risk Management` Edited by Torben Juul Andersen pp. 405-407

Krzysztof Jajuga

Volume 8, issue 3, 2015

Time to remove the tax advantage of debt pp. 216-217

Unknown

Confronting regulatory and financial industry change at the world’s largest asset manager: An interview with Ben Golub, Senior Managing Director and Chief Risk Officer of BlackRock, Inc pp. 218-226

Ben Golub

Bank capital for operational risk: A tale of fragility and instability pp. 227-243

Mark Ames, Til Schuermann and Hal S. Scott

Can Basel 4 work? What can go wrong? An examination of the new Basel proposals pp. 244-263

Bogie Ozdemir, Gokul Sudarsana and Michael Giesinger

Stress testing European banks: Lessons for risk managers pp. 264-276

Piers Haben and Benjamin Friedrich

Growth-linked anti-cyclical debt: A solution for Europe’s public debt overhangs pp. 277-288

Alberto Gallo, Lee Tyrrell-Hendry, Mateja Popovic, Tao Pan and Ashleigh Grant

What can risk managers at financial institutions learn from the systems employed by traders? pp. 289-296

Chabi Deochand

Control without limits: Why the ‘Fundamental Review of Trading Books’ is a good step forward and how it could go further pp. 297-307

Cyril Godart

Volume 8, issue 2, 2015

The FSB, BCBS and SIFIs: Partnership required pp. 116-117

Allan D. Grody

Challenges for systemic risk assessment in low-income countries pp. 118-129

Mario Catalán and Dimitri Demekas

A framework to analyse the sovereign credit risk exposure of financial institutions pp. 130-146

Jide Lewis

Facing the interest rate challenge: A key risk management issue for insurers pp. 147-152

Astrid Frey

How relevant are the Basel capital reforms for sub-Saharan Africa? pp. 153-162

Martin Brownbridge

Liquidity effects in banks’ capital allocation decisions pp. 163-170

Wenersamy de Alcantara

On aggregate model risk management: Focus on stress testing pp. 171-195

Yan Shi, H. Walter Young and Ran Cao

A volatility-based single parameter Loss Given Default model pp. 196-210

Hank Z. Yang

`Risk Culture and Effective Risk Governance` Edited by Patricia Jackson pp. 211-212

Allan Grody

Volume 8, issue 1, 2015

Accounting for the cost of risk management in a risk capital as commons framework pp. 4-5

David R. Koenig

Early warning signals and systems for liquidity risk pp. 6-26

Terry Benzschawel

Should SIFIs protect themselves from systemic risk? pp. 27-33

Federico Galizia

Stress testing of credit portfolios in light- and heavy-tailed models pp. 34-44

Michael Kalkbrener and Natalie Packham

Exploring the use of the Kelly criterion for Basel capital requirement: An optimal and countercyclical approach pp. 45-61

Max C. Y. Wong

The Single Supervisory Mechanism: Ready to take over banking supervision in the euro area? pp. 62-75

Thomas M. Dietz

Lessons learned from AQR: Essential elements of the model review process pp. 76-82

Mark Beinker, Yuri Ivanov, Andreas Mainik and Irina Ursachi

Managing risk in a creepy world pp. 83-108

Didier Sornette and Peter Cauwels

`Advanced Credit Risk Analysis and Management` by Georges Ugeux pp. 109-112

Krzysztof Jajuga, Klaus Bocker and Lisa Riordan