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Description: Journal of Risk Management in Financial Institutions is the leading professional and research journal for all those concerned with the management of risk at retail and investment banks, investment managers, broker-dealers, hedge funds, exchanges, central banks, financial regulators and depositories, as well as service providers, advisers, researchers and academics. Subjects covered include: Risk management; market risk; financial risk; credit risk; operational risk; portfolio strategy and management; risk modelling; liquidity risk; stress testing; commercial lending; compliance and auditing; quantitative risk; interest rate risk; trading risk; treasury and finance; risk analysis; banking supervision and financial regulation.
Series handle: RePEc:aza:rmfi00
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Content
March 2019, Volume 12, Issue 2
- 108-114 Risk landscape 10 years on: The end of systemic risk or a new beginning?
by Wilson, Thomas C.
- 115-124 The evolution of the Basel framework: Are we back to where we started?
by Phua, Frankie
- 125-144 The shortcomings of models in country risk management
by Bouchet, Michel-Henry & Goguel, Amaury
- 145-167 The top 14 challenges for today’s model risk managers: Has the time come to think about going beyond SR11-7?
by Hill, Jon R.
- 168-183 Interconnectedness and financial stability
by Martinez-Jaramillo, Serafin & Carmona, Christian U. & Kenett, Dror Y.
- 184-194 A method for pricing the credit valuation adjustment of unlisted companies
by Formenti, Matteo
- 195-196 Book review
by Wilkin, Sam
December 2018, Volume 12, Issue 1
- 4-5 Editorial
by Kerry, Julie
- 6-15 On better assessing the future outcomes of ‘grand, world-changing schema’: Seeing present EU and globalisation backlashes as to-be-expected
by Werther, Guntram F. A.
- 16-43 Assessment of model risk in the aggregate: Contribution of quantification
by Brotcke, Liming & Brastow, Raymond
- 44-56 A methodology for actively managing tail risks and uncertainties
by Broeders, Dirk & Loman, Herwin & Toor, Joris Van
- 57-78 Economic capital: A brief history and practical applications today
by Ferguson, Tally
- 79-101 Credit risk forecasting modelling and projections under IFRS 9
by Montesi, Giuseppe & Papiro, Giovanni & Ugolini, Laura & Ammendola, Giuseppe
September 2018, Volume 11, Issue 4
August 2018, Volume 11, Issue 3
- 192-193 Editorial
by Unknown
- 194-206 Bank capital allocation and performance management under multiple capital constraints
by Klaassen, Pieter & Van Eeghen, Idzard
- 207-217 Buy-side liquidity risk management best practices
by Corbett, Timothy P. & Smodis, Sebastjan
- 218-243 The validation of machine-learning models for the stress testing of credit risk
by Jacobs, Jr, Michael
- 244-256 Stage transfer effect on impairment forecasts
by Skoglund, Jimmy & Chen, Wei
- 257-266 Developing a regulated leadership model: An inquiry into what differentiates successful senior managers and leaders in regulated organisations?
by Storer, Gary
- 267-283 A test of the feasibility of a common risk accounting metric for enterprise risks
by Hughes, Peter & Williams, Julian
March 2018, Volume 11, Issue 2
February 2018, Volume 11, Issue 1
- 4-9 Editorial: Bitcoin and other cryptocurrencies: Tulip Mania or the next Amazon?
by Unknown
- 10-18 Why is managing conduct risk critical for a firm’s board?
by Baijal, Rajat
- 19-33 On the role of ontology-based RegTech for managing risk and compliance reporting in the age of regulation
by Butler, Tom & Brooks, Robert
- 34-46 Rebuilding financial industry infrastructure
by Grody, Allan D.
- 47-56 The UK Banking Standards Board: An outcome-based approach to assessing organisational culture
by Cottrell, Alison
- 57-66 Why the euro crisis is far from over
by Ellis, Colin
- 67-75 Visualisation of model risk propagation
by Barrett, James
- 76-85 Evolution of risk management from risk compliance to strategic risk management: From Basel I to Basel II, III and IFRS 9
by Ozdemir, Bogie
- 86-87 `Financial Decisions and Markets. A Course in Asset Pricing` by John Y. Campbell
by Jajuga, Krzysztof
- 88-89 `China’s Financial Markets. Issues and Opportunities` by Ming Wang, Jerome Yen and Kin Keung Lai
by Jajuga, Krzysztof
October 2017, Volume 10, Issue 4
- 312-313 The politics of risk: A reflection of volatility in 2017
by Unknown
- 314-318 Risk management for financial institutions in an age of populism
by Elliott, Douglas J.
- 319-340 Sketching a roadmap for systemic liquidity stress tests
by Hałaj, Grzegorz & Henry, Jérôme
- 341-352 Hedging the impact of climate change in the catastrophe space
by Chang, Carolyn W. & Chang, Jack S.K.
- 353-364 Improving finance and risk management foresight abilities: Growing past the ‘black swan’ mindset through integrative assessment
by Werther, Guntram Fritz Albin
- 365-394 Forecasting initial margin requirements: A model evaluation
by Caspers, Peter & Giltinan, Paul & Lichters, Roland & Nowaczyk, Nikolai
- 395-411 Smoothing transition probability matrices under a risk sensitive approach
by Perilioglu, Ahmet & Perilioglu, Karina
August 2017, Volume 10, Issue 3
- 220-223 Editorial: Has too big to fail been resolved?
by Unknown
- 224-237 Stress testing: Where next?
by Paisley, Jo
- 238-256 Forecast of forecast: An analytical approach to stressed impairment forecasting
by Skoglund, Jimmy & Chen, Wei
- 257-275 Critical appraisal of the Basel fundamental review of the trading book regulations
by Orgeldinger, J.
- 276-281 A deeper understanding of payment shock dynamics
by Verma, Nidhi
- 282-288 BCBS IRRBB pillar 2: The new standard for the banking industry
by Zijderveld, Roberto Virreira
- 289-295 Operational resilience: Developing a comprehensive operational risk strategy
by Suetens, David & Flood, Richard & Dicorato-Rura, Cinzia
- 296-302 Regulatory reform in banking 10 years after the financial crisis
by Rattaggi, Mattia L.
April 2017, Volume 10, Issue 2
- 116-117 Backstopping risk: Capital versus transparency
by Unknown
- 118-129 Capturing initial margin in counterparty risk calculations
by Moran, Lee & Wilkens, Sascha
- 130-149 Underdetermination and variability of the results in macro-to-micro stress tests: A machine learning approach
by Denev, Alexander & Angelini, Orazio
- 150-163 Wrong-way risk bounds in counterparty credit risk management
by Memartoluie, Amir & Saunders, David & Wirjanto, Tony
- 164-176 Statutory bail-in for an orderly resolution of insurers
by Kobayashi, Shinya
- 177-195 Credit risk term-structures for lifetime impairment forecasting: A practical guide
by Skoglund, Jimmy
- 196-200 Cybersecurity: Risks and management of risks for global banks and financial institutions
by Camillo, Mark
- 201-212 Probabilistic causality and decisions on bailouts of financial institutions
by Moreira, Fernando
February 2017, Volume 10, Issue 1
- 4-6 Country risk: A special issue
by Unknown
- 7-11 Managing political risk in advanced economies
by Wilkin, Sam
- 12-35 Assessing vulnerabilities to financial shocks in some key global economies
by Fisher, Jack & Rachel, Lukasz
- 36-44 Stress tests as a systemic risk assessment tool
by Demekas, Dimitri G.
- 45-47 Opinion: Beyond country risk: A comprehensive approach to address banks’ vulnerabilities
by Felice, Gregorio De
- 48-64 Changing the treatment of sovereign exposures in banking regulation: A market impact assessment
by Gereben, Áron
- 65-73 Incorporating external factors into country risk analysis
by Toksoz, Mina
- 74-77 Reassessing the risks in emerging markets
by Wise, Richard
- 78-88 Exposure exchange agreements among multilateral development banks for sovereign exposures: An innovative risk management tool
by Belhaj, Riadh & Baroudi, Merli & Fiess, Norbert & Olivera, Jonas Campino De & Sperling, Frank & Turner, Tim
- 89-98 The challenge of assessing and shaping bank conduct, ethics and culture: Insights from the social sciences
by Connell, Matthew
- 99-110 Convexity and correlation effects in expected credit loss calculations for IFRS9/CECL and stress testing
by Chawla, Gaurav & Forest Jr, Lawrence R. & Aguais, Scott D.
October 2016, Volume 9, Issue 4
- 312-312 Asset and liability management in financial institutions
by Unknown
- 313-326 Bank’s asset and liability management: A chief risk officer’s perspective
by Kallur, Venkatesh
- 327-331 Bank profitability: Liquidity, capital and asset quality
by Bace, Edward
- 332-343 Expected loss provisioning under upcoming IFRS 9 Impairment Standards: A new source of P&L volatility — can we tame it?
by Reitgruber, Wolfgang
- 344-350 Challenges in implementing a robust rates transfer pricing framework
by Ramirez, Juan
- 351-362 Rethinking banking: How to fit bank business models to regulatory constraints
by Mora, Fernando De La & Sharma, Paul
- 363-372 Towards a 3-D model of risk management: Why is the current focus on culture, conduct and senior management having so little impact?
by Storer, Gary J.
- 373-390 Managing interest rate risk in the banking book using an optimisation framework
by Ozdemir, Bogie & Sudarsana, Gokul
- 391-412 Regress under stress: A simple least-squares method for integrating economic scenarios with risk simulations
by Rosen, Dan & Saunders, David
- 413-420 Comments on Risk Accounting
by Unknown
June 2016, Volume 9, Issue 3
- 204-206 Managing model risk
by Unknown
- 207-223 Fixing prompt corrective action
by Kupiec, Paul
- 224-248 Risk accounting - part 2: The risk data aggregation and risk reporting (BCBS 239) foundation of enterprise risk management (ERM) and risk governance
by Grody, Allan D. & Hughes, Peter J.
- 249-263 Point-in-time loss-given default rates and exposures at default models for IFRS 9/CECL and stress testing
by Chawla, Gaurav & Forest Jr., Lawrence R. & Aguais, Scott D.
- 264-288 An investigation of hypothetical variance-covariance matrix stress-testing
by Rayer, Quintin
- 289-304 Causal analysis of operational risk for deriving effective key risk indicators
by Andersen, Lasse B. & Häger, David & Vormeland, Hilde B.
- 305-306 `Value and Capital Management. A Handbook for the Finance and Risk Functions of Financial Institutions` by Thomas C. Wilson
by Jajuga, Krzysztof
March 2016, Volume 9, Issue 2
- 108-111 Risks of regulation
by Unknown
- 112-119 Behavioural insights for improving the practice of risk management
by Shefrin, Hersh
- 120-129 Risk governance of financial institutions: The growing importance of risk appetite and culture
by Gontarek, Walter
- 130-146 Risk Accounting - Part 1: The risk data aggregation and risk reporting (BCBS 239) foundation of enterprise risk management (ERM) and risk governance
by Grody, Allan D. & Hughes, Peter J.
- 147-162 Strategic risk management: The failure of HBOS and its regulators
by Mcconnell, Patrick J.
- 163-174 The FinTech revolution: Quantifying earnings uncertainty and credit risk in competitive business environments with disruptive technologies
by Sobehart, Jorge R.
- 175-196 A quantitative model to articulate the banking risk appetite framework
by Baldan, Cinzia & Geretto, Enrico & Zen, Francesco
- 197-198 `Key Risk Indicators` by Anna Rodriguez and Viney Chadha
by Jajuga, Krzysztof
January 2016, Volume 9, Issue 1
- 4-5 Strategic ALM: The future of bank risk management
by Unknown
- 6-16 What it takes to lead in risk management: An interview with Madelyn Antoncic
by Antoncic, Madelyn
- 17-31 The influence of systemic importance indicators on banks’ credit default swap spreads
by Cetina, Jill & Loudis, Bert
- 32-45 Stress testing convergence
by Gallardo, German Gutierrez & Schuermann, Til & Duane, Michael
- 46-52 Big Data in risk management
by Krishna, Dilip
- 53-58 Managing non-financial risks: A new focus area for executive and non-executive board members
by Kaiser, Thomas
- 59-70 Trade finance as a financial asset: Risks and mitigants for non-bank investors
by Kowit, Robert M. & May, William & Rengifo, Erick
- 71-84 Does risk culture matter? The relationship between risk culture indicators and stress test results
by Fritz-Morgenthal, Sebastian & Hellmuth, Julia & Packham, Natalie
- 85-98 Low RWA but high GNPA? Risk performance of some Indian banks under Basel II-SA
by Roy, Anjan
- 99-102 `Country and Political Risk Edited` by Sam Wilkin
by Bobker, David
October 2015, Volume 8, Issue 4
- 312-313 How are the new rules for OTC derivatives working?
by Unknown
- 314-322 Capital for concentrated credit portfolios
by Kupiec, Paul
- 323-331 Risk modelling: Convergence needed, but some variances are legitimate
by Carr, Brad
- 332-346 Simulating and validating a multi-factor Heath, Jarrow and Morton model with negative interest rates
by Jarrow, Robert A. & Van Deventer, Donald R.
- 347-357 Governance as the driver of culture change and risk management
by Cohen, Marcy S.
- 358-364 How is risk management contributing to financial stability? The perspective of a European-GSII
by De Mailly Nesle, Alban
- 365-389 The end of the waterfall: Default resources of central counterparties
by Cont, Rama
- 390-404 CVA wrong way risk multiplier decomposition and efficient CVA curve
by Pang, Tao & Chen, Wei & Li, Le
- 405-407 `Contemporary Challenges in Risk Management` Edited by Torben Juul Andersen
by Jajuga, Krzysztof
July 2015, Volume 8, Issue 3
- 216-217 Time to remove the tax advantage of debt
by Unknown
- 218-226 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
by Golub, Ben
- 227-243 Bank capital for operational risk: A tale of fragility and instability
by Ames, Mark & Schuermann, Til & Scott, Hal S.
- 244-263 Can Basel 4 work? What can go wrong? An examination of the new Basel proposals
by Ozdemir, Bogie & Sudarsana, Gokul & Giesinger, Michael
- 264-276 Stress testing European banks: Lessons for risk managers
by Haben, Piers & Friedrich, Benjamin
- 277-288 Growth-linked anti-cyclical debt: A solution for Europe’s public debt overhangs
by Gallo, Alberto & Tyrrell-Hendry, Lee & Popovic, Mateja & Pan, Tao & Grant, Ashleigh
- 289-296 What can risk managers at financial institutions learn from the systems employed by traders?
by Deochand, Chabi
- 297-307 Control without limits: Why the ‘Fundamental Review of Trading Books’ is a good step forward and how it could go further
by Godart, Cyril
March 2015, Volume 8, Issue 2
- 116-117 The FSB, BCBS and SIFIs: Partnership required
by Grody, Allan D.
- 118-129 Challenges for systemic risk assessment in low-income countries
by Catalán, Mario & Demekas, Dimitri G
- 130-146 A framework to analyse the sovereign credit risk exposure of financial institutions
by Lewis, Jide
- 147-152 Facing the interest rate challenge: A key risk management issue for insurers
by Frey, Astrid
- 153-162 How relevant are the Basel capital reforms for sub-Saharan Africa?
by Brownbridge, Martin
- 163-170 Liquidity effects in banks’ capital allocation decisions
by De Alcântara, Wenersamy Ramos
- 171-195 On aggregate model risk management: Focus on stress testing
by Shi, Yan & Young, H. Walter & Cao, Ran
- 196-210 A volatility-based single parameter Loss Given Default model
by Yang, Hank Z.
- 211-212 `Risk Culture and Effective Risk Governance` Edited by Patricia Jackson
by Grody, Allan
January 2015, Volume 8, Issue 1
- 4-5 Accounting for the cost of risk management in a risk capital as commons framework
by Koenig, David R.
- 6-26 Early warning signals and systems for liquidity risk
by Benzschawel, Terry
- 27-33 Should SIFIs protect themselves from systemic risk?
by Galizia, Federico
- 34-44 Stress testing of credit portfolios in light- and heavy-tailed models
by Kalkbrener, Michael & Packham, Natalie
- 45-61 Exploring the use of the Kelly criterion for Basel capital requirement: An optimal and countercyclical approach
by Wong, Max C. Y.
- 62-75 The Single Supervisory Mechanism: Ready to take over banking supervision in the euro area?
by Dietz, Thomas M.
- 76-82 Lessons learned from AQR: Essential elements of the model review process
by Beinker, Mark & Ivanov, Yuri & Mainik, Andreas & Ursachi, Irina
- 83-108 Managing risk in a creepy world
by Sornette, Didier & Cauwels, Peter
- 109-112 `Advanced Credit Risk Analysis and Management` by Georges Ugeux
by Jajuga, Krzysztof & Bocker, Klaus & Riordan, Lisa
September 2014, Volume 7, Issue 4
- 312-313 Systemic risk and asset management
by Wilson, Timothy S.
- 314-318 Key lessons for banking risk management following the financial crisis
by Antoncic, Madelyn
- 319-324 The role of banking supervisors in identifying emerging systemic risk
by Jenkins, Stephen & Ong, Stephen
- 325-327 The Butterfly Defect: Why globalization creates systemic risks and what to do about it
by Goldin, Ian
- 328-344 Managing differences in economic and regulatory capital: An examination of return of equity (ROE) maximising strategies
by Ozdemir, Bogie & Cubukgil, Evren
- 345-352 Credit ratings as indicators of implicit government support for global systemically important banks
by Araten, Michel
- 353-369 An analysis of the determinants of S&P ratings assigned to Canadian firms: Application of a multinomial logit
by Amdouni, Walid & Soumaré, Issouf
- 370-374 Internal Audit's role in the risk assessment process at KeyCorp
by Trudell, Christian
- 375-388 Forecasting lifetime credit losses: Modelling considerations for complying with the new FASB and IASB current expected credit loss models
by Mcphail, Joseph & Mcphail, Lihong
- 389-394 UK banks face huge investments to comply with Bank of England stress test
by Thun, Christian
- 395-408 Intraday liquidity management and reporting: How to meet the challenges
by De Meijer, Carlo R. W. & Limburg, Ludy
- 409-410 `International Financial Regulation: A Quest for Financial Stability` by Georges Ugeux
by Grody, Allan
June 2014, Volume 7, Issue 3
- 220-220 The need for operational risk credibility
by Millar, David
- 221-225 On the single supervisory mechanism
by Dietz, Thomas M.
- 226-230 Systemic risk in central counterparty clearing houses
by Anonymous,
- 231-238 The challenges of the leverage ratio
by Samuels, Simon
- 239-256 Managing operational risk: Moving towards the advanced measurement approach
by Mccormack, Peter & Sheen, Andrew & Umande, Philip
- 257-276 Managing performance using a dual measure framework
by Ozdemir, Bogie & Cubukgil, Evren & Xia, Huaxing
- 277-286 How should insurers’ foreign branches be supervised?
by Kobayashi, Shinya
- 287-298 CROs: The high-wire act in the financial sector
by Bugalla, John & Kallman, James & Narvaez, Kristina
- 299-305 Reputational risk in banking and finance: An issue of individual responsibility?
by Walter, Ingo
- 306-306 Risk management in regulatory frameworks: Towards better management of risks - UNECE (United Nations, Economic Commission for Europe)
by Stringer, Colin
- 307-308 `Strategic Innovations in Risk Management — Compliance 1, Innovation 0` by Cubillas Ding
by Grody, Allan D.
March 2014, Volume 7, Issue 2
- 100-102 Special Issue on Behavioural Finance: Is there a role for behavioural finance in risk management and banking regulation?
by Mcconnell, Patrick & Böcker, Klaus & Ong, Michael K.
- 103-109 The role of models in economics and risk management
by Rowe, David M.
- 110-113 Risk tolerance: Essential, behavioural and misunderstood
by Davies, Greg B. & Brooks, Peter
- 114-121 Perspectives on risk management and behavioural finance
by Unknown
- 122-133 From hubris to nemesis: Irish banks, behavioural biases and the crisis
by Dowling, Michael & Lucey, Brian M.
- 134-144 `Homo heuristicus` in the financial world: From risk management to managing uncertainty
by Neth, Hansjörg & Meder, Björn & Kothiyal, Amit & Gigerenzer, Gerd
- 145-152 Anticipating market model failure: Competitive pressure and the mortgage backed securities market
by Whitmore, Jean Czerlinski
- 153-160 The impact of heuristics on the practice of risk management: The example of default probabilities
by Van Deventer, Donald R. & Zimmermann, Tom
- 161-173 Rumour has it: Modelling credibility, reputation and franchise risk
by Sobehart, J. R.
- 174-191 Singapore Sling: How coercion may cure the hangover in financial benchmark governance
by O'Brien, Justin
- 192-201 Regulating fraud in financial markets: can behavioural designs prevent future criminal offences?
by Hornuf, Lars & Haas, Georg
- 202-215 Reckless endangerment: The failure of HBOS
by Mcconnell, Patrick
December 2013, Volume 7, Issue 1
- 4-5 Special Issue: Stress testing
by Hopper, Greg
- 6-15 Stress testing for supervisory purposes: Framework and challenges
by Cox, Joseph & Ryu, Lisa
- 16-25 Stress tests to promote financial stability: Assessing progress and looking to the future
by Bookstaber, Rick & Cetina, Jill & Feldberg, Greg & Flood, Mark & Glasserman, Paul
- 26-37 Macrofinancial stress testing: Incorporating systemic risk perspectives into a stress testing framework
by Oura, Hiroko & Schumacher, Liliana
- 38-51 A view from the top: The interaction between solvency and liquidity stress
by Puhr, Claus & Schmitz, Stefan W.
- 52-61 Stress test design
by Canabarro, Eduardo
- 62-71 The art and science of stress testing
by Hopper, Greg
- 72-84 Stress testing bank profitability
by Duane, Michael & Schuermann, Til & Reynolds, Peter
- 85-92 Use of stress scenarios in market risk economic capital
by Smillie, Alan & Epperlein, Eduardo & Pandya, Triyog
- 93-94 `Risk and Governance: A Framework for Banking Organisations` by Sergio Scandizzo
by Gustavo A., Torres
September 2013, Volume 6, Issue 4
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