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Content
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
- 344-345 The risk of standardisation
by Faulds, Frances & Bessis, Joel
- 346-351 Parallel, rather than ‘shadow’, banking system
by Batchvarov, Alexander
- 352-365 How do boards address risk management and oversight?
by Davies, Brandon
- 366-386 Operational risk: Back on the agenda
by Mccormack, Peter & Sheen, Andrew
- 387-410 Understanding the funding cost differences between global systemically important banks (GSIBs) and non-G-SIBs in the USA
by Araten, Michel & Turner, Christopher
- 411-432 Community bank proactive risk management: Concentration management, stress testing and capital planning
by Cherpack, Peter L. & Jones, Brian W.
- 433-443 The new German Ringfencing Act establishing criminal liability of banking and insurance executives for failures in risk management
by Richter, Thomas
- 444-454 How do you deal with operational risk? A survey of risk management practices in the German insurance sector
by Prokop, Jörg & Pfeifer, Dietmar
July 2013, Volume 6, Issue 3
- 216-218 Editorial: A question of conduct
by Unknown
- 219-228 Coping with inconsistencies in bank risk weighted assets
by Araten, Michel
- 229-252 Strategic risk: The beanstalk syndrome
by Mcconnell, Patrick
- 253-279 Measuring systemic risk in the Colombian financial system: A systemic contingent claims approach
by Romero, Laura Capera & Gonza´Lez, Esteban Go´Mez & Quintero, Mariana Laverde & Mosquera, Miguel A´Ngel Morales
- 280-301 Credit valuation adjustment tail risk and the impact of wrong way trades
by Skoglund, Jimmy & Vestal, Doug & Chen, Wei
- 302-326 Bayesian estimation of probabilities of default for low default portfolios
by Tasche, Dirk
- 327-336 How to implement counterparty credit risk requirements under Basel III: The challenges
by Ouamar, Diana
March 2013, Volume 6, Issue 2
- 116-119 Special issue: How the financial crisis has changed risk management
by Wilson, Thomas
- 120-128 Risk management through the lens of macroprudential policy
by Brinkhoff, Jeroen & Langfield, Sam & Mazzaferro, Francesco & Salleo, Carmello & Weeken, Olaf
- 129-136 Principles for dealing with financial stability risks
by Koschyk, Hartmut
- 137-150 Supervisory challenges in the presence of systemic risk: The IAIS response to the current financial crisis
by Hofmann, Daniel M. & Maroney, John
- 151-159 The globalisation of insurance: A supervisory response
by Kawai, Yoshihiro & Windsor, Peter
- 160-166 From optimisation to resilience: The changing nature of the risk reward conversation as seen through Westpac's capital and liquidity management policies
by Bosworth, Ed & Rich, Tony
- 167-177 Risk management lessons learned from the financial crisis: One CRO's view
by Wilson, Thomas C.
- 178-180 Risk adjusting the culture of global finance
by Grody, Allan D.
- 181-184 The World Economic Forum: A multistakeholder platform for engaging the financial services industry and its role during the global economic crisis
by Koenitzer, Michael
- 185-187 Risk management in a low-yield environment: Consequences of the financial crisis
by Lehmann, Axel P. & Huber, Carin
- 188-205 A mixed approach to risk aggregation using hierarchical copulas
by Skoglund, Jimmy & Erdman, Donald & Chen, Wei
- 206-208 `Bull by the Horns` by Sheila Bair
by Grody, Allan
January 2013, Volume 6, Issue 1
- 4-5 Rogue trading: Back to front
by Faulds, Frances
- 6-9 Basel Committee’s fundamental review of the trading book: A commentary
by Grody, Allan D. & Fernandes, Kiran J. & Hughes, Peter J. & Steven Toms, J.
- 10-22 Why markets do not trust Basel II Internal Ratings-Based Approach: What can be done about it?
by Samuels, Simon
- 23-36 Lessons for the Irish Government on Basel II and accounting failures
by Flynn, Gerald & Butler, Cormac
- 37-53 Operational risk: A Basel II11 step before Basel III
by Guégan, Dominique & Hassani, Bertrand K.
- 54-66 Where is the ‘system’ in systemic risk literature?
by Brady, Shaun M. & Markeloff, Richard
- 67-74 Risk management infrastructure as a living organism
by Lindo, Steve
- 75-96 Modelling sovereign default risk: comparing models and capturing the impact of the business cycle
by N'Sougan, Yao Djifa & Soumaré, Issouf