The author applies the Bernoulli distribution to an extrapolation of the capital provision that does not take into account ...

This paper discusses a new estimator for probability of default and compare its performance against two alternative ...

Mitsubishi UFJ Financial Group (MUFG) offloaded 27.1% of its available-for-sale (AFS) Japanese government bond (JGB) portfolio in the second quarter, bringing holdings to their lowest level in more ...

Andrzej R. Stopczyński, PhD  is an experienced risk management professional and academic, currently serving as an Associate Professor at the Institute of Finance at the University of Łódź. He also ...

New models revolving around expected shortfall enabled Nomura to shave a third off market risk charges as of end-March, in the worldwide debut of the internal models approach (IMA) under the ...

Swaptions and constant maturity swap spread options are essential to calibrating interest rate models yet remain computationally demanding. Toufik Bellaj, Khalid Bellaj and Hicham Nait Yahia propose a ...

Researchers have found that one in four roles at the US Federal Reserve could benefit from the use of generative AI (GenAI), signalling the vast potential for its use within the central bank. However, ...

This paper uses a large number of earnings events from which the subset of outcomes for which the price strongly increased or ...

The European Central Bank’s new guidelines on the use of cloud services go beyond recently implemented European Union regulation, according to operational risk managers. The Digital Operational ...

Mandatory training on critical operational risks coverage has broadened over the past year, particularly in the domain of ...

Accurate and transparent bond pricing is critical for managing risk, meeting regulatory requirements and making informed investment decisions ...

Foreign bank subsidiaries experienced larger declines in their Common Equity Tier 1 (CET1) capital ratios during the most recent stress tests in both the US and Europe compared to domestic peers, ...