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News and information from industry's higher standard in risk associations.

PRMIA Names 2011 PRM Candidate of the Year and FOCUS Award Recipients

PRMIA has named Rafal Nowakowski, ALM Senior Expert at Warta Insurance in Warsaw Poland, as the 2011 PRM™ Candidate of the Year. This award program annually recognizes top Professional Risk Manager (PRM) candidates from around the world.

The PRM designation program, comprised of four exams, is the global standard for the world's top financial risk professionals, having received public endorsements from both business and universities. A PRM assures that the holder has the required broad knowledge and understanding, qualitative and quantitative, that risk managers must bring to the job.

Mr. Nowakowski's PRM exam scores were the highest of all PRMIA members who earned their PRM designation between January 1 - December 31, 2011, qualifying him for the distinction of 2011 Candidate of the Year.

Upon receiving the award, he said, "Working in ALM and the investment area I really appreciate the wide knowledge gained during preparation for PRM certification. In a short period of time I developed from a regular specialist to a real expert recognized in my organization as a source of information, consultation and advice in a very wide range of activities like risk management, investment policy, development of investment products, complex financial instruments valuation, capital requirements under changing regulatory environment affecting not only banking but also insurance sector. I have learned how to look at all business activities through risk/return perspective." Mr. Nowakowski adds, "But what is maybe even more important, I have realized that risk/return perspective is really universal and has many non-financial, unquantifiable dimensions. Now I look through this perspective also at everyday life, human behavior and decisions taken by people in all situations and on all possible levels, from government and supra-national authorities and policy-makers to social and personal relationships."

Ten Focus Awards were awarded for highest individual exam scores for the period of January 1 - December 31, 2011. For exams with tied top scores, two or more awards are given. Click here for a full list of 2011 award recipients, as well as past winners.

Posted by Janet Tritch at 08:47 AM | Comments (0)

Journal of Risk Management in Financial Institutions Call for Papers

Guided by its distinguished Editorial Board, Journal of Risk Management in Financial Institutions has established itself as the leading professional and research journal on risk management for financial institutions covering strategic and business risk, financial risk, operational risk, regulatory risk and systemic risk. Published both in print and online, each quarterly issue publishes content of the highest quality - including practitioners' comments and briefings, applied research and case studies - on the key issues.

SUBMISSION OF ARTICLES
The Publisher and Editorial Board welcome the submission of articles in the following areas:

  • market risk;
  • sovereign risk;
  • business strategy and planning;
  • asset pricing;
  • derivatives modelling;
  • hedging strategies;
  • volatility forecasting;
  • operational risk;
  • contingency planning;
  • financial disclosures;
  • infrastructure that supports risk management;
  • crisis management;
  • risk management models;
  • new and emerging regulation and the implications for risk management.

    The following types of papers will be considered for publication:

    Practice papers: Thought pieces, briefings, case studies and other contributions written by practitioners. All case studies must address the following questions: What has worked? Why has it worked? What lessons were learned? How could it be done elsewhere?
    Articles should be 3,000 to 5,000 words in length.

    Research papers: Contributions which explore new models, theories and research in risk management. The principal management implications of the submission should be included. Articles should be around 5,000 words in length.

    All submissions should be sent to Julie Kerry, Publisher, Journal of Risk Management in Financial Institutions at julie@hspublications.co.uk
    Further information about the Journal is available at http://www.henrystewart.com/jrmfi.aspx.

    Posted by Janet Tritch at 08:40 AM | Comments (0)

    Registration Now Open for the PRMIA Global Risk Conference

    PRMIA has opened registration for our inaugural Global Risk Conference, being held May 14 - 16, 2012 in New York.

    We will celebrate our 10th anniversary by doing what we do best: giving our 80,000 members from around the world a chance to join together. This will be a unique opportunity for you to learn from industry leaders, as well as share experiences and talk with other risk professionals who share similar concerns and questions about the challenges posed by today's difficult economic situation. The conference will focus on a plethora of issues vital to today's complex and uncertain environment.

    Register Now and save 30% on full conference registration fees. Greater discounts are given to PRMIA Sustaining Members.


    Conference Highlights Include:
    One full day of pre-conference seminars focused on global topics, technical skills, practical experience and the latest theory in selected risk management disciplines

    Two-day conference comprised of:

  • General sessions including keynote presentations and panel discussions
  • Concurrent sessions addressing topics led by global industry experts
  • Gala dinner honoring PRMIA risk leaders
  • Exhibitors
  • Networking receptions


    Featured Keynote Speakers:

  • James Allison, Chief Risk Officer, ConocoPhilips
  • Dr. David X Li, Chief Risk Officer, China International Capital Corporation
  • Allan Malz, Senior Advisor - Markets Group, Federal Reserve Bank of New York
  • Hersh Sheffrin, Professor, Santa Clara University
  • Peter O. Davis, Principal - Financial Services, Ernst & Young (Moderator)


    Visit www.prmia.org/globalriskconference to learn more about the conference or to register.

    Posted by Janet Tritch at 08:03 PM | Comments (0)

    PRMIA Announces Executive Committee

    The election for PRMIA's 2011/12 Executive Committee recently concluded with a vote by participating PRMIA Regional Directors for the nominees. The new PRMIA Executive Committee is as follows:

    Chair
    Carol Alexander
    Chair of Financial Risk Management, ICMA Centre, Henley Business School at Reading Whiteknights

    Vice-Chair
    Colin Lawrence
    Director, Risk Specialists Division, Financial Services Authority (FSA)
    Visiting Professor, Risk Management, Cass Business School

    Treasurer
    Robert Mark
    CEO, Black Diamond Risk

    Secretary
    Oscar McCarthy, PRM
    Strategic Risk Advisor, ABN Amro Markets

    Congratulations to this year's Executive Committee, and thank you to Thomas Day, who recently completed his term as Vice-Chair.

    Posted by Janet Tritch at 10:12 PM | Comments (0)

    New Issue of Journal of Risk Management in Financial Institutions Now Available

    The newest issue of the Journal of Risk Management in Financial Institutions (JRMFI) - Volume 4, Number 4 - is now available. Here is a snapshot of the issue:

    Managing inflationary risk in a dollar-priced world - A key policy priority for the G-20
    Editorial Board Member (author wishes to remain anonymous)

    An evolving differentiation in recovery rates across the G-20's constituent economies has resulted in an increasingly politicised fragmentation in policy coordination. The Seoul summit endorsed, for the first time, member states pursuing unilateral macro-prudential measures to manage cross-border capital flows. The implications for the control of risk are uncertain as such measures are likely to challenge the assumption that capital is cross-border fungible. This commentary reappraises the evolution in risk transmission processes which have led to a polarised G-20 endorsing unilateral regulatory policy initiative. In addition, it presents an alternative framework whereby inflationary sensitive commodities markets might function in a multi-currency clearing system thus short-circuiting the causal relationship between a devaluing dollar and emerging economies' inflation.

    Risk-minimising investment strategies - Embedding portfolio optimisation into a dynamic insurance framework
    Ursula Theiler

    While Markowitz's framework of portfolio optimisation aims to eliminate diversifiable risk, it does not consider protection against the undiversifiable, systematic risk of market downturns. This paper investigates a concept of risk-minimising investment strategies, which embeds revolving portfolio optimisations into a framework of dynamic portfolio insurance and thus links the two approaches of minimising the diversifiable and controlling the undiversifiable risk.

    The computation of optimised credit transition matrices
    Kete Long, Sean C. Keenan, Radu Neagu, John A. Ellis and Jason W. Black

    In this paper, a framework for generating empirically consistent Transition probability matrices (TPMs), using an optimisation methodology, is presented. Optimised TPMs produce default term structures that are substantially more accurate in terms of their ability to match empirical observations over multiple time periods than those produced by exponentiating single period empirical TPMs. Additionally, it is found that optimised TPMs show smoother surfaces with consistent probability mass distributions (monotonicity), reduce the impact of the Markov assumption, and reduce discrepancies of credit migration over multiple time horizons.

    The Crash-NIG copula model: Risk measurement and management of credit portfolios
    Anna Schlosser and Rudi Zagst

    The one-factor copula models became very popular for modelling dependence in credit portfolios and collateralised debt obligation (CDO) valuation owing to their simplicity. Still, it is also well known that they are too simple for an exact pricing. Nevertheless, it is possible to extend the model in various ways so that it is possible to describe historical correlation behaviour realistically. Such an extension of the one-factor copula model, called the Crash-NIG copula model is proposed by the authors.

    Market BuVaR: A countercyclical risk metric
    Max Wong

    The malfunction of the value-at-risk (VaR) model during the 2008 credit crisis was a key risk management failure. This metric is now criticised for being too little, too late. An improvement is proposed - making VaR countercyclical and more robust to fat tails. The new metric is called bubble-VaR (BuVaR), the expected shortfall of a trading book portfolio with the effects of procyclicality removed. This method is useful for the purpose of a countercyclical capital buffer for market risk. The approach relaxes the VaR assumptions of independent and identically distributed (i.i.d.), and stationarity of variables. It postulates that the empirical phenomena of fat tails, skewness, volatility clustering and the leverage effect can be better understood by modelling the noise and cycle components together, instead of just the noise of the time series as modelled in VaR.

    PRMIA full Sustaining members receive the digital version of the JRMFI as a part of their membership. Volume 4, Number 4 will be accessible in their "My Library" area of the PRMIA website later this week. To purchase a Journal subscription, visit http://prmia.org/index.php?page=training&option=trainingRMFILibraryJournal.


    Posted by Janet Tritch at 12:18 PM | Comments (0)

    Share your views on U.S. Consumer Credit

    PRMIA and FICO invite anyone living in the United States to share their views on U.S. Consumer Credit. This quarterly survey examines such topics as consumer credit delinquencies, underwriting standards, the balance of supply and demand, and related issues. The survey is becoming a bellwether for banker sentiment, with the most recent survey results covered by TIME Magazine, The Wall Street Journal, Reuters, American Banker, CNBC TV and many other media outlets.

    The short survey will take 10 minutes or less to complete. All responses are strictly confidential. To begin, please click this link: http://www.surveymk.com/s/RBG73ZW. The survey closes on November 14. Everyone completing the survey receives a copy of the full results.

    Posted by Janet Tritch at 04:10 PM | Comments (0)

    PRMIA Announces New Board of Director Members and Passage of Bylaw Changes

    Congratulations to the winners of this year's Board of Director election:

    AMERICAS REGION
    Dr. Robert Mark
    Managing Partner & Chief Executive Officer, Black Diamond Risk

    EUROPE/MIDDLE EAST/AFRICA REGION
    Dominik Dersch
    Principal Consultant, Dominik Dersch Beratung

    ASIA/PACIFIC REGION
    Shaun Bond
    Chief Risk Officer, Bank of Montreal, Beijing


    Robert Mark and Dominik Dersch were re-elected for a 3-year term, while Shaun Bond is new to the Board, replacing Phang Hong Lim. Our sincere thanks and appreciation to Phang Hong Lim for his years of service and leadership to PRMIA. Thank you also to all of this year's nominees. We look forward to their continued participation and leadership.

    Please also note that the proposed changes to the PRMIA bylaws passed by a significant margin, greater than 96%. The updated bylaws will be accessible soon on the PRMIA website.

    Thank you to everyone who voted. We appreciate your participation in this important process.

    Posted by Janet Tritch at 12:34 PM | Comments (0)

    PRMIA Board and Bylaws Elections - Last Day to Vote

    PRMIA members are encouraged to visit www.prmia.org/election2011 to register their votes for:

    1. the individuals that will join the PRMIA Board of Directors in November 2011 for a three-year term, AND
    2. proposed changes to the Bylaws of PRMIA

    Voting through the website is the easiest way to register your wishes, but please do not delay because the ballot closes at 8:30 a.m. central US time on 27 October 2011.

    1. BOARD ELECTIONS

    The candidates are:

    AMERICAS
    Carlos da Costa
    Dr. Robert Mark
    Leo Tilman

    EMEA
    Dominik Dersch

    ASIA PACIFIC
    Shaun Bond
    Albert Liu

    The profile, vision statement, and endorsements for each candidate can be viewed along with instructions for voting on www.prmia.org/election2011.

    2. BYLAWS
    PRMIA's original bylaws were written when our association was founded 10 years ago. The Board agrees that it would be in the association's best interest if we implement some changes to our bylaws at this time. The proposed changes are summarized as follows:

  • Separation of powers between the Board and the executive management;
  • Increase accountability of the Board;
  • Update the committee structure to empower Regional Directors and other senior non-Board members;
  • To correct minor typographic errors.

    These proposals have been reviewed and approved by PRMIA's Board of Directors, chaired by Carol Alexander; the Operational Governance Committee, chaired by Kevin Stemp; and the Ethics Committee Chair, co-founder of PRMIA and co-author of the present bylaws, David Koenig.

    Changes to our bylaws must also be approved by a majority vote of our members. Therefore, it is very important that you review the proposed changes and register your vote on www.prmia.org/election2011.

    Please note that only members registered with PRMIA as of 19th September, 2011, are eligible to vote.

    Posted by Janet Tritch at 12:04 PM | Comments (0)

    PRMIA Awards Dr. Dan Rodriguez with 2011 Higher Standard Award

    PRMIA Awards Dr. Dan Rodriguez with 2011 Higher Standard Award for his Contributions and Commitment to the Organization and the Risk Management Industry

    PRMIA today announces that Dr. Dan Rodriguez has been chosen as the winner of the 2011 PRMIA Higher Standard Award. This prestigious award is granted to an individual who has significantly impacted the global practice of risk management, provided a substantial contribution to the mission of PRMIA and its members, and shows an ongoing commitment to the highest standards of the profession.

    Dr. Rodriguez is the Chief Risk Officer, Global Arbitrage Trading and the Americas Equity Division at Credit Suisse. In addition, he teaches part-time at Baruch College's Zicklin School of Business and Fordham University's Masters in Global Finance program in New York City. For several years he has served as a faculty member for PRMIA's Complete Course in Risk Management at Columbia Business School Executive Education and in 2011 taught the Market Risk Management sequence of the course. He has presented PRMIA webinars, reaching hundreds of financial professionals around the world and educating them on some of the latest methodologies in risk management. He also continues to work closely with the New York PRMIA chapter leadership to organize chapter events and enlist high-level guest speakers from industry and academia.

    Dr. Rodriguez has been involved with PRMIA as a volunteer since 2004. He shares what motivates him to volunteer, "I appreciate the fact that PRMIA is a not-for profit organization dedicated to developing risk managers and to setting higher standards for the profession. I believe in PRMIA's mission and, as someone who was brought up to believe in the importance of serving a greater good, I aspire to that by contributing my skills and experience. Additionally, I enjoy shaping and developing curricula and educating other executives across the industry about risk management."

    Jodi Lundell, PRMIA Chief Operating Officer, congratulates and thanks Dr. Rodriguez, "On behalf of PRMIA members around the world, I wish to express appreciation for Dan's commitment to a higher standard of risk management and risk education. He is highly respected by the organization's leadership and members, as well as throughout the industry. We are very fortunate that Dan has chosen to share his time and expertise with us."

    As the winner of this year's award, Dr. Rodriguez was given the opportunity to select a scholar or student to receive a $5,000 educational grant to further their continued education in the field of risk management. Dr. Rodriguez selected Xiaoning Gong, a MS in Quantitative Finance student at Fordham University, Graduate School of Business.

    Posted by Janet Tritch at 11:45 AM | Comments (0)

    New Issue of Intelligent Risk Now Available

    The new issue of PRMIA's Intelligent Risk publication is now available free to all PRMIA members. Simply access it at http://bit.ly/iRiskoct11.

    This issue's Visions of Risk section features five thought-provoking articles, summarized below:

    Systemic Risk - It's Still All About the Data
    By Allan Grody

    The financial services industry today consists of monstrously complex global financial institutions ... systemically important ... too big to fail... even too complex to manage! Regulators are focused on observing systemic risk in these giant, global institutions. Systemic risk analysis is a new discipline in its infancy. We have barely figured out the science of individual enterprise risk management when we now have placed another burden on our regulators through the Dodd-Frank legislation and soon through the European Communities central bank. This is the burden of observing the buildup of risk that has the potential of cascading into the global contagion of systemic risk. However, it is understood that without a global view of the underlying positions and cash flows, aggregated through common identifiers, systemic threats cannot be detected.

    Recovery and Resolution Planning - Asking the Right Questions
    By Andrew Davidson

    In November 2011 the G20 leaders will endorse recommendations to address the moral hazard posed by Systemically Important Financial Institutions (SIFIs). This will include the requirement for an "adequate and credible" recovery and resolution plan (RRP) from any firm deemed to have a potential impact on financial stability. What questions should firms ask themselves in relation to their RRPs?

    Five Downside Risks to the Global Recovery: Global Macroeconomic Outlook and Risks
    By Juan Licari, Ph.D. and Andrea Appeddu

    The economic recovery of the major Western economies appeared uncertain as the fourth quarter of 2011 began. In the U.S., the outlook for consumers has deteriorated markedly, with the unemployment rate edging higher, confidence shaky and house prices still weak despite accommodative monetary and fiscal policies.

    IT Risk Evaluation
    By John Kyriazoglou

    This article describes a methodology to be used in offering concluding remarks to the management of an audited entity as to whether, for each objective assessed during an audit assignment, the situation is satisfactory, requires improvement or unsatisfactory. The aim is to provide a conceptual and practical framework to define and implement an evaluation method for Internal Audit assignments. The main uncertainties are identified and the objectives of Internal Audit are described, then we present an evaluation methodology for risk assessment.

    Stress Testing: Lessons Learned and Emerging Requirements - The U.S. and European Banking Authority (EBA) Frameworks
    By Thomas Day

    Banks are increasingly required to integrate risk infrastructures, governance processes, and risk appetite frameworks in ways that have not been required in the past. While stress-testing is nothing new, the recent U.S. and E.U. stress-testing requirements and guidance represent a methodological shift, combining risk analysis and measures that have historically remained in silos. Meeting the new framework of requirements in a repeatable fashion requires unprecedented coordination across various business, risk, and operational units. A major insight from the last couple of years is that all banks are subject to the same macro-economic shock(s). For all the talk about enhanced risk management, enterprise-risk modeling remains primitive and non-integrated at many systemically important financial institutions (SIFIs). During the crisis, regulators were flying blind and not much has changed. A new framework for flexible, forward-looking, and integrated scenario analysis and stress-testing is needed. Implementing such a framework and combining business, capital, and risk strategy requires an enterprise decisioning tool that is agile, flexible, and serves the needs of internal and external stakeholders.

    Posted by Janet Tritch at 09:33 AM | Comments (0)

    Call for Papers - Journal of Risk Management in Financial Institutions

    The Journal of Risk Management in Financial Institutions has issued a Call for Papers for its counterparty risk special issue.

    Guest editors: Til Schuermann, Eduardo Canabarro, Eliza Hamel & Allan Grody.

    Counterparty risk has become of key aspect of risk management following the collapse of AIG, Lehman Brothers, Fortis, RBS and Lloyds, and has continued to be an important issue given the more recent concerns about sovereign credit risks. Despite increasingly interconnected global credit exposures, more work needs to been done to understand fully this important risk category. With so much bilateral counterparty risk now set to be born by central counterparties, it is time to review the literature and set the appropriate research agenda. JRMFI is providing the forum in which to display the body of knowledge that has evolved and to explore the methods yet to be developed to mitigate the risk and impact of counterparty failure, prevent contagion, and provide policy prescriptions.

    JRMFI aims to solicit papers on:

    Counterparty risk measurement, in particular hidden risks such as tail risks, wrong way risks, basis risk, new risks

    Counterparty risk pricing and hedging, including CVA, liquidity of CDS, basis risk, crowded trades, and convexities/ cross-convexities

    The impact of economic and regulatory capital on counterparty risks, including the ability/incentives to hedge

    Measuring and managing the counterparty risk of clearing entities and central counterparties (CCPs), in particular new and tail risks

    Operational risk and data transparency issues of counterparty credit risk, such as the definition of counterparty legal entity hierarchies, both within and across firms, and continued functioning of markets during crises

    The systemic risk and policy implications associated with counterparty credit risk, including impact of crowded trades and shared counterparties such as sovereigns


    The deadline for submission of articles to this special issue is 5th December 2011. Submissions should be approximately 3,000-5,000 words and may be submitted to:
    julie@hspublications.co.uk
    http://www.henrystewart.com/jrmfi.aspx
    http://www.linkedin.com/groups?mostPopular=&gid=3712905

    Posted by Janet Tritch at 02:04 PM | Comments (0)

    Chinese Associate PRM Exam Now Available

    To more effectively meet the needs of its members in Chinese-speaking countries, PRMIA is now offering its Associate Professional Risk Manager (Associate PRM) certificate exam and all accompanying study materials in Chinese. Click here to view this announcement in Chinese.

    The Associate PRM, which was first introduced in English in 2008, is a certificate program intended for individuals entering the risk management profession, or those who interface with risk management disciplines on a regular basis, such as auditing, accounting, legal, and systems development personnel who want to understand fundamental risk management methods and practices. Designed to be mathematically and theoretically less detailed than the Professional Risk Manager (PRM) certification, the program covers the core concepts allowing non-specialists to interpret risk management information and reports, make critical assessments and evaluate the implications and the limitations of such results. PRMIA members who pass the Associate PRM exam will receive a certificate and are exempt from PRM Exam IV.

    Easy to obtain study materials and widely available exam options provide Associate PRM candidates with optimum flexibility to fit the preparation and testing process into their individual work schedules. The exam is offered every business day of the year at Pearson Vue Testing Centers and their affiliates around the world.

    Join the growing group of individuals worldwide who are making the Associate PRM the core competency for risk management. Click here to learn more about the Chinese exam, access study materials, or purchase exam vouchers.

    Posted by Janet Tritch at 03:06 PM | Comments (0)

    2012 ERM Symposium Call For Papers

    The 2012 ERM Symposium offers an opportunity for professionals from numerous disciplines to gather and discuss the latest developments in ERM. In conjunction with the ERM Symposium, a call for papers has been issued.

    The Symposium invites papers that explore risk management topics, with a focus on analysis and practical tools related to both financial and operational risks, the interaction between risks, integrated ERM, and creating value through ERM.

    Abstracts for your proposed paper are due by October 14, 2011, and should be submitted to Barbara Scott at bscott@soa.org. View the complete call for papers on the ERM Symposium Web Site for additional details at www.ermsymposium.org.

    A Call for Presentations will be issued the week of September 12. Please check the ERM Symposium website for details.

    The ERM Symposium is presented by PRMIA, the Canadian Institute of Actuaries, the Casualty Actuarial Society, and the Society of Actuaries.

    Posted by Janet Tritch at 10:05 AM | Comments (0)

    PRMIA Invites U.S. Members to Share Their Feedback on U.S. Consumer Credit

    PRMIA and FICO invite you to share your views on U.S. Consumer Credit. This quarterly survey examines such topics as consumer credit delinquencies, underwriting standards, balance of supply and demand and industry issues. Previous survey results have shown great insight into trends in these areas.

    The short survey will take 10 minutes or less to complete. All responses are strictly confidential. To begin, please click this link: http://www.surveymk.com/s/YS6YWLT.

    Posted by Janet Tritch at 10:04 PM | Comments (0)

    New issue of Journal of Risk Management in Financial Institutions Now Available

    The newest issue of the Journal of Risk Management in Financial Institutions (JRMFI) - Volume 4, Issue 3 - is now available.

    This issue has been guest-edited by Professor Damiano Brigo of King's College London and Dr Rita D'Ecclesia of Sapienza University of Rome. It is based on the themes and findings of The International Summer School on Risk Measurement and Control which takes places annually and brings together practitioners and academics to discuss the current trends and areas of concern. The papers in this issue are based on the issues and themes that were covered during the 2010 Summer School.

    Here is a snapshot of the issue:

    Causes of the economic crisis: Can the flap of a butterfly wing in Brazil destroy the Coliseum ... after 30 years
    Giorgio Svego

    This paper argues that the current US-made economic crisis was caused by unintended perverse consequences of remote well-meaning political decisions, such as the 1977 Community Reinvestment Act and the xploitation of government-sponsored enterprises, such as Fannie Mae etc, that began in the 1990s. Furthermore, it is argued the fivefold interest rate increases in the USA between 2003 and 2008 that charged an additional US$70bn to the three million holders of adjustable rate mortgages triggered the crash.

    Monetary policy, financial stability and interest rate rules
    Giorgio Di Di Giorgio and Zeno Rotondi

    An investigation of the empirical properties of simple interest rate rules that embed either "backward" or "forward" interest rate smoothing. Such interest rate rules can be rationalised as the operative reaction functions used by central banks pursuing monetary policy and financial stability targets. This paper considers the implications of banks' risk management practices for monetary policy and derives interest rate rules by modelling the desire of the central bank to stabilise different definitions of the "basis" risk as a contribution to financial stability.

    Credit models and the crisis: An overview
    Damiano Brigo, Andrea Pallavicini & Roberto Torresetti

    This paper describes the evolution of methodologies used to price credit derivatives and collateralised debt obligations (CDOs) from the Gaussian copula model, to the arbitrage-free dynamic loss models, to the generalised Poisson loss (GPL) model to the implied copula model, and finally to the notion of expected tranche loss, a model independent quantity that can be easily stripped from CDO data and may be useful for interpolation.

    Market impact measurement of a VWAP trading algorithm
    Jan Fraenkle, Svetlozar (Zari) Rachev & Christian Scherrer

    This paper proposes a model for the market impact of algorithmic trades using the VWAP (volume-weighted average price) trading algorithm, demonstrating that the VWAP algorithm is the optimal solution using the market impact models presented in this paper. The purpose of this work is the empirical market impact analysis of a homogeneous set of algorithmic trades.

    Modelling longevity risk in practice
    Frank Schiller and Susanne Lepschi

    In this paper there is a comparison of different models used in practice for calibrating future developments of mortality rates and a discussion of their key shortfalls and issues. One of the main differences between the models lies in the width of the distribution for the forecast. The results are further compared to the standard model in Solvency II and it is shown that from the perspective of time consistency all models are superior to the standard model.

    Distortion risk measures for hedge funds
    Helyette Geman
    Cecile Kharoubi-Rakotomalala

    Catastrophic risk and insurance risk have required the use of specific risk measures for reinsurance companies to survive over the centuries. The goal in this paper is to apply the distortion risk measures introduced in actuarial sciences, as described by Wang (2000) in the Journal of Risk and Insurance, to the assessment of hedge funds risk.

    Integration of energy commodity markets in Europe and the USA
    Cristina Bencivenga, Giulia Sargenti & Rita D'Ecclesia

    This paper analyses the relationships between crude oil, natural gas and electricity prices in two deregulated markets: the USA and Europe. The relationship between oil, gas and electricity is a crucial issue for risk management purposes. For instance, the wide-spread use of energy derivatives to hedge possible unexpected changes in the prices of fuel sources requires an accurate estimation of the existing correlation between these commodities.

    PRMIA full Sustaining members receive the digital version of the JRMFI as a part of their membership. They may access the Journal in the "My Library" area of the PRMIA website. To purchase a Journal subscription, visit http://prmia.org/index.php?page=training&option=trainingRMFILibraryJournal

    Posted by Janet Tritch at 10:43 AM | Comments (0)


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