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October 07, 2011
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 PRMIA_Marketing at October 7, 2011 02:04 PM
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