Resources
This page lists contributions of presentations, articles, papers and web-
casts by our Charter Members.
Abbott, Mark C.
Applications of Financial Modeling to Asset/Liability Management
Asset Indivisibility, Security Design and Asset Quality
Challenges and Successes in Holistic ERM Execution
SOA Professional Actuarial Specialty Guide ALM
Dr. AitSahlia, Farid
Articles and Papers
Dr. Akkizidis, Ioannis S.
A Different Risk
Analysing the integrated risks inherent in Islamic financial products
Basel II and Islamic Banking: A UAE Perspective
Hedge Optimization with IAS 39
Other Articles and Papers
Interview: Second Mover Advantage
Dr. Alexander, Carol
Articles and Papers
Dr. Allen, Linda
Articles and Papers (see ‘Research’)
Other Articles and Papers
Allen, Steven L.
Viewing Market Risk as Contingent Liquidity Risk
Risk Management - Liquid & Illiquid Positions
Dr. Altman, Edward I.
Articles and Papers
Dr. Antoncic, Madelyn
High and Volatile Real Interest Rates: Where Does the Fed Fit In?
Dr. Aziz, Andrew R.
Fundamental Theorem of Asset Pricing for Credit-Risky Securities
The Power of Scenarios - Risk Measurement and the Ranking of
Investment Strategies
Cleaning a Passive Index: How to Use Portfolio Optimization to Satisfy
CSR Constraints
Capital Allocation and RAPM
After-Tax Term Structures of Real Interest Rates: Inferences from the UK
Linked and Non-Linked Gilt Markets
Managing the Risk of Relative Price Changes by Splitting Index Linked
Bonds
Dr. Bakshi, Gurdip S.
Articles and Papers
Dr. Banziger, Hugo
Risk and Capital Management
Dr. Bartram, Söhnke M.
Articles and Papers
Beder, Tanya Styblo
Interview: The Beder Approach
The Great Risk Hunt
Vignettes on VAR
Interview: Beder on fast-track at Citigroup
Other Articles and Papers
Dr. Berd, Arthur M.
Articles and Papers
Dr. Bluhm, Christian
Articles and Papers
Conferences
Böcker, Klaus
Interaction of Market and Credit Risk
Operational VAR: A Closed-form Approximation
Multivariate Models for Operational Risk
Dr. Bohn, Jeffrey R.
Challenges of Active Credit Portfolio Management - Shinsei Bank
Why is Loan Securitization and Syndication Important for Japan?
Reduced Form vs. Structural Models of Credit Risk: A Case Study
A Survey of Contingent-Claims Approaches to Risky Debt Valuation
Modeling Default Risk
Dr. Boudoukh, Jacob
Articles and Papers
Dr. Breuer, Thomas
Articles and Papers
Dangerous Interaction between Credit and Market Risk
Dr. Brigo, Damiano
Articles and Papers
Brown, Aaron
Articles and Papers
Dr. Canabarro, Eduardo
Counterparty Risk: Measurement and Pricing
Analysing Counterparty Risk – Basel Paper founded on this
Calculation of Economic Capital Based on EPE
Dr. Carty, Lea V.
Articles and Papers
Dr. Carr, Peter
Articles and Papers
Ceske, Robert J.
Share and Share Alike – Sharing Operational Loss Data
Modelling Techniques For Limited Data Sets
Made-to-measure: Operational Risk Capital
Quantifying Event Risk: The Next Convergence
Dr. Chance, Don M.
Articles
Papers
Cherubini, Umberto
Articles and Papers
Other Articles and Papers
Dr. Christoffersen, Peter F.
Articles and Papers
Other Articles and Papers
Cintioli, Dario
The foundations of the StatPro simulation model – I
Credit risk in the StatPro simulation model - II
Historical-simulation Method
Integration of Default and Market Risk in Historical Simulation Model
Dr. Constantinides, George M.
Asset Pricing Tests with Long Run Risks in Consumption Growth
Mispricing of S&P 500 Index Options
Are Options on Index Futures Profitable for Risk Averse Investors?
Other Articles and Papers
Dr. Cont, Rama
Articles and Papers
Dr. Cossin, Didier
Articles and Papers
Dr. Crouhy, Michel
The Use of Internal Models: Comparison of New Basel Proposals with
Internal Credit Portfolio Models
A Comparative Analysis of Current Credit Risk Models
Dr. Cruz, Marcelo
Extreme Value Theory: A Useful Framework for Modeling Extreme OR
Events
Dr. Dacorogna, Michel M.
Articles and Papers
Dr. Danielsson, Jon
Articles and Papers
Presentations Financial Crisis Conference LSE
IMF: Do Market Risk Management Techniques Amplify Systemic Risks?
Dr. Das, Sanjiv R.
Articles and Papers
de Jong, Otbert E.
Credit Portfolio Management
Dr. Dembo, Ron S.
Risky Business
The Practice of Portfolio Replication
Enterprise-wide Risk Management - Interview
Dr De Servigny, Arnaud
Articles and Papers
Dr. Diebold, Francis X.
Articles and Papers
Dr. Dionne, Georges
Articles and Papers
Dr. Dowd, Kevin
Articles
Working Papers
Other Articles and Papers
Other Articles and Papers
Presentations
Drysdale, Diana
Making Good Governance Work at ENMAX
Implementing ERM - Northeast Utilities System
Dr. Dupire, Bruno
Interview on Volatility Modeling and Trading
Evans, Richard C. S.
Integrating Capital Management with Risk Management
Dr. Fabozzi, Frank J.
Articles and Papers
Other Articles and Papers
Dr. Finger, Christopher C.
Articles and Papers
Other Articles and Papers
Other Articles and Papers
Dr. Frey, Rüdiger
Articles and Papers
Dr. Friedman, Craig A.
Articles and Papers
French, Craig W.
Articles and Papers
Finlay, Mike
The RMA/RiskBusiness KRI Framework Study
World-wide Trends in Scenario Analysis
Operational Risk Management and Corporate Governance
Dr. Fons, Jerome S.
Improving Transparency in Asian Banking Systems
Tracing the Origins of “Investment Grade”
Bank Credit Risk In Emerging Markets
Dr. Galai, Dan
Capital Requirements and Earnings Management in Banks
Dr. Gatheral, Jim
Articles and Papers
Dr. Geman, Hélyette
Articles and Papers
Geny, Hervé
Financial Services: The Need for More Robust and Transparent
Disclosures
Ghavami, Peter
Contango
Dr. Giesecke, Kay
Articles and Papers
Dr. Golub, Bennett W.
Risk Management: Approaches for Fixed Income Markets
Dr. Goodworth, Toby R. J.
Factor-based, Non-parametric Risk Measurement Framework for Hedge
Funds and Fund-of-Funds
Building a Risk Measurement Framework for Hedge Funds and FOF
Hedge Fund Risk Drivers from a Fund-of-Funds Perspective
Hedge Funds and Risk
Gräwert, Alexander
Progress on Solvency II and the Measurement of Capital
Intellectual Capital: Developing a Comprehensive Risk Governance
Framework
Solvency and Insurance Operations -Impact and Industry Initiatives
Solvency Assessment Models Compared
Convergence in Capital Management
Dr. Gregory, Jon
Basket Default Swaps, CDO’s and Factor Copulas
Beyond the Gaussian Copula: Stochastic and Local Correlation
A Decade of CDO Pricing
Dr. Guill, Gene D.
Bankers Trust and the Birth of Modern Risk Management
Credit Portfolio -An Introduction to the Challenges and Opportunities
Sound Practices in Credit Portfolio Management
A Framework for Assessing Credit Risk in Depository Institutions
Valuing Credit Assets
Dr. Gutman, James
Corporate Commodity Risk Management in Practice
Dr. Hamilton, David T.
Using Market Implied Ratings to Enhance Recovery in Default
Confidence Intervals for Corporate Default Rates
Copula Methods and the Analysis of Credit Risk
Rating Transition and Default Rates Conditioned on Outlooks
Adjusting corporate default rates for rating withdrawals
Hansén, Lars Olof Marcus
External Data combined with Internal Data in OR Measurement
Hinton, Garth
OpRisk & Compliance Roundtable on the relationship between op risk
and compliance
Huey-Evans, Gay
Managing Derivatives Risk - An ISDA Perspective
Risk Management - The Growth in Derivatives
Dr. Hull, John C.
Articles and Papers
Imai, Kenji
Book: Advanced Financial Risk Management
Book: Credit Risk Models and the Basel Accords
Book: Financial Risk Analytics
Ingram, David
Insurance Criteria: Evaluating The ERM Practices of Insurance Co's
Insurance Criteria: Refining The Focus Of Insurer ERM Criteria
Best Practices for Life Insurance Company Risk Management
Dynamics of SARS, Plotting the Risk of Epidemic Disasters
Best Practices for the Risk Mapping Process
Other Articles and Papers
Dr. Jarrow, Robert A.
Operational Risk
Other Articles and Papers
Dr. Jobst, Andreas A.
Articles and Papers
Dr. Kalotay, Andrew J.
Refunding Efficiency: A Generalized Approach
A Framework for Corporate Treasury Performance Measurement
Testing Hedge Effectiveness (FAS 133): The Volatility Reduction Measure
The Challenge of Managing Credit Spreads: New Tools on the Horizon
Ratchet Bonds: Max. Refunding Efficiency at Minimum Transaction Cost
Other Articles and Papers
Dr. Kaminski, Vincent J.
Ex-Enron officer says he warned about risky dealings
Energy Trading: Is the Turnaround in Sight?
A method of modelling and estimating jumps in energy prices
Dr. Kawaller, Ira G.
Articles and Papers
Dr. Khoo Guan Seng
The ABC of “Reasonably” Successful ERM Implementation
Credit & Market Risk Stress Testing
Kitchen, Louise
Contango
Kloman, Felix H.
Four Critical Issues in Risk Management
The Future of Risk Management, Again
Dr. Kocagil, Ahmet E.
Interest Rate Risk in Structured Finance Transactions – GBP Libor
Fitch Equity Implied Rating and Probability of Default Model
Fitch CDS Implied Ratings (CDS-IR) Model
Expected Default Frequency RiskCalc model
Other Articles and Papers
Koenig, David R.
Risk Management in the Business Process - Blog
Aligning Compensation Systems with Risk Management Objectives
Dr. Kolb, Robert W.
ERM – Lecture Notes
Books
Blackwell’s Companions to Finance Series
Kollar, John J.
Issues & Challenges for Insurer ERM Implementation
Extreme Events
Dr. Koyluoglu, Ugur
The Eternal Challenge of Understanding Imperfections
Devil in the Parameters
A Generalized Framework for Credit Risk Portfolio Models
Kritzman, Mark P.
Articles and Papers
Canada Unbound: Implications for Currency Management
Dr. Kupiec, Paul H.
A Generalized Single Common Factor Model of Portfolio Credit Risk
Basel II: A Case for Recalibration
Capital Allocation for Portfolio Credit Risk
Other Articles and Papers
Dr. Kuritzkes, Andrew
Deposit Insurance and Risk Management
What We Know, Don't Know and Can't Know about Bank Risks
Other Articles and Papers
Dr. Kyprianou, Andreas E.
Articles and Papers
Dr. Lando, David
Articles and Papers
Labhart, Glenn
Establishing a Risk Management Philosophy Culture in Energy
Companies
Lam, James - Co-Chairman
Enterprise Risk Management at Asian Banks: From Challenges to
Strategies
Emerging Best Practices in Developing Key Risk Indicators and ERM
Reporting
Who Needs a CRO?
Dr. Laurent, Jean-Paul
Articles and Papers
Dr. Leinweber, David J.
How I Became a Quant
Algorithms at the Edge
Stupid Data Miner Tricks
If you had everything computationally, where would you put it, financially?
Dr. Lawrence, David E.
Practitioner perspective: Operational risk implications of Basel II / CP3
Levin, Joseph
Product Profile: Futures on the VIX
Dr. Li, David
How A Formula Ignited Market That Burned Some Big Investors
Gaussian copula and credit derivatives
Implied Loss Distribution, Term Structure of Correlation Skew and
Dynamic Modeling of Credit Portfolio
CDO2 Pricing Using Gaussian Mixture Model with Transformation of Loss
Distribution
Some Latest Development in Portfolio Credit Derivatives and Their
Modelling Techniques
Dr Longin, François M.
Articles and Papers
Dr. Lopez, Jose A.
Articles and Papers
Other Articles and Papers
Dr. Madan, Dilip B.
Pricing and Hedging in Incomplete Markets
Stochastic Volatility for Levy Processes
Self Decomposability and Option Pricing
From Local Volatility to Local Levy Models
Asset Allocation with Multivariate Non-Gaussian Returns
Equilibrium asset pricing: with non-Gaussian factors and exponential
utilities
Other Articles and Papers
Makomaski, Joanna
Integrating ERM into Business Practices
Dr. Manganelli, Simone
Articles and Papers
Other Articles and Papers
Mango, Donald F.
Enterprise Risk Analysis for Property and Liability Insurance Co's
An Introduction to Insurer Strategic Risk: Risk Management
ERM Discussed
Applying Actuarial Techniques in Operational Risk Modeling
Capital Consumption: An Alternative Methodology for Pricing Reinsurance
Other Articles and Papers
Dr. Mark, Robert M.
Best-Practice Enterprise Risk Management
Risk Management in the Derivatives Market
Dr. Marshall, Christopher Lee
Enterprise Risk, Performance and Compliance: Leveraging a Common
Architecture
Dr. Martellini, Lionel
Derivatives Strategies for Bond Portfolios
The risk management function and European asset manag't practices
Articles and Papers
Other Articles and Papers
McLenaghen, Tara
The ‘Best’ Retail Lending KRIs: An Industry Working Group Perspective
The Data Puddle Challenge
Key Risk Indicators – Their Role in ORM and Measurement
Dr. McNeil, Alexander J.
Articles and Papers
Metcalfe, Richard
Update on International Operational Risk Management Development
Dr. Mignola, Giulio
Economic Capital Assessment Via Copulas: Aggregation And Allocation
Of Different Risk Types
Dr. Mongiardino, Alessandra
Financial Services: The Need for More Robust and Transparent
Disclosures
Principal-Protected Products: Uncovering the Hidden Risks
Dr. Morokoff, William J.
Tutorial on Portfolio Credit Risk Management
An Importance Sampling Method for Portfolios of Credit Risky Assets
Dr. Naldi, Marco
Step it Up or Start it Forward
Squaring Factor Copula Models
Pricing Multi-Name Default Swaps with Counterparty Risk
On the dependence of equity and asset returns
Extreme Events and Default Baskets
Ormezzano, Véronique
Pillar III - Disclosure Requirements and Opportunities
Sound Practices in Credit Portfolio Management
Panning, William H.
Managing the Invisible: Measuring Risk, Managing Capital, Max. Value
Estimating Loss Reserve Uncertainty
Other Articles and Papers
Parker, Virginia R.
Articles and Papers
Experts Say Hedge Fund Risk Controls Have a Way to Go
Persaud, Avinash
Liquidity Black Holes
Pure Contagion and Investors' Shifting Risk Appetite: Analytical Issues
and Empirical Evidence
Disaster Futures
Dr. Phillips, Richard D.
Capital Allocation and the Pricing of Financially Intermediated Risks
An Economic Appraisal of Securitizing Insurance Risk via Onshore SPVs
Estimating the Costs of Equity Capital in Property-Liability Insurance
Dr. Picoult, Evan C.
Economic capital for counterparty credit risk
Basel II and Economic Risk
Dr. Pykhtin, Michael
Counterparty Credit Risk Modeling
A Guide to Modeling Counterparty Credit Risk
Asymptotic Model of Economic Capital for Securitisations
Portfolio credit risk - Multi-factor adjustment
Unexpected recovery risk
Dr. Quick, Jeremy
Roundtable on Self-Assessment in Operational Risk
Risk Management Principles for Electronic Banking
Rahl, Leslie
Articles/Presentations - Risk Management for Hedge Funds
Dr. Rebonato, Riccardo
Market Risk Management of Investment Portfolios
Real-World Evolution of the Yield Curve
Dr. Resti, Andrea C.
Articles and Papers
Reynolds, Diane
How Much Credit in Credit Risk Models?
A Framework for Scenario Generation
Rizzi, Joseph V.
Articles and Papers
Ronez, Marc
Plan early to protect your staff and minimize the impact of a pandemic on
your business.
Dr. Rosen, Dan
Valuing CDOs of Bespoke Portfolios with Implied Systematic Factor
Models
Analytical Methods for Hedging Systematic Credit Risk with Linear Factor
Portfolios
Dr. Rowe, David M. - Co-Chairman
Risk Management blog
Risk Analysis columns from Risk magazine
Credit Risk Management's 25 Year Transformation
Credit Modeling Innovations
Accounting Rules, Risk-based Pricing Reporting Arbitrage
Regulatory Capital, Models, and Holistic Balance Sheet Management
Samad-Khan, Ali
All Articles and White Papers
Dr. Samanta, Prodyot
ERM for Financial Institutions
ERM and Risk Assessment – For FIs
Sankey, Edward J.
New Innovations in Using Insurance Markets
Working with Risk and Uncertainty in the Region
An Overview of Risk and Insurance in a Carbon Trading World
Carbon Credit Commerce Risks and their Management
Games Markets Play - risk analysis for energy markets
Dr Satchell, Stephen
Articles and Papers
Other Articles and Papers
Dr. Saunders, Anthony
Articles and Papers
Dr. Schachter, Barry
Articles and Papers - search on Schachter, Barry
Dr. Schönbucher, Philipp J.
Articles and Papers
Dr. Schoutens, Wim
Articles and Papers
Dr. Schuermann, Til
Articles and Papers
Schütter, Hansruedi
Indicators and Good Risk Management
Op Risk Management and Basel II
Operational Risk Sound Practices
Operational Risk Mitigation and Requirements Under Basel II
Schwartz, Spencer
Defining Risk Appetite
Building a Sustainable ERM Program
Seth, Ammy
HBOS - Algo OpRisk Case Study
Dr Sheedy, Elizabeth Anne
Articles and Papers
Other Articles and Papers
Dr. Shefrin, Hersh
Articles and Papers
Dr. Shiller, Robert J.
Articles and Papers
Dr. Shotton, Paul N.
What’s the Biggest Risk of All?
Dr. Siddique, Akhtarur
Articles and Papers
Estimation Risk, Complexity and Portfolio Selection
Sinha, Sanjeev
Media coverage
ERM – Achieving an Effective Org. Structure through Cross-Functional
Working
Sironi, Andrea
Articles and Papers
Dr. Smith, Clifford W. Jr.
Agency Conflicts and Risk Management
Corporate Risk Management: Theory and Practice
Controlling Risks in Derivatives Markets
Risks in Derivatives Markets: Implications for the Insurance Industry
Dr. Smithson, Charles W.
Does Risk Management Add Value? A Survey of the Evidence
Valuing Assets Held in Investment Portfolios
The Promise of Credit Derivatives in Nonfinancial Corporations
Dr. Spéder, Hugues E. Pirotte
Present Value
Dr. h. c. Stahl, Gerhard
Mathematical Framework for Integrating Market and Credit Risk
Backtesting beyond the Trading Book
Value-at-Risk Forecasts under Scrutiny – The German Experience
The Use of Internal Models in Financial Supervision
Dr. Stein, Roger M.
Articles and Papers
Other Articles and Papers
Stoddart, Keith
Roundtable: AML and the role of the professions
Dr. Stulz, René M.
How much do banks use credit derivatives to reduce risk?
Other Articles and Papers
Dr. Sundaram, Rangarajan K.
Articles
Papers
Dr. Taylor, Stephen J.
Articles and Papers
Tilman, Leo M.
Articles and Papers
Dr. Underwood, Alice
A Top-Down Approach to Quantifying Parameter Risk
The Real World: Dealing With Parameter Risk
Dr. Uryasev, Stan
Articles and Papers
Vance, Beaumont W.
Articles and Papers
Risk Management Weblog
Dr. van Deventer, Donald R.
CDOs and the Credit Crisis
Measuring the Risk of Default: A Modern Approach
The Pricing of Risky Debt When Interest Rates are Stochastic
ALM in Enterprise Wide Risk Management Perspective
Credit Risk Models in Loan Portfolio and Counterparty Exposure Manag't
Dr. Vorst, A.C.F. (Ton)
Options and Earnings Announcements: An Empirical Study
Hedging Options Under Transaction Costs and Stochastic Volatility
Pricing Default Swaps: Empirical Evidence
Comparing Possible Proxies of Corporate Bond Liquidity
Valuing Euro Rating-Triggered Step-Up Telcom Bonds
Life After VAR
Other Articles and Papers
Dr. Wilford, D. Sykes
Concept of Risk Management and VaR for Asset Management Firms
Why Buy-side Portfolio Managers are Different
Leverage: A Very Misleading Way to Measure Risk
Leverage, Liquidity, Volatility, Time Horizon & The Risk of Ruin: A Barrier
Option Approach
Risk Measurement versus Risk Management
Understanding Risk is Key to Long-Term Return Management
Dr. Wilson, Thomas C.
The Strategic & Governance Challenges of ERM
Portfolio Credit Risk
Dr. Wong, Michael C. S.
Market Risk Management of Banks: Implications from the Accuracy of
Value-at-Risk Forecasts
Other Articles and Papers
Dr. Woo, Gordon
Understanding Terrorism Risk
Natural Catastrophe Probable Maximum Loss
Interview: Terrorism Modeling - An Insoluble Problem?
A Catastrophe Bond Niche: Multiple Event Risk
Wu, Dominic
Mitigating operational risk to minimise loss
Recent industrial thoughts and practice
Dr. Young, Peter C.
Risk Financing in UK Local Authorities: Is There A Case For Risk Pooling?
Risk and the Outsourcing of Risk Management Services: The Case of
Claims Management
Dr. Yu, Fan
Articles and Papers
Dr. Zagst, Rudi
Articles and Papers
Dr. Zerbs, Michael
Mark-to-Future: A Framework for Measuring Risk and Reward
A Multi-Factor Statistical Model for Interest Rates
Dimension Reduction by Asset Blocks
The Bank of the Future on the Threshold of the 21st Century
Mark-to-Future in Practice
Other Articles and Papers
Dr. Zhu, Steven H.
A Conditional Valuation Approach for Path-Dependent Instruments
Measuring Counterparty Credit Risk for Trading Products under Basel II
This page lists contributions of presentations, articles, papers and web-
casts by our Charter Members.
Abbott, Mark C.
Applications of Financial Modeling to Asset/Liability Management
Asset Indivisibility, Security Design and Asset Quality
Challenges and Successes in Holistic ERM Execution
SOA Professional Actuarial Specialty Guide ALM
Dr. AitSahlia, Farid
Articles and Papers
Dr. Akkizidis, Ioannis S.
A Different Risk
Analysing the integrated risks inherent in Islamic financial products
Basel II and Islamic Banking: A UAE Perspective
Hedge Optimization with IAS 39
Other Articles and Papers
Interview: Second Mover Advantage
Dr. Alexander, Carol
Articles and Papers
Dr. Allen, Linda
Articles and Papers (see ‘Research’)
Other Articles and Papers
Allen, Steven L.
Viewing Market Risk as Contingent Liquidity Risk
Risk Management - Liquid & Illiquid Positions
Dr. Altman, Edward I.
Articles and Papers
Dr. Antoncic, Madelyn
High and Volatile Real Interest Rates: Where Does the Fed Fit In?
Dr. Aziz, Andrew R.
Fundamental Theorem of Asset Pricing for Credit-Risky Securities
The Power of Scenarios - Risk Measurement and the Ranking of
Investment Strategies
Cleaning a Passive Index: How to Use Portfolio Optimization to Satisfy
CSR Constraints
Capital Allocation and RAPM
After-Tax Term Structures of Real Interest Rates: Inferences from the UK
Linked and Non-Linked Gilt Markets
Managing the Risk of Relative Price Changes by Splitting Index Linked
Bonds
Dr. Bakshi, Gurdip S.
Articles and Papers
Dr. Banziger, Hugo
Risk and Capital Management
Dr. Bartram, Söhnke M.
Articles and Papers
Beder, Tanya Styblo
Interview: The Beder Approach
The Great Risk Hunt
Vignettes on VAR
Interview: Beder on fast-track at Citigroup
Other Articles and Papers
Dr. Berd, Arthur M.
Articles and Papers
Dr. Bluhm, Christian
Articles and Papers
Conferences
Böcker, Klaus
Interaction of Market and Credit Risk
Operational VAR: A Closed-form Approximation
Multivariate Models for Operational Risk
Dr. Bohn, Jeffrey R.
Challenges of Active Credit Portfolio Management - Shinsei Bank
Why is Loan Securitization and Syndication Important for Japan?
Reduced Form vs. Structural Models of Credit Risk: A Case Study
A Survey of Contingent-Claims Approaches to Risky Debt Valuation
Modeling Default Risk
Dr. Boudoukh, Jacob
Articles and Papers
Dr. Breuer, Thomas
Articles and Papers
Dangerous Interaction between Credit and Market Risk
Dr. Brigo, Damiano
Articles and Papers
Brown, Aaron
Articles and Papers
Dr. Canabarro, Eduardo
Counterparty Risk: Measurement and Pricing
Analysing Counterparty Risk – Basel Paper founded on this
Calculation of Economic Capital Based on EPE
Dr. Carty, Lea V.
Articles and Papers
Dr. Carr, Peter
Articles and Papers
Ceske, Robert J.
Share and Share Alike – Sharing Operational Loss Data
Modelling Techniques For Limited Data Sets
Made-to-measure: Operational Risk Capital
Quantifying Event Risk: The Next Convergence
Dr. Chance, Don M.
Articles
Papers
Cherubini, Umberto
Articles and Papers
Other Articles and Papers
Dr. Christoffersen, Peter F.
Articles and Papers
Other Articles and Papers
Cintioli, Dario
The foundations of the StatPro simulation model – I
Credit risk in the StatPro simulation model - II
Historical-simulation Method
Integration of Default and Market Risk in Historical Simulation Model
Dr. Constantinides, George M.
Asset Pricing Tests with Long Run Risks in Consumption Growth
Mispricing of S&P 500 Index Options
Are Options on Index Futures Profitable for Risk Averse Investors?
Other Articles and Papers
Dr. Cont, Rama
Articles and Papers
Dr. Cossin, Didier
Articles and Papers
Dr. Crouhy, Michel
The Use of Internal Models: Comparison of New Basel Proposals with
Internal Credit Portfolio Models
A Comparative Analysis of Current Credit Risk Models
Dr. Cruz, Marcelo
Extreme Value Theory: A Useful Framework for Modeling Extreme OR
Events
Dr. Dacorogna, Michel M.
Articles and Papers
Dr. Danielsson, Jon
Articles and Papers
Presentations Financial Crisis Conference LSE
IMF: Do Market Risk Management Techniques Amplify Systemic Risks?
Dr. Das, Sanjiv R.
Articles and Papers
de Jong, Otbert E.
Credit Portfolio Management
Dr. Dembo, Ron S.
Risky Business
The Practice of Portfolio Replication
Enterprise-wide Risk Management - Interview
Dr De Servigny, Arnaud
Articles and Papers
Dr. Diebold, Francis X.
Articles and Papers
Dr. Dionne, Georges
Articles and Papers
Dr. Dowd, Kevin
Articles
Working Papers
Other Articles and Papers
Other Articles and Papers
Presentations
Drysdale, Diana
Making Good Governance Work at ENMAX
Implementing ERM - Northeast Utilities System
Dr. Dupire, Bruno
Interview on Volatility Modeling and Trading
Evans, Richard C. S.
Integrating Capital Management with Risk Management
Dr. Fabozzi, Frank J.
Articles and Papers
Other Articles and Papers
Dr. Finger, Christopher C.
Articles and Papers
Other Articles and Papers
Other Articles and Papers
Dr. Frey, Rüdiger
Articles and Papers
Dr. Friedman, Craig A.
Articles and Papers
French, Craig W.
Articles and Papers
Finlay, Mike
The RMA/RiskBusiness KRI Framework Study
World-wide Trends in Scenario Analysis
Operational Risk Management and Corporate Governance
Dr. Fons, Jerome S.
Improving Transparency in Asian Banking Systems
Tracing the Origins of “Investment Grade”
Bank Credit Risk In Emerging Markets
Dr. Galai, Dan
Capital Requirements and Earnings Management in Banks
Dr. Gatheral, Jim
Articles and Papers
Dr. Geman, Hélyette
Articles and Papers
Geny, Hervé
Financial Services: The Need for More Robust and Transparent
Disclosures
Ghavami, Peter
Contango
Dr. Giesecke, Kay
Articles and Papers
Dr. Golub, Bennett W.
Risk Management: Approaches for Fixed Income Markets
Dr. Goodworth, Toby R. J.
Factor-based, Non-parametric Risk Measurement Framework for Hedge
Funds and Fund-of-Funds
Building a Risk Measurement Framework for Hedge Funds and FOF
Hedge Fund Risk Drivers from a Fund-of-Funds Perspective
Hedge Funds and Risk
Gräwert, Alexander
Progress on Solvency II and the Measurement of Capital
Intellectual Capital: Developing a Comprehensive Risk Governance
Framework
Solvency and Insurance Operations -Impact and Industry Initiatives
Solvency Assessment Models Compared
Convergence in Capital Management
Dr. Gregory, Jon
Basket Default Swaps, CDO’s and Factor Copulas
Beyond the Gaussian Copula: Stochastic and Local Correlation
A Decade of CDO Pricing
Dr. Guill, Gene D.
Bankers Trust and the Birth of Modern Risk Management
Credit Portfolio -An Introduction to the Challenges and Opportunities
Sound Practices in Credit Portfolio Management
A Framework for Assessing Credit Risk in Depository Institutions
Valuing Credit Assets
Dr. Gutman, James
Corporate Commodity Risk Management in Practice
Dr. Hamilton, David T.
Using Market Implied Ratings to Enhance Recovery in Default
Confidence Intervals for Corporate Default Rates
Copula Methods and the Analysis of Credit Risk
Rating Transition and Default Rates Conditioned on Outlooks
Adjusting corporate default rates for rating withdrawals
Hansén, Lars Olof Marcus
External Data combined with Internal Data in OR Measurement
Hinton, Garth
OpRisk & Compliance Roundtable on the relationship between op risk
and compliance
Huey-Evans, Gay
Managing Derivatives Risk - An ISDA Perspective
Risk Management - The Growth in Derivatives
Dr. Hull, John C.
Articles and Papers
Imai, Kenji
Book: Advanced Financial Risk Management
Book: Credit Risk Models and the Basel Accords
Book: Financial Risk Analytics
Ingram, David
Insurance Criteria: Evaluating The ERM Practices of Insurance Co's
Insurance Criteria: Refining The Focus Of Insurer ERM Criteria
Best Practices for Life Insurance Company Risk Management
Dynamics of SARS, Plotting the Risk of Epidemic Disasters
Best Practices for the Risk Mapping Process
Other Articles and Papers
Dr. Jarrow, Robert A.
Operational Risk
Other Articles and Papers
Dr. Jobst, Andreas A.
Articles and Papers
Dr. Kalotay, Andrew J.
Refunding Efficiency: A Generalized Approach
A Framework for Corporate Treasury Performance Measurement
Testing Hedge Effectiveness (FAS 133): The Volatility Reduction Measure
The Challenge of Managing Credit Spreads: New Tools on the Horizon
Ratchet Bonds: Max. Refunding Efficiency at Minimum Transaction Cost
Other Articles and Papers
Dr. Kaminski, Vincent J.
Ex-Enron officer says he warned about risky dealings
Energy Trading: Is the Turnaround in Sight?
A method of modelling and estimating jumps in energy prices
Dr. Kawaller, Ira G.
Articles and Papers
Dr. Khoo Guan Seng
The ABC of “Reasonably” Successful ERM Implementation
Credit & Market Risk Stress Testing
Kitchen, Louise
Contango
Kloman, Felix H.
Four Critical Issues in Risk Management
The Future of Risk Management, Again
Dr. Kocagil, Ahmet E.
Interest Rate Risk in Structured Finance Transactions – GBP Libor
Fitch Equity Implied Rating and Probability of Default Model
Fitch CDS Implied Ratings (CDS-IR) Model
Expected Default Frequency RiskCalc model
Other Articles and Papers
Koenig, David R.
Risk Management in the Business Process - Blog
Aligning Compensation Systems with Risk Management Objectives
Dr. Kolb, Robert W.
ERM – Lecture Notes
Books
Blackwell’s Companions to Finance Series
Kollar, John J.
Issues & Challenges for Insurer ERM Implementation
Extreme Events
Dr. Koyluoglu, Ugur
The Eternal Challenge of Understanding Imperfections
Devil in the Parameters
A Generalized Framework for Credit Risk Portfolio Models
Kritzman, Mark P.
Articles and Papers
Canada Unbound: Implications for Currency Management
Dr. Kupiec, Paul H.
A Generalized Single Common Factor Model of Portfolio Credit Risk
Basel II: A Case for Recalibration
Capital Allocation for Portfolio Credit Risk
Other Articles and Papers
Dr. Kuritzkes, Andrew
Deposit Insurance and Risk Management
What We Know, Don't Know and Can't Know about Bank Risks
Other Articles and Papers
Dr. Kyprianou, Andreas E.
Articles and Papers
Dr. Lando, David
Articles and Papers
Labhart, Glenn
Establishing a Risk Management Philosophy Culture in Energy
Companies
Lam, James - Co-Chairman
Enterprise Risk Management at Asian Banks: From Challenges to
Strategies
Emerging Best Practices in Developing Key Risk Indicators and ERM
Reporting
Who Needs a CRO?
Dr. Laurent, Jean-Paul
Articles and Papers
Dr. Leinweber, David J.
How I Became a Quant
Algorithms at the Edge
Stupid Data Miner Tricks
If you had everything computationally, where would you put it, financially?
Dr. Lawrence, David E.
Practitioner perspective: Operational risk implications of Basel II / CP3
Levin, Joseph
Product Profile: Futures on the VIX
Dr. Li, David
How A Formula Ignited Market That Burned Some Big Investors
Gaussian copula and credit derivatives
Implied Loss Distribution, Term Structure of Correlation Skew and
Dynamic Modeling of Credit Portfolio
CDO2 Pricing Using Gaussian Mixture Model with Transformation of Loss
Distribution
Some Latest Development in Portfolio Credit Derivatives and Their
Modelling Techniques
Dr Longin, François M.
Articles and Papers
Dr. Lopez, Jose A.
Articles and Papers
Other Articles and Papers
Dr. Madan, Dilip B.
Pricing and Hedging in Incomplete Markets
Stochastic Volatility for Levy Processes
Self Decomposability and Option Pricing
From Local Volatility to Local Levy Models
Asset Allocation with Multivariate Non-Gaussian Returns
Equilibrium asset pricing: with non-Gaussian factors and exponential
utilities
Other Articles and Papers
Makomaski, Joanna
Integrating ERM into Business Practices
Dr. Manganelli, Simone
Articles and Papers
Other Articles and Papers
Mango, Donald F.
Enterprise Risk Analysis for Property and Liability Insurance Co's
An Introduction to Insurer Strategic Risk: Risk Management
ERM Discussed
Applying Actuarial Techniques in Operational Risk Modeling
Capital Consumption: An Alternative Methodology for Pricing Reinsurance
Other Articles and Papers
Dr. Mark, Robert M.
Best-Practice Enterprise Risk Management
Risk Management in the Derivatives Market
Dr. Marshall, Christopher Lee
Enterprise Risk, Performance and Compliance: Leveraging a Common
Architecture
Dr. Martellini, Lionel
Derivatives Strategies for Bond Portfolios
The risk management function and European asset manag't practices
Articles and Papers
Other Articles and Papers
McLenaghen, Tara
The ‘Best’ Retail Lending KRIs: An Industry Working Group Perspective
The Data Puddle Challenge
Key Risk Indicators – Their Role in ORM and Measurement
Dr. McNeil, Alexander J.
Articles and Papers
Metcalfe, Richard
Update on International Operational Risk Management Development
Dr. Mignola, Giulio
Economic Capital Assessment Via Copulas: Aggregation And Allocation
Of Different Risk Types
Dr. Mongiardino, Alessandra
Financial Services: The Need for More Robust and Transparent
Disclosures
Principal-Protected Products: Uncovering the Hidden Risks
Dr. Morokoff, William J.
Tutorial on Portfolio Credit Risk Management
An Importance Sampling Method for Portfolios of Credit Risky Assets
Dr. Naldi, Marco
Step it Up or Start it Forward
Squaring Factor Copula Models
Pricing Multi-Name Default Swaps with Counterparty Risk
On the dependence of equity and asset returns
Extreme Events and Default Baskets
Ormezzano, Véronique
Pillar III - Disclosure Requirements and Opportunities
Sound Practices in Credit Portfolio Management
Panning, William H.
Managing the Invisible: Measuring Risk, Managing Capital, Max. Value
Estimating Loss Reserve Uncertainty
Other Articles and Papers
Parker, Virginia R.
Articles and Papers
Experts Say Hedge Fund Risk Controls Have a Way to Go
Persaud, Avinash
Liquidity Black Holes
Pure Contagion and Investors' Shifting Risk Appetite: Analytical Issues
and Empirical Evidence
Disaster Futures
Dr. Phillips, Richard D.
Capital Allocation and the Pricing of Financially Intermediated Risks
An Economic Appraisal of Securitizing Insurance Risk via Onshore SPVs
Estimating the Costs of Equity Capital in Property-Liability Insurance
Dr. Picoult, Evan C.
Economic capital for counterparty credit risk
Basel II and Economic Risk
Dr. Pykhtin, Michael
Counterparty Credit Risk Modeling
A Guide to Modeling Counterparty Credit Risk
Asymptotic Model of Economic Capital for Securitisations
Portfolio credit risk - Multi-factor adjustment
Unexpected recovery risk
Dr. Quick, Jeremy
Roundtable on Self-Assessment in Operational Risk
Risk Management Principles for Electronic Banking
Rahl, Leslie
Articles/Presentations - Risk Management for Hedge Funds
Dr. Rebonato, Riccardo
Market Risk Management of Investment Portfolios
Real-World Evolution of the Yield Curve
Dr. Resti, Andrea C.
Articles and Papers
Reynolds, Diane
How Much Credit in Credit Risk Models?
A Framework for Scenario Generation
Rizzi, Joseph V.
Articles and Papers
Ronez, Marc
Plan early to protect your staff and minimize the impact of a pandemic on
your business.
Dr. Rosen, Dan
Valuing CDOs of Bespoke Portfolios with Implied Systematic Factor
Models
Analytical Methods for Hedging Systematic Credit Risk with Linear Factor
Portfolios
Dr. Rowe, David M. - Co-Chairman
Risk Management blog
Risk Analysis columns from Risk magazine
Credit Risk Management's 25 Year Transformation
Credit Modeling Innovations
Accounting Rules, Risk-based Pricing Reporting Arbitrage
Regulatory Capital, Models, and Holistic Balance Sheet Management
Samad-Khan, Ali
All Articles and White Papers
Dr. Samanta, Prodyot
ERM for Financial Institutions
ERM and Risk Assessment – For FIs
Sankey, Edward J.
New Innovations in Using Insurance Markets
Working with Risk and Uncertainty in the Region
An Overview of Risk and Insurance in a Carbon Trading World
Carbon Credit Commerce Risks and their Management
Games Markets Play - risk analysis for energy markets
Dr Satchell, Stephen
Articles and Papers
Other Articles and Papers
Dr. Saunders, Anthony
Articles and Papers
Dr. Schachter, Barry
Articles and Papers - search on Schachter, Barry
Dr. Schönbucher, Philipp J.
Articles and Papers
Dr. Schoutens, Wim
Articles and Papers
Dr. Schuermann, Til
Articles and Papers
Schütter, Hansruedi
Indicators and Good Risk Management
Op Risk Management and Basel II
Operational Risk Sound Practices
Operational Risk Mitigation and Requirements Under Basel II
Schwartz, Spencer
Defining Risk Appetite
Building a Sustainable ERM Program
Seth, Ammy
HBOS - Algo OpRisk Case Study
Dr Sheedy, Elizabeth Anne
Articles and Papers
Other Articles and Papers
Dr. Shefrin, Hersh
Articles and Papers
Dr. Shiller, Robert J.
Articles and Papers
Dr. Shotton, Paul N.
What’s the Biggest Risk of All?
Dr. Siddique, Akhtarur
Articles and Papers
Estimation Risk, Complexity and Portfolio Selection
Sinha, Sanjeev
Media coverage
ERM – Achieving an Effective Org. Structure through Cross-Functional
Working
Sironi, Andrea
Articles and Papers
Dr. Smith, Clifford W. Jr.
Agency Conflicts and Risk Management
Corporate Risk Management: Theory and Practice
Controlling Risks in Derivatives Markets
Risks in Derivatives Markets: Implications for the Insurance Industry
Dr. Smithson, Charles W.
Does Risk Management Add Value? A Survey of the Evidence
Valuing Assets Held in Investment Portfolios
The Promise of Credit Derivatives in Nonfinancial Corporations
Dr. Spéder, Hugues E. Pirotte
Present Value
Dr. h. c. Stahl, Gerhard
Mathematical Framework for Integrating Market and Credit Risk
Backtesting beyond the Trading Book
Value-at-Risk Forecasts under Scrutiny – The German Experience
The Use of Internal Models in Financial Supervision
Dr. Stein, Roger M.
Articles and Papers
Other Articles and Papers
Stoddart, Keith
Roundtable: AML and the role of the professions
Dr. Stulz, René M.
How much do banks use credit derivatives to reduce risk?
Other Articles and Papers
Dr. Sundaram, Rangarajan K.
Articles
Papers
Dr. Taylor, Stephen J.
Articles and Papers
Tilman, Leo M.
Articles and Papers
Dr. Underwood, Alice
A Top-Down Approach to Quantifying Parameter Risk
The Real World: Dealing With Parameter Risk
Dr. Uryasev, Stan
Articles and Papers
Vance, Beaumont W.
Articles and Papers
Risk Management Weblog
Dr. van Deventer, Donald R.
CDOs and the Credit Crisis
Measuring the Risk of Default: A Modern Approach
The Pricing of Risky Debt When Interest Rates are Stochastic
ALM in Enterprise Wide Risk Management Perspective
Credit Risk Models in Loan Portfolio and Counterparty Exposure Manag't
Dr. Vorst, A.C.F. (Ton)
Options and Earnings Announcements: An Empirical Study
Hedging Options Under Transaction Costs and Stochastic Volatility
Pricing Default Swaps: Empirical Evidence
Comparing Possible Proxies of Corporate Bond Liquidity
Valuing Euro Rating-Triggered Step-Up Telcom Bonds
Life After VAR
Other Articles and Papers
Dr. Wilford, D. Sykes
Concept of Risk Management and VaR for Asset Management Firms
Why Buy-side Portfolio Managers are Different
Leverage: A Very Misleading Way to Measure Risk
Leverage, Liquidity, Volatility, Time Horizon & The Risk of Ruin: A Barrier
Option Approach
Risk Measurement versus Risk Management
Understanding Risk is Key to Long-Term Return Management
Dr. Wilson, Thomas C.
The Strategic & Governance Challenges of ERM
Portfolio Credit Risk
Dr. Wong, Michael C. S.
Market Risk Management of Banks: Implications from the Accuracy of
Value-at-Risk Forecasts
Other Articles and Papers
Dr. Woo, Gordon
Understanding Terrorism Risk
Natural Catastrophe Probable Maximum Loss
Interview: Terrorism Modeling - An Insoluble Problem?
A Catastrophe Bond Niche: Multiple Event Risk
Wu, Dominic
Mitigating operational risk to minimise loss
Recent industrial thoughts and practice
Dr. Young, Peter C.
Risk Financing in UK Local Authorities: Is There A Case For Risk Pooling?
Risk and the Outsourcing of Risk Management Services: The Case of
Claims Management
Dr. Yu, Fan
Articles and Papers
Dr. Zagst, Rudi
Articles and Papers
Dr. Zerbs, Michael
Mark-to-Future: A Framework for Measuring Risk and Reward
A Multi-Factor Statistical Model for Interest Rates
Dimension Reduction by Asset Blocks
The Bank of the Future on the Threshold of the 21st Century
Mark-to-Future in Practice
Other Articles and Papers
Dr. Zhu, Steven H.
A Conditional Valuation Approach for Path-Dependent Instruments
Measuring Counterparty Credit Risk for Trading Products under Basel II
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