Risk.net - Financial Risk Management News Analysis
WEBYou are currently accessing Risk.net via your Enterprise account. If you already have an account please use the link below to sign in.. If you have any problems with your access or would like to request an individual access account please …
Total loss-absorbing capacity (TLAC) definition - Risk.net
WEBJan 1, 2022 · Total loss-absorbing capacity is an international standard, finalised by the Financial Stability Board (FSB) in November 2015, intended to ensure that global systemically important banks (G-Sibs) have enough equity and bail-in debt to pass losses to investors and minimise the risk of a government bailout. From January 1, 2022, G-Sibs are required to hold a TLAC amount of 18% in terms of risk ...
Risk Journals - Quantitative Risk Management Resources - Risk.net
WEBRisk Journals deliver academically rigorous, practitioner-focused content and resources for the rapidly evolving discipline of financial risk management. Each quarter, Risk Journals provide peer-reviewed research and technical papers, delivered to a global audience in print and online. The Risk Journals portfolio has been serving broad and ...
Isda Simm definition - Risk.net
WEBIsda Simm. The standard initial margin model (Simm) is a common methodology to help market participants calculate initial margin on non-cleared derivatives under the framework developed by the Basel Committee on Banking Supervision and the International Organization of Securities Commissions. The standardised margin methodology was developed by ...
Risk-free rate (RFR) definition - Risk.net
WEBThe risk-free rate is the theoretical rate of return on an investment with zero risk. As such, it is the benchmark to measure other investments that include an element of risk.Government bond yields are the most commonly used risk-free rates for assets. Libor is a widely used proxy for a risk-free rate for swaps and bonds. But as a result of rigging controversies and a lack of relevant ...
VAR versus expected shortfall - Risk.net
WEBMar 1, 2007 · Expected shortfall, like VAR, is a function of two parameters: N (the time horizon in days) and X % (the confidence level). It is the expected loss during an N -day period, conditional that the loss is greater than the X th percentile of the loss distribution. For example, with X = 99 and N = 10, the expected shortfall is the average amount ...
Hedge fund of the year: Citadel - Risk.net
WEBJan 26, 2023 · Citadel’s multi-strategy fund was up nearly 38%, Risk.net understands. All its five core strategies – equities, fixed income and macro, commodities, credit and quant – were profitable for the year. The firm’s global fixed-income fund is up more than 32%. Its Tactical Trading fund is up more than 26%.
Risk management technology provider of the year: MSCI
WEBDec 1, 2016 · MSCI is offering a macroeconomic stress-testing framework that should help. MSCI's Macroeconomic Risk Model can be used to create stress tests by user-defined risk factors, and comes with stress tests for a number of potential market-influencing events, such as Grexit or the rise of populism, for example. MSCI …
Credit derivatives house of the year: Barclays - Risk.net
WEBNov 26, 2019 · A last-minute effort to recapitalise the company via a debt-for-equity swap would have rendered the CDS worthless in any case. And when Thomas Cook eventually filed for Chapter 15 bankruptcy protection in the US on September 17, it did not explicitly state insolvency, adding to the uncertainty for CDS holders.. Through it all, the credit derivatives traders at Barclays held their own.
Risk Learning – Training and Development for Risk Professionals
WEBInteractive learning. Learn through engaging workshops, case studies, inspiring presentations, simulations and Q&A sessions. Our courses are delivered in formats including user-friendly online sessions, in-person in financial hubs worldwide and via immersive e-learning platforms for self-paced study.