Risk.net - Financial Risk Management News Analysis
WEBOur new research service compares op risk practices at financial institutions – from staffing to AI safeguards, key controls to board reporting packs. Click here for selected highlights. The world's leading source of in-depth news and …
Top custody banks add record $12.7tn assets in 2021 - Risk.net
WEBJan 24, 2022 · Assets under custody and administration hit an all-time high as the Basel Committee continues its G-Sib framework review. Assets under custody and administration (Auca) at the three largest US custody banks rose to an all-time high in the last quarter of 2021. BNY Mellon led the charge with a $1.4 trillion quarterly increase to $46.7 trillion.
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 ...
The rise of non-financial risks - Risk.net
WEBApr 29, 2022 · The rise of non-financial risks. Naeem Siddiqi, senior adviser, risk management, risk research and quantitative solutions at SAS, discusses the effectiveness of stress-testing as a risk management tool in rapidly changing markets, the role of new technologies in developing robust data-rich scenarios and …
RCSAs: designing and embedding in risk management
WEBAbout the course. This course offers an in-depth exploration of the RCSA process, from designing and conducting assessments to reporting results and planning follow-up actions. Emphasising the integration of RCSA s within the broader risk management framework, key concepts such as risk taxonomy, governance and appetite are explored.. The curriculum examines RCSA methodology, highlighting the ...
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 ...
Goldman Sachs news and analysis articles - Risk.net
WEBAug 29, 2024 · Eleven banks fall below buffer requirements in latest DFAST. Goldman Sachs worst performer among 31 participating banks, with 450bp gap between stressed CET1 ratio and all-in capital requirements. 03 Jul 2024.
Journal of Risk - a Risk.net journal
WEBThe Journal of Risk is particularly interested in papers on the following topics: Risk management regulations and their implications. Risk capital allocation and risk budgeting. Efficient evaluation of risk measures under increasingly complex and realistic model assumptions. Impact of risk measurement on portfolio allocation.
Value-at-risk (VAR) definition - Risk.net
WEBValue-at-risk is a statistical measure of the riskiness of financial entities or portfolios of assets. It is defined as the maximum dollar amount expected to be lost over a given time horizon, at a pre-defined confidence level. For example, if the 95% one-month VAR is $1 million, there is 95% confidence that over the next …
Top 10 operational risks for 2021 - Risk.net
WEBMar 3, 2021 · Welcome to Risk.net’s annual ranking of the top op risks for 2021, based on a survey of operational risk practitioners across the globe and in-depth interviews with respondents.. As in years past, there is no great secret to the methodology: Risk.net’s editorial team gets in touch with 100 chief risk officers, heads of operational risk and senior practitioners at financial services firms ...