Call for articles

Copy deadline: 8th April 2019

Call for Papers – Special Issue of Journal of Risk Management in Financial Institutions - Enterprise Risk Management

Guest Editor: Gregory Hopper, Global Head of Enterprise Risk Management, Goldman Sachs

The Journal of Risk Management in Financial Institutions invites papers for a special issue devoted to Enterprise Risk Management (ERM).

The traditional risk management areas—market risk, credit risk, operational risk, and liquidity risk — are now well established in the risk management of financial institutions. However, the experience of the financial crisis as well as the increasing reliance on stress testing in risk management has underscored the need to identify and measure all risks holistically across the enterprise rather than separately in each of the risk silos. ERM departments are being developed to help coordinate and govern the identification of risk as well as to specify and implement pan-risk methodologies for assessing and quantifying risk.

Because ERM is a relatively new discipline in financial institutions, risk managers, regulatory authorities, and policy makers are interested in the answers to fundamental questions about how ERM should be organized, what it should do, and how it can add value.  

To help answer those questions, we are seeking original papers from practitioners, academics, policy makers, regulators, and consultants on general ERM topics. These topics may include but are not limited to:

1)    What are the key functions and deliverables of an ERM department?
2)    How can ERM enhance a financial institution’s understanding of its risk profile that is more insightful than what could be obtained from a compilation of individual risk reports?
3)    How should an ERM department be organized?
4)    Are there any specific risk categories that ERM should specialize in that are not well covered (or not covered at all) by the traditional risk disciplines?
5)    Should ERM be responsible for general governance of risk activities, e.g., by establishing standards and policies?
6)    Should a risk taxonomy be developed? How should it be organized and used?
7)    Are there functions within traditional risk management departments that should be moved to ERM?
8)    What methodologies should ERM use to measure and quantify risk consistently across the enterprise?
9)    Should firmwide risk identification be managed by the ERM department? 

Submission guidelines

The following types of articles will be considered for publication:

  • Practice articles: Thought pieces, briefings, case studies and other contributions written by practitioners. Articles should be 2,000 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 up to 6,000 words in length.

All submissions will be peer-reviewed to ensure that they are of direct, practical relevance to those working in the field.

Our current copy deadline for this special issue is 8th April 2019.

Manuscript submissions and enquiries should be submitted to the Publisher, Julie Kerry. Further, more specific guidance for authors on format and style can be found here.

Questions about this issue and proposals for papers should be directed to the Guest-Editor: Gregory Hopper as well as the Publisher, Julie Kerry.

 

Copy deadline: 1st July 2019

Call for Papers – Special Issue of Journal of Risk Management in Financial Institutions - Model Risk: Management and Measurement

Guest-editors: Klaus Böcker, Senior Manager, PwC, Financial Services, Risk Consulting
Philipp Schröder, Senior Manager, PwC, Financial Services, Risk Consulting

The Journal of Risk Management in Financial Institutions invites papers for a special issue devoted to Model Risk: Management and Measurement.

Today’s financial industry relies on a plethora of models for a range of different tasks, including to value and model complex assets, meet regulatory requirements, comply with increasingly complex accounting principles, or improve strategic planning.  Usually, such models use mathematical, statistical, economic or financial theories as well as simplifying assumptions that transform empirical data or expert judgement into quantitative estimates. Furthermore, with the introduction of AI and Big Data techniques there is a new generation of models emerging, with their own peculiarities, which are by no means fully understood.

Given such a ubiquity of models, it is not surprising that financial regulators have increased the pressure on banks and insurers to implement sound model validation and to ensure an effective model risk management strategy. One of the earliest publications on model risk was the Federal Reserve’s Supervisory Guidance on Model Risk Management (SR 11-7) in April 2011. This pioneering paper is still relevant today and has influenced the way that supervisors and practitioners alike think about model risk management (MRM). However, no widely adopted industry standard for MRM has emerged so far: banks differ in the number and types of models they include in their MRM framework and regulators on the different sides of the Atlantic have opposing views on whether MRM should be principals-based or  rules-based. 

The aim of this special issue is to present state-of-the-art papers from practitioners, policy makers, regulators and academics on model risk management and measurement.

The editors encourage the submission of papers on model risk, including but not limited to any of the following topics:

  • Should regulatory guidance on model risk management be more rule based or rather principal based?
  • What are the main lessons learned from the ECB banking supervisor's TRIM project on internal capital models?
  • What are the special characteristics of a Pillar II model validation in contrast to the validation of Pillar I capital models?
  • What are appropriate statistical and technical tools to validate AI models? With this respect, what are the typical pitfalls and what is the fundamental difference when that distinguishes AI model validation from that of classical models. 
  • How can AI technology itself help validate other more classical models?
  • What are the latest techniques for quantifying model risk, both for stand-alone models but also on an aggregate level.
  • How can expert judgement be included into model risk quantification in a formal, scientific and transparent way?
  • How can we measure an institutions appetite for model risk and how can it used to calibrate the amount of internal capital used in the ICAAP? 

Submission guidelines

The following types of articles will be considered for publication:

  • Practice articles: Thought pieces, briefings, case studies and other contributions written by practitioners. Articles should be 2,000 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 up to 6,000 words in length.

All submissions will be peer-reviewed to ensure that they are of direct, practical relevance to those working in the field.

Our current copy deadline for this special issue is 1st July 2019.

Manuscript submissions and enquiries should be submitted to the Publisher, Julie Kerry. Further, more specific guidance for authors on format and style can be found here.

Questions about this issue and proposals for papers should be directed to the Guest-Editors: Klaus Böcker and Philipp Schröder as well as the Publisher, Julie Kerry.