Forthcoming content

A selection of peer-reviewed articles scheduled for publication so far for volume 10 - Journal of Risk Management in Financial Institutions include:

  • Smoothing transition probability matrices under a risk sensitive approach
    Ahmet Perilioglu, Senior Financial Engineer, IBM Risk Analytics and Karina Perilioglu, Manager of Required Capital Assumptions and Methodology, Aviva
  • Stress testing: Where next?
    Jo Paisley, former Global Head of Stress Testing, HSBC
  • Operational resilience: Developing a comprehensive operational risk strategy
    David Suetens, EVP, CEO, State Street, Luxembourg Business et al
  • BCBS IRRBB pillar 2: The new standard for the banking industry
    Roberto Virreira Zijderveld, Manager of IRBB Policy, Standard Chartered Group
  • Critical appraisal of the Basel fundamental review of the trading book regulations
    Dr. J. Orgeldinger, Independent Consultant
  • Regulatory reform in banking 10 years after the financial crisis
    Dr. Mattia L. Rattaggi, Managing Director, Head of Regulatory Affairs and Governance Reporting, UBS Group Internal Audit
  • Cybersecurity: The risks and the management of these risks for global banks and financial institutions
    Mark Camillo, Head of Cyber, EMEA, AIG
  • Wrong-way risk bounds in counterparty credit risk management
    Amir Memartoluiey, University of Waterloo et al
  • Statutory bail-in for an orderly resolution of insurers
    Shinya Kobayashi, Government Official, the Financial Services Agency of Japan
  • Liquidity risk management in the investment fund industry
    Martin Moloney & Evin O’Reilly, Central Bank of Ireland
  • Convexity and correlation effects in expected credit loss calculations for IFRS9/CECL and stress testing
    Gaurav Chawla, Team Lead - Models and Methodologies, Aguais and Associates
  • The challenge of assessing and shaping bank conduct, ethics and culture: Insights from the social sciences
    Dr Matthew Connell, Head of Regulatory Developments, Zurich UK Life
  • Credit risk term-structures for lifetime impairment forecasting: A practical guide?
    Jimmy Skoglund, SAS Institute
  • Capturing initial margin in counterparty risk calculations
    Lee Moran, Senior Quantitative Analyst, BNP Paribas & Sascha Wilkens, Senior Manager, BNP Paribas
  • Policy implications of endogenous risk premiums: The example of a China slowdown
    Aram Derdzyan, Economist, Economic Research Department, Central Bank of Armenia and Armen Nurbekyan, Head of the Economic Research Department, Central Bank of Armenia
  • A deeper understanding of payment shock dynamics
    Nidhi Verma, Senior Director, Financial Services Research and Industry Insights, TransUnion
  • Underdetermination and variability of the  results in macro-to-micro stress  tests – a machine learning  approach
    Alexander Denev, Head of Quantitative Research, HIS Markit and Orazio Angelini, Research Associate IHS MARKIT
  • Volume 10 includes a Special Issue on Country risk: Lessons of the past and the changing dynamics
    Luigi Ruggerone, Resident Representative at Intesa Sanpaolo, and William Kerry, Senior Economist at the International Monetary Fund

    In response to the financial crises of the last 20 years, country risk has been profoundly reconsidered to include ideas such as contingent liabilities, the sovereign–banks nexus, debt dynamics and political risk.  The special issue presents state-of-the-art papers from practitioners, policy makers, regulators and researchers.

  • Managing political risk in advanced economies
    Sam Wilkin, ‎Senior Advisor, Political Risk, Oxford Analytica

  • Beyond country risk: A comprehensive approach to address banks’ vulnerabilities
    Gregorio de Felice, Chief Economist & Head of Research, Intesa Sanpaolo

  • Challenges in implementing a robust Rates Transfer Pricing (RTP) framework
    Richard Wise, Chief Risk Officer, Credit-Suisse Asia-Pacific

  • Changing the treatment of sovereign exposures in banking regulation – a market impact assessment
    Áron Gereben, Senior Economist, Policy and Strategy Division, Economics Department, European Investment Bank

  • Assessing the vunerabilities in foreign economies
    Jack Fisher and Lukasz Rachel, International Directorate, Bank of England

  • Stress testing as a systemic risk assessment tool
    Dimitri G Demekas , Assistant Director, Monetary & Capital Markets Department , International Monetary Fund

  • The new face of political risk
    Mark Giancola, Managing Director and Global Head of Country Risk, Goldman Sachs

  • Exposure exchange agreements among multilateral development banks for sovereign exposures: an innovative risk management tool
    Riadh Belhaj, Principal Risk Officer, African Development Bank, Merli Baroudi, Chief Credit Officer and Director, The World Bank, Norbert Fiess, Credit Risk Head,The World Bank, Jonas Campino DE Olivera, Senior Strategic Risk Specialist, Inter-American Development Bank, Frank Sperling, Strategic Risk Management, Inter-American Development Bank & Tim Turner, Group Chief Risk Officer, African Development Bank

  • Incorporating external factors that drive “excessive lending” into country risk analysis
    Mina Toksoz, International Economist, Mina Toksoz Ltd

  • And a selection of peer-reviewed articles still available in volume 9 Journal of Risk Management in Financial Institutions consisting of four quarterly 100-page issues include:

    • Trade Finance: Risks and Mitigants for Non-Bank Investors - A Case Study of Federated Investors Project and Finance Core Fund
      Robert Kowit, Senior Vice President, Federated Investors, William May, Senior Vice President and the FRM Program Manager, GARP Research and Educational Programs & Erick Rengifo, Associate Professor, Economics Department, Fordham University
    • An interview with  Madelyn Antoncic, Member of the Operating Committee, Principal Global Investors, and Former CRO, Lehman Brothers
      Interview conducted by Allan Grody, Editorial Board Member
    • Over-regulation and its attendant risks
      Joshua Cohn, Partner, Mayer Brown
    • Conduct in banking
      Dr Mattia Rattaggi, Managing Director, Head of Regulatory Relations, UBS
    • Big Data in risk management
      Dilip Krishna, Director, Deloitte & Touche
    • Stress Testing Convergence
      German Gutierrez Gallardo, NYU Stern School of Business, Til Schuermann, Partner, Oliver Wyman & Michael Duane, Partner, Oliver Wyman
    • The influence of systemic importance indicators on banks’ credit default swap spreads
      Jill Cetina, Associate director for policy studies, US Office of Financial Research & Bert Loudis, Financial Analyst, US Office of Financial Research
    • Factors to be considered when reconciling the advanced and standardised risk weights for residential mortgages
      Tony Rich, Director, Risk Analytics and Insights, Westpac Banking Corporation and Liam McCarthy, Senior Manager, Portfolio Risk and Insights, Westpac Banking Corporation
    • Managing non-financial risks – a new focus area for executive and non-executive board members
      Prof. Dr. Thomas Kaiser, House of Finance, Goethe-Universität Frankfurt
    • Modelling recoveries of US leading banks based on publicly disclosed data
      Pawel Siarka, Ernst & Young
    • Developing liquidity stress tests
      Jérôme Henry, Head of the Macro Financial Linkage Division, European Central Bank
    • Regulation and Bank Competition: How Important is Risk?
      Saibal Ghosh, Reserve Bank of India
    • What is the best way of avoiding misconduct fines – more risk managers and compliance staff, or changing the bank’s culture?
      Eleni Petros, Marsh
    • Taming The Most Dangerous Risk – Will A Different Toolset Provide Resiliency?
      Matthew Eby, Operational Risk Management Consultant
    • Determinants of Risk Culture
      Prof. Dr. Natalie Packham, Frankfurt School of Finance & Management
    • Risk management & meeting capital adequacy requirements by Indian Banks
      D. Ravishankar, Founder Director, Brickwork Ratings