Volume 10 (2017)

Each volume of Journal of Risk Management in Financial Institutions consists of four quarterly 100-page issues, published both in print and online. The articles published so far in JRMFI Volume 10 are:

Volume 10 Number 4

  • Editorial: The politics of risk: A reflection of volatility in 2017
    Richard Wise, Editorial Board member, Journal of Risk Management in Financial Institutions
  • Risk management for financial institutions in an age of populism
    Douglas J. Elliott, Partner, Oliver Wyman
  • Sketching a roadmap for systemic liquidity stress tests
    Grzegorz Hałaj, financial stability expert, European Central Bank and Jérôme Henry, Principal adviser, European Central Bank
  • Hedging the impact of climate change in the catastrophe space
    Carolyn W. Chang, Department of Finance, California State University, Fullerton and Jack S.K. Chang, Department of Finance & Law, California State University, Los Angeles
  • Improving finance and risk management foresight abilities: Growing past the ‘black swan’ mindset through integrative assessment
    Guntram Fritz Albin Werther, Professor, Fox School of Business, Temple University
  • Forecasting initial margin requirements: A model evaluation
    Peter Caspers, senior quantitative analyst and developer, Paul Giltinan, Principal Consultant, Roland Lichters, Founding Partner & CTO and Nikolai Nowaczyk, Consultant, Quaternion Risk Management
  • Smoothing transition probability matrices under a risk sensitive approach
    Ahmet Perilioglu and Karina Perilioglu

Volume 10 Number 3

  • Editorial: Has too big to fail been resolved?
    Madelyn Antoncic, Executive Director, Principal Global Investors, Former Vice President and Treasurer, World Bank
  • Stress testing: Where next?
    Jo Paisley, former Global Head of Stress Testing, HSBC
  • Forecast of forecast: An analytical approach to stressed impairment forecasting
    Jimmy Skoglund, Principal Product Manager, SAS and Wei Chen, Director of Stress Testing Solution, SAS Institute
  • Critical appraisal of the Basel fundamental review of the trading book regulations
    J. Orgeldinger, Independent Consultant
  • A deeper understanding of payment shock dynamics
    Nidhi Verma, Vice President, Consulting, TransUnion
  • BCBS IRRBB pillar 2: The new standard for the banking industry
    Roberto Virreira Zijderveld, Senior Manager of IRRBB Policy, Standard Chartered Group
  • Developing a comprehensive operational risk strategy
    David Suetens, Executive Vice President and Chief Executive Officer, Richard Flood, Managing Director and Cinzia Dicorato-Rura, Operational Risk Manager, State Street, Luxembourg
  • Regulatory reform in banking 10 years after the financial crisis
    Mattia L. Rattaggi, Managing Director, Head Regulatory Affairs and Governance Reporting, Group Internal Audit, UBS

Volume 10 Number 2

  • Editorial
    Backstopping risk: Capital versus transparency
    Allan D. Grody, President, Financial InterGroup Holdings Ltd.
  • Capturing initial margin in counterparty risk calculations
    Lee Moran, Senior Quantitative Analyst, and Sascha Wilkens, Senior Manager, BNP Paribas, Risk Analytics & Modelling
  • Underdetermination and variability of the results in macro-to-micro stress tests: A machine learning approach
    Alexander Denev, Head of Quantitative Research and Orazio Angelini, Research Associate, IHS Markit
  • Wrong-way risk bounds in counterparty credit risk management
    Amir Memartoluie, PhD candidate, Cheriton School of Computer Science, David Saunders, Associate Professor in the Department of Statistics and Actuarial Science, Tony Wirjanto, Econometrician, University of Waterloo
  • Statutory bail-in for an orderly resolution of insurers
    Shinya Kobayashi, Government Official, Financial Services Agency of Japan
  • Credit risk term-structures for lifetime impairment forecasting: A practical guide
    Jimmy Skoglund, Principal Product Manager, SAS
  • Cybersecurity: Risks and management of risks for global banks and financial institutions
    Mark Camillo Head of Cyber, EMEA, AIG
  • Probabilistic causality and decisions on bailouts of financial institutions
    Fernando Moreira, Lecturer in Business Economics and Director of the MSc in Banking and Risk at the University of Edinburgh Business School

Volume 10 Number 1

Special Issue on Country Risk
Guest-Editors: Luigi Ruggerone, Resident Representative, Intesa Sanpaolo & Will Kerry, Deputy Division Chief, International Monetary Fund

  • Editorial
    Country risk: A special Issue
    Luigi Ruggerone, Resident Representative, Intesa Sanpaolo & Will Kerry, Deputy Division Chief, International Monetary Fund
  • Managing political risk in advanced econmies
    Sam Wilkin, Senior advisor, Oxford Economics
  • Assessing vulnerabilities to financial shocks in some key global economies
    Jack Fisher, Research Assistant, London School of Economics and Lukasz Rachel, Senior Economist, Bank of England
  • Stress testing as a systemic risk assessment tool
    Dimitri G. Demekas, Assistant Director, Monetary & Capital Markets Department, International Monetary Fund
  • Beyond country risk: A comprehensive approach to address banks' vulnerabilities
    Gregorio De Felice, Head of Research and Chief Economist, Intesa Sanpaolo
  • Changing the treatment of sovereign exposures in banking regulation: A market impact assessment
    Aron Gereben, Senior Economist, Policy and Strategy Division, Economics Department, European Investment Bank
  • Incorporating external factors into country risk analysis
    Mina Toksoz, Country Risk Consultant
  • Reassessing the risks in emerging markets
    Richard Wise, Chief Risk Officer, Credit Suisse Asia Pacific
  • Exposure exchange agreements among multilateral development banks for sovereign exposures: An innovative risk management tool
    Riadh Belhaj, Principal Financial Risk Officer, African Development Bank, Merli Baroudi, Chief Credit Officer, International Bank for Reconstruction and Development, Norbert Fiess, Lead Economist, Global Practice of Macroeconomic and Fiscal Management, World Bank Group, Jonas Campino de Olivera, Senior Strategic Risk Specialist, Inter-American Development Bank, Frank Sperling, Unit Chief for Strategic Risk, Inter-American Development Bank and Tim Turner, Chief Risk Officer, African Development Bank Group
  • The challenge of assessing and shaping bank conduct, ethics and culture: Insights from the social sciences
    Matthew Connell, Head of Regulatory Developments, Zurich Insurance Group
  • Convexity and correlation effects in expected credit loss calculations for IFRS9/CECL and stress testing
    Gaurav Chawla, Team Leader, Models and Methodologies, Aguais and Associates and Lawrence R Forest Jr, Global Head of Research, Aguais and Associates