Volume 5 (2011-12)

Each volume of Journal of Risk Management in Financial Institutions consists of four quarterly 100-page issues. The articles published in Volume 5 were:

Volume 5 Number 4

  • The BIS operational risk reviews: Let us not miss the chance of necessary change
    David Millar, former Chief Operating Officer, PRMIA
  • The effects and risks of quantitative easing
    Paul Mortimer-Lee, Global Head of Market Economics, BNP Paribas
  • Is the build-up of TARGET2 balances a question of self-contained risk?
    Jens Ulbrich, Head, Economics Department and Alexander Lipponer, Senior Economist, Deutsche Bundesbank
  • The influence of accounting standards on the performance of the insurance sector
    Therese M. Vaughan, CEO, National Association of Insurance Commissioners
  • Quantitative easing: Implications for bond market volatility
    Editorial Board Member (author wishes to remain anonymous)
  • Stress testing in community banks: The low stress kind
    Brian W. Jones, SVP and Chief Lending Officer, Newfield National Bank
  • Quality measures of scoring models
    Pawel Siarka, Partner, Institute of Financial Services
  • Evaluation of the Basel VaR-based market risk charge and proposals for a needed adjustment
    Jens Fricke and Ralf Pauly, Professor Emeritus of Statistics and Econometrics, University of Osnabruck


Volume 5 Number 3 - Special issue on counterparty risk

Guest-editors: Eduardo Canabarro, Managing Director, Morgan Stanley; Til Schuermann, Partner, Oliver Wyman; Allan Grody, President, Financial InterGroup; Eliza Hammel, Senior Bank Examiner, Federal Reserve Bank of New York

  • On counterparty risk
    Andrew G. Haldane, Executive Director, Financial Stability, Bank of England
  • Counterparty credit risk: News, views and open issues
    Klaus Boeker, Director and Head of Risk Models & Analytics, Deutsche Pfandbriefbank and Roland Stamm, Head of Risk Methods and Valuation, DEPFA Bank
  • General wrong-way risk and stress calibration of exposure
    Michael Pykhtin, Division of Banking Supervision and Regulation, Federal Reserve Board
  • Wrong-way risk applications for CVA, CVA capital and Basel III
    Dan Rosen, CEO, R2 Financial Technologies and David Saunders, University of Waterloo
  • Quantification of central counterparty risk
    Matthias Arnsdorf, Executive Director, Risk Methodology EMEA, JP Morgan
  • Global identification standards for counterparties and other financial market participants
    Allan Grody, President, Financial Intergroup Holdings, Peter Hughes, Principal, Financial InterGroup-UK and Daniel Reininger, Chairman, CEO and President, Semandex Networks
  • Data aggregation and counterparty identification: Considerations for systemic risk analysis
    Dilip Krishna, Director, Enterprise Risk Management and Capital Markets, NCR Teradata
  • The fallacy of moving the OTC derivatives market to CCPs
    Manmohan Singh, Senior Economist, IMF
  • The systemic risks of OTC derivatives central clearing
    David Murphy, Head of Risk, ISDA
  • OTC central counterparty clearing: Myths and reality
    Alistair Milne, Loughborough University School of Business and Economics


Volume 5 Number 2 - Special issue on risk governance

Guest-editor: David Koenig, CEO, The Governance Fund Advisors

  • Data quality in banking: Regulatory requirements and best practices
    Michele Bonollo, Head of IT, Risk Management, Banca Popolare and Massimiliano Neri, Associate Director, Moody's Analytics
  • The new model of governance and risk management for financial institutions
    John Bugalla, Managing Principal, ermINSIGHTS, James Kallman, Professor of Finance, St. Edward’s University, Steve Lindo, Director of Treasury Management and Mortgage Risk, Fifth Third Bank and Kristina Narvaez, President and CEO, ERM Strategies
  • Transferring knowledge of risk management to the Board of Directors and executives
    Eduardo Rodriguez, Principal IQAnalytics, EDC Canada and John S. Edwards, Aston Business School, Aston University
  • Corporate governance regulation
    Yevgeniya Timofeyeva, Financial Risk Management Advisor, KPMG
  • Risk and the shareholder
    Robert A.G. Monks, Co-founder, Institutional Shareholder Services
  • Our inability to judge time frames in risk governance and risk management
    Jon Lukomnik, Executive Director, IRRC Institute and Managing Partner, Sinclair Capital
  • ICGN Corporate Risk Oversight Guidelines: The role of the board and institutional shareholders
    Erik Breen, Head of Responsible Investing, Robeco, Andrew Clearfield, President, Investment Initiatives and Karol Klimczak, Kozminski Center for Corporate Governance
  • Governance of strategic risks in systemically important banks
    Pat McConnell, Visiting Lecturer, Trinity College Dublin


Volume 5 Number 1

  • Value optimisation in a regulatory constrained regime: A new look at risk vs return optimisation
    Bogie Ozdemir, VP, Sun Life Financial Group, Peter Miu, DeGroote School of Business, McMaster University and Michael Giesinger, Associate Director, Wholesale Credit Risk Group, Barclays
  • Modelling systemic liquidity risk with feedback effects in the UK banking sector
    Gary van Vuuren, School of Management, University of the Free State
  • A value-at-risk approach to commercial real estate portfolio stress testing at US community banks
    John Hall, University of Arkansas, David Kern, Arkansas State University, Tim Yeager, Arkansas Bankers Association Chair in Banking, University of Arkansas, Tom King, Chief, Monetary and Financial Stability Section, Federal Reserve Board of Governors and Kevin Lee, California State University
  • The calculation of portfolio unexpected loss in credit and operational risk
    Michael Samuels, QMetric
  • Credit BuVaR: Asymmetric spread VaR with default
    Max Wong, Head of VaR Model Testing, RBS Global Banking & Markets