Volume 6 (2012-13)

Each volume of Journal of Risk Management in Financial Institutions consists of four quarterly 100-page issues. The articles published in Volume 6 were:

Volume 6 Number 4

  • A parallel, rather than ‘shadow’, banking system
    Alexander Batchvarov, Managing Director, International Structured Finance Research, Bank of America Merrill Lynch
  • How do boards address risk management and oversight?
    Brandon Davies, Non-executive Chairman, Premier European Capital
  • Understanding the funding cost differences between global systemically important banks (GSIBs) and non-G-SIBs in the USA
    Michel Araten, Managing Director, Risk Management Services and Christopher Turner, VP, Quantitative Research, JPMorgan Chase
  • Operational risk: Back on the agenda
    Peter McCormack, Technical Specialist, Enterprise Wide Risk Management and Andrew Sheen, Manager, Risk Infrastructure Team, Bank of England Prudential Regulation Authority
  • Community bank proactive risk management: Concentration management, stress testing and capital planning
    Peter L. Cherpack, SVP, Principal & Director of Credit Technology Solutions Group, Ardmore Banking Advisors and Brian W. Jones, SVP and Chief Lending Officer, Newfield National Bank
  • The new German law establishing criminal liability of banking and insurance executives for failures in risk management
    Thomas Richter, Criminal Defence Attorney, HammPartner
  • How do you deal with operational risk? A survey of risk management practices in the German insurance sector
    Jörg Prokop, Professor of Finance and Banking and Dietmar Pfeifer, Professor of Mathematics, Carl von Ossietzky University of Oldenburg


Volume 6 Number 3

  • Coping with inconsistencies in bank risk weighted assets
    Michel Araten, Managing Director, JPMorgan Chase
  • Bayesian estimation of probabilities of default for low default portfolios
    Dirk Tasche, Technical Specialist, Bank of England - Prudential Regulation Authority
  • How to implement counterparty credit risk assessments under Basel III: The challenges
    Diana Ouamar, Co-Founder & Director, RIMA Consulting
  • Measuring systemic risk in the Colombian financial system: A systemic contingent claims approach
    Laura Capera Romano, Economist, Esteban Gómez González, Senior Economist, Mariana Laverde Quintero, Economist and Miguel Ángel Morales Mosquera, Department of Financial Stability, Central Bank of Colombia
  • Credit valuation adjustment tail risk and the impact of wrong way trades
    Jimmy Skoglund, Principal Product Manager, Global Risk Products, SAS
  • Strategic risk: The beanstalk syndrome
    Patrick McConnell, Honorary Fellow, Macquarie University Applied Finance Centre


Volume 6 Number 2 - special issue on how the financial crisis has changed risk management

  • Guest editorial: How the financial crisis has changed risk management
    Thomas Wilson, Chief Risk Officer, Allianz Group
  • Risk management in a low-yield environment: Consequences of the financial crisis
    Axel P. Lehmann, Group Chief Risk Officer and Carin Huber, Assistant to the Group Chief Risk Officer, Zurich Insurance Group
  • Risk management through the lens of macroprudential policy
    Jeroen Brinkhoff, Economist, Sam Langfield, Economist, Francesco Mazzaferro, Head, Carmello Salleo, Adviser and Olaf Weeken, European Systemic Risk Board Secretariat
  • From optimisation to resilience: The changing nature of the risk reward conversation as seen through Westpac's capital and liquidity management policies
    Ed Bosworth, Head, Risk Reward and Tony Rich, Director, Risk Reward, Westpac
  • Principles for dealing with financial stability risks
    Hartmut Koschyk, Parliamentary State Secretary, Federal Ministry of Finance, Germany
  • Supervisory challenges in the presence of systemic risk: The IAIS response to the current financial crisis
    Daniel Hofmann, Economic Counsellor and John Maroney, Principal Administrator, International Association of Insurance Supervisors
  • Risk management lessons learned from the financial crisis: One CRO's view
    Thomas C. Wilson, Chief Risk Officer, Allianz Group
  • Risk adjusting the culture of global finance
    Allan D. Grody, President, Financial InterGroup Holdings
  • The globalisation of insurance: A supervisory response
    Yoshihiro Kawai, Secretary General and Daniel Hofmann, Deputy Secretary General, IAIS
  • The World Economic Forum: A multi-stakeholder platform for engaging the financial services industry and its role during the global economic crisis
    Michael Koenitzer, Head of Project Management, Financial Services Industries Team, World Economic Forum


Volume 6 Number 1

  • The Basel Committee’s fundamental review of the trading book: A commentary
    Allan D. Grody, President, Financial Intergroup Holdings, Kiran J. Fernandes, Research Director, Peter J. Hughes, Visiting Research Fellow, York School of Management and Steven Toms, Chair in Accounting, Leeds University Business School
  • Why markets do not trust Basel II Internal Ratings-Based Approach: What can be done about it?
    Simon Samuels, Managing Director, European Banks Equity Research, Barclays Capital
  • Operational risk: A Basel II++ step before Basel III
    Bertrand Hassani, Head of Major Risk Management, Santander UK and Professor Dominique Guegan, Head of the Financial Axis, Center of Economic Sciences, Sorbonne Universite
  • Risk management infrastructure as a living organism
    Steve Lindo, Directory of Treasury Management and Mortgage Risk, Fifth Third Bancorp
  • Modelling sovereign default risk: comparing models and capturing the impact of the business cycle
    Yao Djifa N’Sougan and Issouf Soumaré, Professor of Finance, Laval University
  • Discounting long and uncertain workout recoveries for estimating loss given default
    Subarna Roy, Analytics & Insights Group, Tata Consultancy Services
  • Lessons for the Irish Government on Basel II and accounting failures
    Gerald Flynn, Lecturer in Financial Management, Dublin Institute of Technology and Cormac Butler, former Consultant, Lombard Risk Systems
  • Where is the ‘system’ in systemic risk literature?
    Shaun M. Brady, Principal, MITRE and Richard Markeloff, Lead Engineer, MITRE