Volume 8 (2015)

Each volume of Journal of Risk Management in Financial Institutions consists of four quarterly 100-page issues. The articles published in Volume 8 were:

Volume 8 Number 4 (Autumn 2015)

  • How are the new rules for OTC derivatives working?
    John C. Hull, Maple Financial Professor of Derivatives and Risk Management, Joseph L. Rotman School of Management, University of Toronto
  • The end of the waterfall: Default resources of central counterparties
    Rama Cont, Director, CFM-Imperial Institute of Quantitative Finance, Imperial College London
  • Capital for concentrated credit portfolios
    Paul Kupiec, resident scholar, the American Enterprise Institute
  • Risk modelling: Convergence needed, but some variances are legitimate
    Brad Carr, Institute of International Finance
  • Simulating and validating a multi-factor Heath, Jarrow and Morton model with negative interest rates
    Robert A. Jarrow, the Ronald P. and Susan E. Lynch Professor of Investment Management, the Johnson Graduate School of Management, Cornell University, and Donald R. van Deventer, Chairman and CEO of Kamakura Corporation
  • Governance as the driver of culture change and risk management
    Marcy S. Cohen, Managing Director, General Counsel and Chief Legal Officer, ING Financial Holdings Corporation
  • How is risk management contributing to financial stability? The perspective of a European-GSII
    Alban de Mailly Nesle, Group Chief Risk Officer, AXA Insurance Company
  • CVA wrong way risk multiplier decomposition and efficient CVA curve
    Tao Pang, Associate Professor of Mathematics at North Carolina State University, et al
  • Book review: ‘Contemporary challenges in risk management’ by Torben Juul Andersen
  • Book review ‘Correlation risk modeling and management’ by Gunter Meissner
    Both books reviewed by Krzysztof Jajuga, Wroclaw University of Economics


Volume 8 Number 3 (Summer 2015)

  • What can risk managers at financial institutions learn from the systems employed by traders?
    Chabi Deochand, IT Audit, Citi
  • An examination of the new Basel pProposals: Can Basel 4 work? What can go wrong?
    Bogie Ozdemir, Chief Risk Officer and EVP, Canadian Western Bank, Gokul Sudarsana, Sun Life Financial and Michael Giesinger, Barclays Bank
  • Lessons learned from stress testing European banks
    Piers Haben, Director of Oversight and Benjamin Friedrich, Bank Sector Analyst, Risk Analysis Unit, European Banking Authority
  • Control without limits: Why the fundamental review of trading books is good step forward and how it could go further
    Cyril Godart, Senior Consultant, QuBits Research
  • Bank capital for operational risk: A tale of fragility and instability
    Mark Ames, Partner, Oliver Wyman, Til Schuermann, Partner, Oliver Wyman and Hal S. Scott, Professor and Director, Program on International Financial Systems, Harvard Law School
  • Time to remove the tax advantage of debt
    Francis Breedon, Department of Economics and Finance, Queen Mary, University of London
  • Confronting regulatory and financial industry change at the world’s largest asset manager
    An Interview with Ben Golub, Senior Managing Director and Chief Risk Officer, BlackRock by Allan Grody, President, Financial InterGroup
  • Growth-linked anti-cyclical debt: A solution for Europe’s public debt overhangs
    Alberto Gallo, Head, Macro Credit Research, Lee Tyrrell-Hendry, Macro Credit Analyst, Mateja Popovic, Macro Credit Analyst, Tao Pan, Research Analyst, and Ashleigh Grant, Analyst, Macro Credit Research, RBS


Volume 8 Number 2 (Spring 2015)

  • Editorial: The FSB, BCBS and SIFIs and why partnership is required
    Allan Grody, President, Financial Intergroup Holdings
  • A framework to analyze the sovereign credit risk exposure of financial institutions
    Jide Lewis, Chief Economist, Economic Information and Publications Department, Bank of Jamaica
  • Challenges for systemic risk assessment in low-income countries
    Dimitri Demekas, Senior Economist and Mario Catalán, Senior Economist, Monetary and Capital Markets Department, International Monetary Fund
  • Stress testing focused aggregate model risk management
    Walter Young, Group VP, Chief Risk Data/Analytics Officer and Chief Liquidity Risk Officer for Risk Management, Yan Shi, VP, Regulatory Affairs and Capital Adequacy and Ran Cao, Regulatory Affairs and Capital Adequacy Group, M&T Bank
  • Liquidity effects in banks’ capital allocation decisions
    Wenersamy Ramos de Alcantara, Researcher, Central Bank of Brazil
  • A volatility-based single parameter LGD model
    Hank Yang, Risk Specialist, Office of the Superintendent of Financial Institutions, Canada
  • How relevant are the Basel capital reforms for sub-Saharan Africa?
    Martin Brownbridge, Economic Advisor to the Governor, Bank of Uganda
  • Facing the interest rate challenge: A key risk management issue for insurers
    Astrid Frey, Senior Economist and Deputy Head of Economic Research & Consulting, Swiss Reinsurance Company


Volume 8 Number 1 (Winter 2015)

  • Editorial: Accounting for the cost of risk management in a risk capital as commons framework
    David Koenig, Chief Executive Officer, The Governance Fund
  • Early warning signals and systems for liquidity risk
    Terry Benzschawel, Managing Director, Institutional Clients Group, Citigroup
  • Exploring the use of Kelly Criterion for Basel Capital Requirement: An optimal and countercyclical approach
    Max Wong, Head of VAR Model Testing, Royal Bank of Scotland
  • Stress testing of credit portfolios in light- and heavy-tailed models
    Michael Kalkbrener, Director, Deutsche Bank and Natalie Packham, Assistant Professor, Quantitative Finance, Frankfurt School of Finance
  • Should systemically important financial institutions protect themselves from systemic risk?
    Federico Galizia, Head of Risk and Portfolio Management, European Investment Fund
  • The Single Supervisory Mechanism: Ready to take over banking supervision in the Euro area?
    Thomas Dietz, Professor, Deutsche Bundesbank
  • Lessons learned from AQR: Essential elements of the model review process
    Mark Beinker, Partner, Yuri Ivanov, Manager, Andreas Mainik, Manager and Irina Ursachi, ‎Senior Consultant, d-fine
  • Managing risk in a creepy world
    Didier Sornette, Professor, Chair of Entrepreneurial Risk, ETH Zurich and Peter Cauwels, Managing Partner, Vermec and Senior Researcher, Chair of Entrepreneurial Risk, ETH Zurich