Volume 9 (2016)

Each volume of Journal of Risk Management in Financial Institutions consists of four quarterly 100-page issues. The articles published so far in Volume 9 are:

Volume 9 Number 4 (Autumn 2016):

Special issue: Asset and liability management in risk management
Guest editors: Edward Bace and Chris Westcott

  • Editorial: Asset and liability management in financial institutions
    Edward Bace, Senior Lecturer, Middlesex University Business School & Chris Westcott, Head of Faculty, Bank Treasury Risk Management Certificate
  • Bank’s asset and liability management: A chief risk officer’s perspective
    Venkatesh Kallur, Vice President - Head of ERM, Risk Strategy & Architecture, Bank Al Jazira
  • Bank profitability: Liquidity, capital and asset quality
    Edward Bace, Senior Lecturer, Middlesex University Business School
  • Expected loss provisioning under upcoming IFRS 9 Impairment Standards: A new source of P&L volatility — can we tame it?
    Wolfgang Reitgruber, FVP, Group Credit Risk Modelling, UniCredit
  • Challenges in implementing a robust rates transfer pricing framework
    Juan Ramirez, Director, Deloitte
  • Rethinking banking: How to fit bank business models to regulatory constraints
    Fernando de la Mora, Managing Director and Head, Alvarez & Marsal & Paul Sharma, Managing Director, Alvarez & Marsal
  • Towards a 3-D model of risk management: Why is the current focus on culture, conduct and senior management having so little impact?
    Gary J. Storer, CEO and Founder, Enterprise Learning Ltd
  • Managing interest rate risk in the banking book using an optimisation framework
    Bogie Ozdemir, Chief Risk Officer and Executive Vice President, Canadian Western Bank & Gokul Sudarsana, Director, Own Risk & Solvency Assessment and Internal Models, Sun Life Financial
  • Regress under stress: A simple least-squares method for integrating economic scenarios with risk simulations
    Dan Rosen, Visiting Researcher and first Director of the Centre for Financial Industries, Fields Institute & David Saunders, Associate Professor, Department of Statistics and Actuarial Science, University of Waterloo
  • Comments on Risk Accounting
    Professor Julian Williams, Chair in Accounting and Finance, Durham University Business School, Roger Chen, Vice President and Chief Risk Officer of Annuities, New York Life Insurance, Madelyn Antoncic, Executive Director and Global Head of Official Sector Partnerships, Principal Global Investors, Adam Litke, Chief Risk Strategist and Head of Enterprise Risk Services, Bloomberg, Mark Abbott, Managing Director and Head of Quantitative Risk Management, Guardian Life Insurance Company of America & Robert Mark, Founding Partner of Black Diamond Risk Enterprises and Founding Executive Director of the MFE Program at UCLA Anderson School of Management

Volume 9 Number 3 (Summer 2016)

  • Editorial: Managing model risk
    Bob Mark, Chief Executive Officer, Black Diamond
  • Fixing prompt corrective action
    Paul Kupiec, Resident Scholar, American Enterprise Institute for Public Policy Research
  • Risk accounting - part 2: The risk data aggregation and risk reporting (BCBS 239) foundation of enterprise risk management (ERM) and risk governance
    Allan D Grody, President, Financial InterGroup  &  Peter J. Hughes, Advisory Board, Durham University Business School’s Banking
  • Point-in-time loss-given default rates and exposures at default models for IFRS 9/CECL and stress testing
    Gaurav Chawla, Senior Consultant of Models and Methodologies, Aguais and Associates, Lawrence R Forest, Jr., Head of Research, Aguais and Associates and Scott D Aguais, Managing Director, Aguais and Associates
  • An investigation of hypothetical variance-covariance matrix stress-testing
    Quintin Rayer, Chartered Fellow, Chartered Institute for Securities and Investments
  • Causal analysis of operational risk for deriving effective key risk indicators
    Lasse B. Andersen, Professor II in Risk Management, University of Stavanger, David Häger, Associate Professor II in Risk Management, University of Stavange & Hilde B. Vormeland, PhD Candidate, Operational Risk Management in Financial Institutions, University of Stavanger
  • Book review: Value and Capital Management. A Handbook for the Finance and Risk Functions of Financial Institutions by Thomas C. Wilson
    Reviewed by Krzysztof Jajuga, Professor of Economics and Finance, Wroclaw University of Economics

Volume 9 Number 2 (Spring 2016)

  • Editorial: Risks of regulation
    Joshua Cohn, Head of the US Derivatives Practice and Co-head of Global Practice, Mayer Brown LLP
  • Behavioural insights for improving the practice of risk management
    Hersh Shefrin, Mario Belotti Professor of Finance at Santa Clara University
  • Risk governance of financial institutions: The growing importance of risk appetite and culture
    Walter Gontarek, researcher, Cranfield School of Management; CEO, Channel Capital Advisors
  • Risk Accounting - Part 1: The risk data aggregation and risk reporting (BCBS 239) foundation of enterprise risk management (ERM) and risk governance
    Allan D. Grody Founding Editorial Board member, Journal of Risk Management in Financial Institutions and Peter J. Hughes, Managing Director, Financial InterGroup (UK) Ltd
  • Strategic risk management: The failure of HBOS and its regulators
    Patrick J. McConnell, Honorary Fellow at Macquarie University Applied Finance Centre
  • The FinTech revolution: Quantifying earnings uncertainty and credit risk in competitive business environments with disruptive technologies
    Jorge R. Sobehart, Managing Director, Citi Franchise Risk Architecture
  • A quantitative model to articulate the banking risk appetite framework
    Cinzia Baldan, Associate Professor in financial intermediaries at the Department of Economic and Managerial Sciences ‘M. Fanno’ at the University of Padova (Italy) et al
  • Book Review: Key Risk Indicators
    Reviewed by Krzysztof Jajuga

Volume 9 Number 1 (Winter 2015 - 2016)

  • Editorial: Strategic ALM: The future of bank risk management
    Moorad Choudhry, Chief Executive Officer, Habib Bank AG Zurich and Faculty, Kent University Business School
  • Interview: What it takes to lead in risk management.  An interview with Madelyn Antoncic, Member of the Operating Committee, Principal Global Investors, former VP and Treasurer of the World Bank and Former CRO, Lehman Brothers
    Interview conducted by Allan Grody, Editorial Board, Journal of Risk Management in Financial Institutions
  • The influence of systemic importance indicators on banks’ credit default swap spreads
    Jill Cetina, Associate Director of Policy Studies, Office of Financial Research and Bert Loudis, Financial Analyst, Office of Financial Research
  • Stress testing convergence
    German Gutierrez Gallardo, NYU Stern Business School, Til Schuermann, Partner, Oliver Wyman and Michael Duane, Partner, Oliver Wyman
  • Big data in risk management
    Dilip Krishna, Director, Deloitte & Touche
  • Managing non-financial risks: A new focus area for executive and non-executive board members
    Thomas Kaiser, Director, KPMG
  • Trade finance as a financial asset: Risks and mitigants for non-bank investors
    Robert M Kowitt, Senior Vice President, Federated Investors, William May, Senior Vice President, GARP and Erick Rengifo, Associate Professor, Fordham University
  • Does risk culture matter?  The relationship between risk culture indicators and stress test results
    Sebastian Fritz-Morgenthal, Partner, LEADVISE Reply, Julia Hellmuth, Account Manager, SEB AG and Natalie Packham, Assistant Professor, Frankfurt School of Finance & Management
  • Low RWA but high GNPA?  Risk performance of some Indian banks under Basel II-SA
    Anjan Roy, Associate Professor, National Institute of Bank Management
  • Book review: Country and Political Risk, Edited by Sam Wilkin, Risk Books
    Reviewed by David Bobker, Malaysia University of Science and Technology

 

Further articles scheduled for publication in Volume 9 can be seen in the list of forthcoming content at http://www.henrystewartpublications.com/jrm/forthcoming