This paper analyses the relationship between option-implied, risk-neutral forecasts and their real-world counterparts through ...

Mamiko Yamashita received her Ph.D. from Toulouse School of Economics, University of Toulouse Capitole, in 2010. She has been a lecturer at Osaka School of International Public Policy, The University ...

This paper presents a fast, nonparametric algorithm for VaR and CVaR estimation that remains accurate for an arbitrarily ...

A plan released for consultation on July 7 would make more of the capital buffers banks hold on top of required minimums ‘releasable’, meaning they can be lowered to 0% at the regulator’s discretion, ...

US regional banks’ accumulated other comprehensive income (AOCI) losses widened in the second quarter of 2026, as rising long-term interest rates put renewed pressure on the value of fixed-rate ...

The Markets Technology Awards recognise the work of tech vendors as part of Risk Awards 2027 – the risk transfer market’s most prestigious awards. The awards winners are decided by a judging panel, ...

Congress added curbs to institutional property ownership; insurers are more interested in the underlying loans ...

Revisions to US capital rules underestimate correlations within loan pools and across CLO portfolios, some argue ...

The European Insurance and Occupational Pensions Authority is facing accusations of double standards over its handling of an ...

JP Morgan’s standardised capital calculation became binding for its Common Equity Tier 1 (CET1) ratio again in the second quarter, after the bank’s regulator-set risk-weighted assets (RWAs) rose by ...

On July 8, users of Nasdaq’s Smarts software received an email. It said – not in these words – that the software had not been doing its job. That’s a problem, because Smarts has a big job. The ...

Clearing members have welcomed changes made by Hong Kong Exchanges and Clearing (HKEX) to the rates paid on posted collateral ...