This paper puts forward a dual-layer approach to climate risk management with utilises root cause-based analysis and severity ...

Hedge funds are reloading their short dollar bets – with a few new twists – ahead of US Federal Reserve chairman Jerome Powell’s highly anticipated keynote speech at the central bank’s annual Jackson ...

For years, senior staff of the Bank of England have been warning about the systemic risks posed by excessively leveraged non-bank financial firms. The tariff-driven market volatility in April showed ...

Mitsubishi UFJ Financial Group (MUFG) offloaded 27.1% of its available-for-sale (AFS) Japanese government bond (JGB) portfolio in the second quarter, bringing holdings to their lowest level in more ...

The author applies the Bernoulli distribution to an extrapolation of the capital provision that does not take into account ...

Markets Taco trades and fake news fatigue Is another era of ‘will he, won’t he’ numbing rates and FX traders to its jeopardy?

This paper discusses a new estimator for probability of default and compare its performance against two alternative ...

Swaptions and constant maturity swap spread options are essential to calibrating interest rate models yet remain computationally demanding. Toufik Bellaj, Khalid Bellaj and Hicham Nait Yahia propose a ...

Repo market participants are calling for regulators not to drag special collateral repo into the growing discussion around ...

Henry Penikas (Doctor of economic sciences) is a project manager at the Bank of Russia (BoR) Research and Forecasting Department, having initially worked for two years within the BoR Banking ...

This paper uses a large number of earnings events from which the subset of outcomes for which the price strongly increased or ...

Andrzej R. Stopczyński, PhD  is an experienced risk management professional and academic, currently serving as an Associate Professor at the Institute of Finance at the University of Łódź. He also ...