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Robust and Stable Capital Allocation: Wilmott Magazine Article
Bernd Appasamy, Anne Kleppe, Christian Oehler 290 Views

Capital allocation of credit risk is one of the key concepts of modern value based bank management. In order to conduct business decisions according to some risk-reward relationship the reliability of capital allocation figures on transaction level is most critical. Conventional allocation techniques like volatility contributions or credit value at risk (CVaR) are either non-coherent or fail to achieve the numerical stability needed for bank management decisions

A VaR-based Model for the Yield Curve: Wilmott Magazine Article
Ruben D. Cohen 2311 Views

An intuitive model for the yield curve, based on the notion of value-at-risk, is presented. It leads to interest rates that hedge against potential losses incurred from holding an underlying risky security until maturity. This result is also shown to tie in directly with the Capital Asset Pricing Model via the Sharpe Ratio.

RiskMinds International 2015 - 7-11 December 2015 - Amsterdam - 10% Wilmott discount
RiskMinds International 2015
7 - 11 December 2015
Okura Hotel, Amsterdam


10% Wilmott discount code: FKN2436WLW

Now in its 22nd year, RiskMinds International is the world's leading risk management conference and is fully established as the most senior gathering of the global risk management community.
600+ CROs, global Supervisors, renowned Academics and expert industry Practitioners will gather together this December to discuss the strategic, practical, regulatory and technical elements impacting risk management today.

Just some of the industry leading speakers on the line-up this year include:

Marc Moses, Group Chief Risk Officer, HSBC HOLDINGS
Wilfred Nagel, CRO, ING GROUP
Nassim Nicholas Taleb, Distinguished Professor Of Risk Engineering, Polytechnic Institute, NEW YORK UNIVERSITY
Stefan Walter, Director General, Macroprudential Supervision I, ECB
Hon William Hague, Former Conservative Party Leader, Foreign Secretary & Leader Of The House Of Commons
Mike Johnson, Head Of Banking Regulation & Supervision, FEDERAL RESERVE BANK OF ATLANTA
Elke König, Chair, Single Resolution Board, FINANCIAL STABILITY BOARD
Rick Bookstaber, Chief Risk Officer & Managing Director, Office Of The Chief Investment Officer, UNIVERSITY OF CALIFORNIA BOARD OF REGENTS
Lakshmi Shyam-Sunder, Vice President & CRO, WORLD BANK GROUP
Piers Haben, Director Of Oversight, EUROPEAN BANKING AUTHORITY
John Hulsman, Geo-Political Risk Expert; Senior Columnist, CITY AM & Life Member COUNCIL ON FOREIGN RELATIONS
David Rule, Executive Director, Prudential Policy Directorate, BANK OF ENGLAND
Paul Embrechts, Professor Of Mathematics & Director Of RiskLab, ETH ZURICH

For details of the 2015 programme and expert speaker list to date, please visit the website: http://www.riskmindsinternational.com/FKN2436WLW

Don't miss details of the Global Risk Regulation Summit and the 6 Workshops we have on this year, covering: Value & Capital Management; Credit Risk; Cyber Security; Stress Testing; XVA and Risk Management In The Real World.

You can get a 10% discount when you quote the VIP code: FKN2436WLW

For more information or to register please contact the ICBI team on +44 (0) 20 7017 7200, email info@icbi.co.uk or book online: http://www.riskmindsinternational.com/FKN2436WLW
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