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Risk.net Insurance payouts could allow banks to pare back capital without equivalent reduction in risk, says paper Banks could be left without sufficient capital to cover fat-tailed risks such as a natural disaster Print this page   Recent research has reignited debate over how banks use insurance to reduce operational risk capital, with experts warning that incoming rules may encourage firms to “arbitrage” the system. The standardised approach for operational risk allows banks to deduct insurance payouts from their op risk capital calculation. Marco Migueis, an economist wit...

The coronavirus pandemic is no longer the biggest tail risk in the eyes of fund managers, with the potential for an inflationary spike leading concerns in the latest fund manager survey from Bank of America (BofA). BofA's March survey shows that, for the first time since February 2020, the pandemic is not managers' number one tail risk concern, having been surpassed by inflation and taper tantrums, which were identified... Sign In

Investment Week is hosting its Global Emerging Markets Briefing at a pivotal time for investors as they start to position for the recovery from the Covid-19 pandemic, although risks remain. During this interactive briefing, we will hear from a number of global emerging market managers about their response to the extraordinary events of the past year and their outlook for the rest of the year and beyond. The managers will identify where they are seeing the biggest opportunities and risks at the moment in emerging markets and explain the role their strategies could play in client portfolios. At...

Risk.net Risk Awards 2021: credit specialist proved its worth in the Covid crisis Boaz Weinstein In late 2019, Boaz Weinstein was seeing mispricings in credit markets on a scale he’d never seen before – the kind of twisted values that meant spreads on Sabre, a newfangled travel-tech company, were the same as for a solid credit like fast-food chain McDonald’s. “In my career, I had never seen such a tight packing between double-Bs that you would want to short and single-As you’d want to go long,” he says. By the end of the year and in the opening weeks of 2020, one of the main trade...

Data-based tail modeling for risk assessment. Automation and improvement of risk assessment in risk management. Abstract In risk management, tail risks are of crucial importance. The quality of a tail model, which is determined by data from an unknown distribution, depends critically on the subset of data used to model the tail. Based on a suitably weighted mean square error, we present a completely automated method that can separate the required subset of data to model the tail. The selected data are used to determine the parameters of the tail model. Notably, no parameter specifications hav...