Economic capital modelling is a controversial approach that some financial institutions use to estimate extremely high percentiles (typically 99.5%, 99.9% or higher) of overall loss distribution. But what is the true value of the this approach? Is it a flawed strategy crippled by insufficient data? Or is it a critical component ... click here for more details.

Contemporary pension plans must hurdle a variety of political and cultural obstacles to implement effective risk management frameworks, but there is light at the end of the tunnel. Dr. Susan M. Mangiero dissects this evolving landscape and offers practical advice on risk controls, technology and staffing.

The rapidly growing credit derivatives market has made it increasingly complex for credit risk managers to accurately measure credit exposures. Moritz P. Mielke analyzes the challenges posed by extracting credit exposures from structured credit products, offers advice on how to measure the true impact of defaults and explains the qualities ... click here for more details.

How can a large bank create an optimal credit portfolio model using Basel II’s internal ratings-based approach? What constraints must be taken into account to build a model that minimizes risks and maximizes returns? Gedson Oliveira Santos and Pedro Schirmer analyze optimization challenges and present a solution.

Credit risk officers are less honorable and accountable than they have been in the past, and they rely far too much on technology. These are just some of the interesting opinions a long time credit risk manager recently shared with GRR contributor Robert Bothwell. Speaking on the condition of anonymity, ... click here for more details.

Editors Letter Economic Capital: A Worthwhile Pursuit?

The Greed Merchants: How Investment Banks Played the Free Market Game

From his stint in the Belgian Army to his rise to fame as one of the founders of RiskMetrics to his migration to Putnam Investments, Jacques Longerstaey — a managing director in charge of the risk portfolio and analysis team at Putnam and GARP’s Risk Manager of the Year for ... click here for more details.

From an operational risk perspective, automated trading is certainly less risky than manual, phone-based trading. However, online trading systems are not infallible. Narasimha Rao analyzes the biggest risk challenges in an online environment and explains exactly how automated trading mitigates operational risk.

Validation is one of the largest remaining hurdles for banks looking to achieve Basel II compliance. But how exactly can banks verify the effectiveness of their ratings systems and what challenges do they face? Vidyasagar Pulavarti identifies and analyzes the key qualities of an effective validation framework.