Dr. Michael J. McNamara critiques Riccardo Rebonato’s Plight of the Fortune Tellers: Why We Need to Manage Financial Risk Differently.

Igor Zax, a managing partner at the boutique merchant bank SCF Capital, has worn many different hats over the past 15 years. He has worked for Citibank, Daiwa Securities and Eurohypo, among other firms, in areas such as credit research, structured finance and public finance. Recently, GRR contributor Robert Bothwell ... click here for more details.

Senior risk management executives — particularly the chief risk officer — have assumed greater responsibilities in recent years. Whereas CROs were once considered compliance specialists, most now wield board-level power and are heavily involved in areas like governance, capital allocation, data management, internal reporting and group-level budgeting and planning. What’s ... click here for more details.

Assessing the risks of a collateralized debt obligation (CDO) is a significant challenge. Multiple factors, including the market value and value-at-risk of a CDO, must be taken into account. Dr. Marco Folpmers examines the risks of structured products, identifies the differences between a single-tranche and multi-tranched CDO and explains how ... click here for more details.

What is capital-at-risk, and what steps does a financial institution have to take to develop a method for aggregating this statistical measure? And why is it crucial to consider diversification effects when developing such a method? Using a hypothetical portfolio of a bank-insurance conglomerate, Peter-Paul Hoogbruin offers a blueprint for ... click here for more details.

Probability of default, exposure-at-default and loss-given default are among the factors that must be considered when developing an economic capital model. Dr. Aurele Houngbedji breaks down the parameters of an EC model and provides advice on how to estimate and allocate the EC of a loan portfolio.

Why is it important to differentiate between large stresses and moderate stresses? How does the uncertainty principle of risk management factor into stress test sizing? And what role does value-at-risk play? Aaron Brown describes the elements of a stress test and explains why size matters.

The effectiveness of counterparty credit risk management is partly dependent of the accuracy of counterparty exposure calculations. Dr. Natalie Schoon examines the large gap that still separates intra-day and overnight exposure calculations and tells us how the accuracy of current methods can be improved.

The emergence of so-called contingent credit-default swaps (C-CDS) has given derivatives dealers a new tool for hedging counterparty credit risk. Pablo Triana explains the benefits of C-CDS and explores the overall state of counterparty credit risk management in the over-the-counter derivatives industry.

What types of compensation packages are being offered to risk professionals working in the energy risk and technology risk sectors? And what trends are driving growth in these sectors? GRR breaks down the interesting findings of a pair of recent risk management compensation surveys.