Risk.net - Financial Risk Management News Analysis
Data insights, delivered daily. Risk Quantum tracks thousands of data points across hundreds of metrics from organisations that represent a cross-section of the financial system. Published daily, articles are short and broken into chunks – the facts, the context and a brief commentary – and use data visualisations to get each story across.
Total loss-absorbing capacity (TLAC) definition - Risk.net
Jan 1, 2022 · Total loss-absorbing capacity is an international standard, finalised by the Financial Stability Board (FSB) in November 2015, intended to ensure that global systemically important banks (G-Sibs) have enough equity and bail-in debt to pass losses to investors and minimise the risk of a government bailout. From January 1, 2022, G-Sibs are required to hold a TLAC amount of 18% in terms of risk ...
Risk Learning – Training and Development for Risk Professionals
Interactive learning. Learn through engaging workshops, case studies, inspiring presentations, simulations and Q&A sessions. Our courses are delivered in formats including user-friendly online sessions, in-person in financial hubs worldwide and via immersive e …
Quant Finance Master's Guide 2023 - Risk.net
May 23, 2023 · View 2023 full rankings. Welcome to the latest edition of Risk.net’s guide to the world’s leading quantitative finance master’s programmes, and ranking of the top 25 courses.. Fifty programmes feature in the 2023 edition of the guide, with the top 25 ranked according to Risk.net’s proprietary methodology.Click on an institution’s entry in …
Value-at-risk (VAR) definition - Risk.net
Value-at-risk is a statistical measure of the riskiness of financial entities or portfolios of assets. It is defined as the maximum dollar amount expected to be lost over a given time horizon, at a pre-defined confidence level. For example, if the 95% one-month VAR is $1 million, there is 95% confidence that over the next month the portfolio will not lose more than $1 million.
Risk-free rate (RFR) definition - Risk.net
The risk-free rate is the theoretical rate of return on an investment with zero risk. As such, it is the benchmark to measure other investments that include an element of risk.Government bond yields are the most commonly used risk-free rates for assets. Libor is a widely used proxy for a risk-free rate for swaps and bonds. But as a result of rigging controversies and a lack of relevant ...
Risk-weighted assets (RWAs) definition - Risk.net
Risk-weighted assets are used to determine the minimum amount of regulatory capital that must be held by banks to maintain their solvency. This minimum is based on a risk assessment for each type of bank risk exposure: credit, market, operational, counterparty and credit valuation adjustment risks. The riskier the asset, the higher the RWAs and the greater the amount of regulatory capital ...
Supplementary leverage ratio (SLR) definition - Risk.net
The supplementary leverage ratio is the US implementation of the Basel III Tier 1 leverage ratio, with which banks calculate the amount of common equity capital they must hold relative to their total leverage exposure. Large US banks must hold 3%. Top-tier bank holding companies must also hold an extra 2% buffer, for a total of 5%. The SLR, which does not distinguish between assets based on ...
Risk management news and analysis articles - Risk.net
By Janice Kirkel. Data insights, delivered daily. i. Risk Quantum finds insights in data. The service tracks the public disclosures of over 120 banks, funds, insurers, corporates, and central counterparties – as well as reports from prudential and markets regulators – in …
VAR versus expected shortfall - Risk.net
Mar 1, 2007 · Expected shortfall, like VAR, is a function of two parameters: N (the time horizon in days) and X % (the confidence level). It is the expected loss during an N -day period, conditional that the loss is greater than the X th percentile of the loss distribution. For example, with X = 99 and N = 10, the expected shortfall is the average amount ...