systemic risk

SCI Risk Transfer & Synthetics Seminar

Monday, March 5, 2018
SCI’s Synthetic Securitisation Seminar provides an in-depth exploration of how synthetic securitisation is being utilised to transfer risk, achieve capital relief and create bespoke investment opportunities in the post-financial crisis environment. ... read more

Basel III and Systemic Risk

Monday, January 25, 2016

by Quantifi

One of the key shortcomings of the first two Basel Accords is that they approached the solvency of each institution independently. The recent crisis highlighted the additional ‘systemic’ risk that the failure of one large institution could cause the failure of one or more of its counterparties, which could trigger a chain reaction. Basel III addresses this issue in two ways. Firstly by significantly increasing capital buffers for risks related to the interconnectedness of the major dealers. Secondly by incentivising institutions to reduce counterparty risk through clearing and active management (hedging). Since Basel III may not explicitly state how some of the new provisions address systemic risk, some analysis is necessary.

Q&A with Amy Wierenga, Head of Risk Management at BlueMountain Capital Management

Wednesday, January 28, 2015

"An important objective for risk frameworks supporting multi-strategy funds is that they work well for single strategy risk analysis while also enabling coherent fund-level risk aggregation. We have found that a scenario-centric approach provides an effective and flexible foundation for doing so". Read More

Basel III & Systemic Risk

Thursday, July 11, 2013

The recent crisis highlighted the additional ‘systemic’ risk that the failure of one large institution could cause the failure of one or more of its counterparties, which could trigger a chain reaction. Since Basel III may not explicitly state how some of the new provisions address systemic risk, some analysis is necessary. Quantitative studies have shown limited impact of the higher capital requirements on the real economy, though banks may choose to curtail or exit certain lending businesses if the returns are too low. Read More

Conversation with Arne Loftingsmo, Portfolio Manager for KLP Kapitalforvaltning AS

Wednesday, March 6, 2013

KLP Kapitalforvaltning AS is the asset management subsidiary of KLP, one of Norway’s largest insurance companies, KLP provides insurance to municipalities and public sector businesses with 320 billion NOK under management. KLP is mutually owned by its customers and have over 800 employees.  Read More