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Portfolio Management research

24 research papers

Forming FRTB action plans: Tactical vs. Transformational

The formal phase of consultations between banks and regulators on FRTB has ended, and the biggest change to market risk capital requirements in over a decade has been finalized. Now banks are in a race against the regulatory deadline, and must choose the most efficient path to overhaul their risk…

IFRS 9 Technology Solutions 2016

IFRS 9 is a high impact symbolic, operational, IT and organizational transformation event for Finance and Risk: an arranged marriage that is turning an uncomfortable courtship and good intentions into a powerful successful partnership that is greater than the sum of its parts. It is one of a few…

Leading Practices in Capital Adequacy

The evolving regulatory landscape means that financial institutions (FIs) are implementing huge structural changes. This research sets out to understand the current standing, issues and challenges organizations are facing in implementing capital adequacy, stress testing, model risk management,…

Liquidity Risk Management Systems 2014

The financial markets are still suffering from the 2008-2011 crisis. Over the last few years institutions have been painfully reminded of the fundamental link between risk and profitability. Regulatory pressure and scarcity of capital are highlighting the need for financial institutions (FIs) to…

Capital Planning Survey 2012

The impact of the financial crisis on banks has been twofold, both generally, and specifically with regard to capital management. Firstly, banks have been forced to re-examine the way they do business and their underlying assumptions about how to measure risk, performance, and success. Secondly,…

Liquidity Risk Management Systems 2011

In an effort to understand the causes of the global economic crisis, regulators are sharply focused on financial institutions’ (FIs) management of liquidity risk. Consequently, it is that focus that is driving FIs’ expenditure on liquidity risk management and Asset Liability Management (ALM)…