Financial services insights and white papers

Services Mastering change: why do banks find it hard? James Clash explores the shift from strategic technology-tied projects to a focus on organisational agility.
Comment Brexit and the City: why we need a decisive approach There's a lot of head scratching going on right now about how the City will be impacted by the EU negotiations and whether business will migrate to the continent.
Services Financial Procurement in the age of disruption Attitudes around bank’s spending on professional services have changed in recent years. Jason McIntosh examines how internal Procurement can up its role as a value creator.
Services Model design, build and management Model inventory as an enterprise enabler. ‘The aim is to help organisations lower cost while identifying and eliminating model risk throughout the lifecycle, resulting in an industrialised yet adaptable modelling framework. When new models are required, these can be designed, built, managed and run with total confidence.’
Services UX design and front office transformation Strategic change: UI legacy trade capture systems integration.

A Simple Traffic Light Approach To Backtesting Expected Shortfall

Abstract. We propose a Traffic Light approach to backtesting Expected Shortfall which is completely consistent with, and analogous to, the Traffic Light approach to backtesting VaR initially proposed by the Basel Committee on Banking Supervision in their 1996 consultative document [5]. The approach relies on the generalised coverage test for Expected Shortfall developed in [6]. By Nick Costanzino and Michael Curran

White paper

Prices of barrier and first-touch digital options in Lévy driven models, near barrier

This paper describes the calculation of the asymptotics of barrier options and one-touch options near the barrier for wide classes of Lévy processes. In the case of processes of infinite activity and finite variation, with the drift pointing from the barrier, the authors prove that the price is discontinuous at the barrier. This observation can serve as the basis for a simple, robust test of the type of processes observed in the financial markets. By Mitya Boyarchenko, Marco de Innocentis and Sergei Levendorskii

White paper

Taking risk to the top office

Following the billions of dollars in subprime writedowns, banks continue to look at how best to organise the risk management function. Steve White makes a far-reaching proposal. By Steve White

White paper

Towards a global valuation model

Banks use a variety of pricing models across business lines, creating discrepancies in the way various financial instruments are priced. But developments in high throughput computing could lead to the possibility of a global valuation model. By Claudio Albanese, Guillaume Gimonet and Steve White

Riskcare Facts 10%

The world’s biggest investment banks’ revenues have fallen 10% per year since 2009, yet costs have dropped just 1% per year. →

Riskcare Facts 70%

In 2010 industry experts estimated data management and data cleansing costs alone were consuming 70% of the risk management TCO. →