How can NRSRO severity ratings improve internal credit loss estimation?
How can a firm substantiate, through a principle-based approach, that a hedge derivative isn't speculative?
Dodd-Frank elminated the use of credit agency ratings in capital calculations, yet Basel liquidity rules rely on them for securitizations. What substitutes are viable and how can credit models adapt?
U.S. regulatory rules do not always require capital to cover counterparty credit risk in credit derivatives. Should an economic model?
With substantial interbank lending, how should "too big to fail" legislation affect credit default & loss modeling?
Matrix pricing can misrepresent security valuation in an index. How should a portfolio reporting solution adjust?
Capital quality initiatives, such as leverage ratios, will further de-lever bank balance sheets. How will financial modelers need to adjust bond spreads?
In tight credit markets, how should investment managers adjust their ROI on leveraged private equity investments?
How can assumptions about skewness and kurtosis in investment returns improve Sharpe ratio analysis?
If Fannie and Freddie dissolve and lenders are forced to pay the government insurance premiums to guarantee mortgage securities, how could loan pricing adjust?
How should pricing models adjust for access to dark trading pools?
What internal processes are necessary to support securitization modeling for Special Purpose Entities and Asset Backed Commercial Paper conduits?
How should back-testing calibrate a VaR model?
How should asset class correlation models adjust to data from the 4th Quarter of 2008? What are the effects on Modern Portfolio Theory?
The net stable funding ratio will likely diminish the market for short term funding, such as commercial paper. How will this rule affect modeled forward spreads on longer maturity corporate debt?
How can securitization issuance volume contribute as a model variable for market liquidity risk quantification?
How can offshore, private equity, and hedge funds build the infrastructure to meet regulatory reporting and internal control requirements under Dodd-Frank?
How can a liquidity risk model include an estimate of funding concentration risk?
What's the best method for estimating liquidity haircuts for assets other than cash and sovereign debt?
Short interest and pricing provides important market information. With a ban on short sales, what substitutes can market participants utilize?
How can empirical requirements for “significant losses” in the trading book improve the accuracy of a stressed VaR calculation?
Past regulation addressed ABCP programs as securitizations. How can risk models adjust to new wrinkles such as CDO SIVs with parent guarantees?
Regulatory reform could include increased capital minimums and a conservation buffer that restricts dividends and stock buy backs in times of distress. How should equity pricing models adjust?
ISDA eliminates restructuring as a credit event. How should pricing and credit models for credit default swaps change?
How should a risk model adjust to changes in book value and cash flow from a preliminary loan modification?
Client account trading can circumvent the Volcker rule. What are the implications for monitoring market and concentration risk?
How can a custody business hedge against a ban on short selling?
When exchange clearing is unnecessary, how can a firm support federal monitoring requirements for OTC derivatives contracts?
How can a firm adhere to a common fiduciary standard for investment advisors and broker-dealers and related evidentiary reporting?
With updated regulatory requirements for liquidity risk, how can firms take advantage of thinly traded securities?
How can regression analysis help construct portfolios on the efficient risk frontier?
How can valuation and liquidity models improve with issuer disclosure of asset quality in ABS securitizations?
How can firms reposition their collateral inventories to meet requirements for liquidity buffers?