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Nematrian Reference Library

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AAA (2002)Fair Valuation of Insurance Liabilities: Principles and Methodshere
AAA (2011)On Risk Classificationhere
AAA (2013)Insurance Enterprise Risk Management Practiceshere
AAE (2016)Negative Interest Rates and Their Technical Consequenceshere
Aabo, T., Fraser, J. and Simkins, B. (2005)The Rise and Evolution of the Chief Risk Officer: Enterprise Risk Management at Hydro Onehere
Abad, J. and Suarez, J. (2016)A recursive model for the assessment of the cyclical implications of IFRS 9here
Abarbanel, H.D.I. and Brown, R., Sidorowich, J.J. and Tsimring, L.S. (1993)The analysis of observed chaotic data in physical systemshere
ABI (2013)Funds held in Life and Pension products in 2012here
Abourashchi, N., Clacher, I., Freeman, M.C., Hillier, D., Kemp, M. & Zhang, Q. (2014)Pension plan solvency and extreme market movements: a regime switching approachhere
Abramowitz, M. and Stegun, I. A. (1970)Handbook of mathematical functionshere
Acharya, V.V., Pedersen, L.H., Philippon, T. and Richardson, M. (2010)Measuring Systemic Riskhere
Acharya, V.V. and Pedersen, L.H. (2005)Asset pricing with liquidity riskhere
Acklam (2005)An algorithm for computing the inverse normal cumulative distributionhere
VariousActuarial books rated highly on Amazonhere
Adrian, T. and Brunnermeier, M.K. (2011)CoVaRhere
Ai, J., Brockett, P.L., Cooper, W.W. and Golden, L.L. (2008)Enterprise Risk Management Through Strategic Allocation of Capitalhere
AICPA (2007a)Measurement of Fair Value in Illiquid (or Less Liquid) Marketshere
AICPA (2007b)Consolidation of Commercial Paper Conduitshere
AICPA (2007c)Accounting for Underwriting and Loan Commitmentshere
Ait-Sahalia, Y., Cacho-Diaz, J. and Laeven, J.A (2014)Modelling Financial Contagion Using Mutually Exciting Jump Processeshere
Ait-Sahalia, Y., Laeven, J.A and Pelizzon, L. (2014)Mutual Excitation in Eurozone Sovereign CDShere
AFIC, BVCA and EVCA (2006)International Private Equity And Venture Capital Valuation Guidelines, October 2006 editionhere
Aharonov, Y., Albert, D.Z. and Vaidman, L. (1986)How the result of a measurement of a component of a spin one-half particle can turn out to be 100?here
Akkizidis, I and K. Luyten (2009)Solvency II and Liquidity Risk in Insurance Companieshere
Alexander, G.J. and Baptista, A.M. (2004)A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Modelhere
A&L Goodbody (2013)In Focus: Summary of the Alternative Investment Fund Managers Directive - AIFMDhere
A&L Goodbody (2014)In Focus: UCITS Vhere
Alves,I., Brinkhoff, J., Georgiev, S., Héam, J-C, Moldovan, I. and Scotto di Carlo, M. (2015)Network analysis of the EU insurance sectorhere
Almgren, R. and Chriss, N. (2001)Optimal execution of portfolio transactionshere
A M Best (2014)Best's Credit Rating Methodology: Global Life and Non-Life Insurance Editionhere
Amato, J. and Furfine, C. (2003)Are credit ratings procyclical?here
Ambachtsheer, K.P. (2007)Pension Revolution: A Solution to the Pensions Criseshere
Anand, K., Gaib, P. and Marsilic, M. (2011)Rollover risk, network structure and systemic financial criseshere
Anderson, N., Breedon, F., Deacon, M., Derry, A. and Murphy, M. (1996)Estimating and interpreting the yield curvehere
Anderson, T.G. and Bondarenko, O. (2007)Construction and Imterpretation of Model-Free Implied Volatilityhere
Anderson, T.W. and Darling, D.A. (1952)Asymptotic theory of certain “goodness-of-fit” criteria based on stochastic processeshere
Ang, A. and Bekaert, G. (2002a)International Asset Allocation with Regime Shiftshere
Ang, A. and Bekaert, G. (2002b)Regime Switches in Interest Rateshere
Ang, A. and Bekaert, G. (2004)How Regimes Affect Asset Allocationhere
Anghelache, G-V., Cozmanca, B-O. and Radu, A-N. (2011) here
Ang, A., Papanikplaou, D. and Westerfield, M. M. (2011)Portfolio Choice with Illiquid Assetshere
Ang, A. and Timmermann, A. (2011)Operational Risk Modelling and Capital Adequacy - Are There any Rewards in Greater Compexity?here
An, N. and Shi, X. (2012)Cognitive Ability and Psychological Biases: Perspective from Chinese stock individual investorshere
Apgar, D. (2006)Risk Intelligence: Learning to Manage What We Don't Knowhere
APRA (2013)Prudential Practice Guide: CPG 110 - Internal Capital Adequacy Assessment Process and Supervisory Reviewhere
Ariely, D. (2008)Predictably Irrational: The hidden forces that shape our decisionshere
Artzner, P., Delbaen, F., Eber, J. and Heath, D. (1999)Coherent measures of riskhere
Artzner, P., Delbaen, F. and Koch-Medina, P. (2009)Risk Measures and Efficient Use of Capitalhere
ASB (2008)Discussion Paper: The Financial Reporting of Pensionshere
ASB (2012a)Risk Evaluation in Enterprise Risk Management (Actuarial Standard of Practice No 46)here
ASB (2012b)Risk Treatment in Enterprise Risk Management (Actuarial Standard of Practice No 47)here
Auletta, K. (2009)Googled: The End of the World As We Know Ithere
Avellandeda M., Friedman C., Buff R, Granchamp N., Kruk L. and Newman J. (2001)Weighted Monte Carlo: A New Technique for Calibrating Asset-Pricing Modelshere
Ayers, R.U. and Warr, B. (2004)Accounting for growth: the role of physical workhere
Babbel, D.F., Gold, J. and Merrill, C.B. (2002)Fair Value of Liabilities: The Financial Economics Perspectivehere
Bajlum, C. and Larsen, P.T. (2007)Accounting transparency and the Term Structure of Credit Default Swap Spreadshere
Ballentine, R. (2012)Portfolio Optimization Theory Versus Practicehere
Balkema, A. and de Haan, L. (1974)Residual Life Time at Great Agehere
Bank of England (2008a)Exceptional Fine-Tuning OMOhere
Bank of England (2008b)Markets and operationshere
Bank of England (2008c)Financial Stability Report, October 2008here
Bank of England (2008d)Markets and operationshere
Bank of England (2009)Recovery and Resolution Plans - Remarks by Andrew Baileyhere
Bank of England (2011)Instruments of macroprudential policy: A discussion paperhere
Bank of England (2014a)An introduction to CBESThere
Bank of England (2014b)CBEST Implementation Guidehere
Bank of England (2014c)Financial Stability Report, June 2014here
Bank of England (2014d)Procyclicality and structural trends in investment allocation by insurance companies and pension fundshere
Bank of England (2015a)Financial Stability Report, July 2015here
Bänziger, H. (2010)We need a regime to wind down banks in an orderly wayhere
Baranova, Y., Liu, Z. and Noss, J. (2016)The role of collateral in supporting liquidityhere
Barfield, R. (2009)Risk appetite - How hungry are you?here
Barrie & Hibbert (2013)Market-Consistent Valuation of Sponsor Covenant and its use in Risk-Based Capital Assessmenthere
Barrow, J. (2003)The Constants of Naturehere
Barry, C. B. (1974)Portfolio Analysis under Uncertain Means, Variances and Covarianceshere
Barton, T.L., Shenkir, W.G. and Walker, P.L. (2002)Making Enterprise Risk Management Pay Off: How Leading Companies Implement Risk Managementhere
BAS (2009a)Technical Actuarial Standard D: Datahere
BAS (2009b)Technical Actuarial Standard M: Modellinghere
BAS (2010)Technical Actuarial Standard R: Reporting Actuarial Informationhere
Batsford, B.T. (2005)Kakuro Puzzle Bookhere
Bauer, D., Bergmann, D. and Reuss, A. (2010)Solvency II and Nested Simulations - a Least-Squares Monte Carlo Approachhere
Bauer College (2010a)Lecture Notes: Foreign Exchange Marketshere
Bauer College (2010b)Lecture Notes: The International Monetary Systemhere
Bauer College (2010c)Lecture Notes: Exchange Rates, Interest Rates, Prices and Expectationshere
Bauer College (2010d)Lecture Notes: Structural Models of Exchange Rate Determinationhere
Bauer College (2010e)Lecture Notes: Forecasting Exchange Rateshere
Bauer College (2010f)Lecture Notes: Currency Risk Management: Futures and Forwardshere
Bauer College (2010g)Lecture Notes: Currency Risk Management: Optionshere
Bauer College (2010h)Lecture Notes: Currency Risk Management at the Firm Levelhere
Bauer College (2010i)Lecture Notes: International Equity Marketshere
Bauer College (2010j)Lecture Notes: International Equity Markets: Factors, Interrelations and Integrationhere
Bauer College (2010k)Lecture Notes: Emerging Stock Marketshere
Bauer College (2010l)Lecture Notes: International Bond Marketshere
Bauer College (2010m)Lecture Notes: International Bond Markets: Pricing and Hedginghere
Bauer College (2010n)Lecture Notes: Swapshere
Bauer College (2010o)Lecture Notes: Eurocurrency Futures and Optionshere
Bauer, A.M and Brown, A. (2014)Quantitative assessment of appropriate technologyhere
Baxter, M. and Rennie, A. (1996)Financial Calculus: An introduction to derivative pricinghere
Baydin, A.G., Pearlmutter B., Radul, A.A. and Siskind, J.M. (2018)Automatic Differentiation in Machine Learning: a Surveyhere
Bazerman, M.H. and Watkins, M.D. (2008)Predictable Surprises: The Disasters You Should Have Seen Coming, and How to Prevent Themhere
BBA (website)LIBOR (GBP term and repo) datahere
BCBS (1988)Basel Committee: International convergence of capital measurement and capital standardshere
BCBS (1992)A Framework for Measuring and Managing Liquidityhere
BCBS (1996)Amendment to the capital accord to incorporate market riskshere
BCBS (1998)Amendment to the Basel Capital Accord of July 1988here
BCBS (2003)The 2002 Loss Data Collection Exercise for Operational Risk: Summary of the Data Collectedhere
BCBS (2006)Basel II: International Convergence of Capital Measurement and Capital Standards: A Revised Framework – Comprehensive Versionhere
BCBS (2008)Principles for Sound Liquidity Risk Management and Supervisionhere
BCBS (2009a)Guidelines for computing capital for incremental risk in the trading bookhere
BCBS (2009b)Consultative Document: Strengthening the resilience of the banking sectorhere
BCBS (2009c)Results from the 2008 Loss Data Collection Exercise for Operational Riskhere
BCBS (2010a)Basel III: International framework for liquidity risk measurement, standards and monitoringhere
BCBS (2010b)Basel III: A global regulatory framework for more resilient banks and banking systemshere
BCBS (2011a)Revision to the Basel II Market Risk Frameworkhere
BCBS (2011b)Basel III: A Global Regulatory Framework for More Resilient Banks and Banking Systems. Revised Version 2011here
BCBS (2011c)Interpretive issues with respect to the revisions to the market risk frameworkhere
BCBS (2012)Consultative Document: Fundamental Review of the Trading Bookhere
BCBS (2013)Consultative Document: Fundamental Review of the Trading Book: A revised market risk frameworkhere
BCBS (2013a)Global systemically important banks: updated assessment methodology and the higher loss absorbency requirementhere
BCBS (2013b)Basel III: The Liquidity Coverage Ratio and liquidity risk monitoring toolshere
BCBS (2014)Consultative Document: Fundamental Review of the Trading Book: Outstanding issueshere
BCBS (2014a)Basel III: the net stable funding ratiohere
BCBS (2015)Consultative Document: Interest rate risk in the banking bookhere
BCBS (2016)Minimum capital requirements for market riskhere
BCBS (2016a)Consultative Document: Reducing variation in credit risk-weighted assets - constraints on the use of internal model approacheshere
BCBS (2016b)Consultative Document: Standardised Measurement Approach for operational riskhere
BCBS (2016c)Standards: Interest rate risk in the banking bookhere
BCBS (2016d)Discussion Paper: Regulatory treatment of accounting provisionshere
BCBS (2017)High-level summary of Basel III reformshere
BCBS (2017a)Basel III: Finalising post-crisis reformshere
BCBS (2019)Minimum capital requirements for market risk here
BCBS (2019a)Explanatory note on the minimum capital requirements for market riskhere
BCBS (Basel III)International regulatory framework for banks (Basel III)here
Bean, C., Broda, C., Ito, T. and Kroszner, R. (2015)Low for Long? Causes and Consequences of Persistently Low Interest Rates (CEPT-ICMB 17th Annual Report)here
Becker, L. (2013)Banks fear capital swings if Basel III kills bond filterhere
Behn, M., Haselmann, R. and Vig, V. (2016)The limits of model-based regulationhere
Benartzi, S. and Thaler, R.H. (2001)Naïve Diversification Strategies in Defined Contribution Savings Planshere
Bender, M.A, Farach-Colton, M. and Mosteiro, M. (2008Insertion Sort is O(n log n)here
Benford, J. and Nier, E. (2007)Monitoring cyclicality of Basel II capital requirementshere
Bennet, C and Cusick, K. (2007)Risk appetite: Practical Issues for the Global Financial Services Industryhere
Berger, J. (1978)Minimax Estimation of a Multivariate Normal Mean under Polynomial Losshere
Berk, J. and DeMarzo, P. (2007)Corporate Financehere
Berkowitz, J. (1999)A coherent framework for stress-testinghere
Bernardino, G. (2011)ORSA - The heart of Solvency IIhere
Bernoth, K. and Haas, A. (2018)Negative Interest Rates and the Signalling Channelhere
Bernstein, P. (1998)Against the Godshere
Bernstein, P. (2007)Capital Ideas Evolvinghere
Besar, D., Booth, P., Chan, K.K., Milne, A.K.L. and Pickles, J. (2009)Systemic Risk in Financial Serviceshere
Bevan, A. and Winkelmann, K. (1998)Using the Black-Litterman Global Asset Allocation Model: Three Years of Practical Experiencehere
Bewley, T.F. (1986)Knightian Decision Theory: Part Ihere
Bewley, T.F. (1987)Knightian Decision Theory: Part II: Intertemporal problemshere
Bewley, T.F. (1988)Knightian Decision Theory and Econometric Inferencehere
Bhimalingam, M. and N. Burns (2011)Basel III and Solvency II - Impact on Credit Marketshere
Bholat, D., Lastra, R., Markose, S., Miglionico, A. and Sen, K. (2016)Non-performing loans: regulatory and accounting treatment of assetshere
Biljlsma, M. and Vermeulen, R. (2015)Insurance companies' trading behaviour during the European sovereign debt crisis: Flight home or flight to quality? here
Billah, M.B., Hyndman, R.J. & Koehler, A.B. (2003)Empirical information criteria for time series forecasting model selectionhere
Birge, J.R. (2006)Liquidity Risk in Dynamic Portfolio Optimizationhere
BIS (2019)Impact of financial regulations: insights from an online repository of studieshere
BISFinancial Regulation Assessment: Meta Exercise (FRAME)here
BIS (website)BIS websitehere
Bisias, D., Flood, M., Lo, A. and Valavanis, S (2012)A Survey of Systemic Risk Analyticshere
Black, F. and Litterman, R. (1992)Global Portfolio Optimizationhere
BlackRock (2015)Asset Class Returnshere
Black, F. and Scholes, M. (1973)The pricing of options and corporate liabilitieshere
Blumenthal, K. (2012)Steve Jobs: The man who thought differenthere
BNY Mellon (2016)Considering the Alternatives: A Practical Look at Enterprise Risk Analysis and Alternative Investmentshere
Bogle, J.C. (2008)Black Monday and Black Swanshere
Bongaerts, D. (2015)The economics of investor-paid credit rating agencieshere
Bonti, G., Kalkbrener, M., Lotz, C. and Stahl, G. (2006)Credit Risk Concentrations under stresshere
Bookstaber, R.M. (2008)A Demon of Our Own Design: Markets, Hedge Funds, and the Perils of Financial Innovationhere
Bookstaber, R.M. and McDonald, J.B. (1987)A general distribution for describing security price returnshere
Booth, P.M. and Marcato, G. (2004)The measurement and modelling of commercial real estate performancehere
Bordag, L.A, Yamshchikov, I.P. and Zhelezov, D. (2014)Portfolio Optimization in the case of an asset with a given liquidation time distributionhere
Borio, C.E. V, Furfine, C. and Lowe, P. (2001): .Procyclicality of the financial system and financial stability: issues and policy options here
Born, M. and Wolf, E. (1980)Principles of Optics, 6th editionhere
Bouchard, J. (2008)Economics needs a scientific revolutionhere
Bourdeau, M. (2009)Market Risk Measurement Under Solvency IIhere
Brain, M. (2014)How Web Advertising Workshere
Brennan, M.J., Schwartz, E.S. and Lagnado, R. (1997)Strategic asset allocationhere
Brent, R.P. (1976)Fast Multiple-Precision Evaluation of Elementary Functionshere
Breuer, T. (2009)If worst comes to worst: Systematic stress tests with discrete and other non-Normal distributionshere
Breuer, T. and Krenn, G. (2000)Identifying stress test scenarioshere
Britten-Jones, M. (1999)The Sampling Error in Estimates of Mean-Variance Efficient Portfolio Weightshere
Bronshtein, I.N. and Semendyayev, K.A. (1985)Handbook of Mathematicshere
Broeders, D. and Chen, A. (2010)Pension Benefit Security: A Comparison of Solvency Requirements, a Pension Guarantee Fund and Sponsor Supporthere
Broeders, D., Kortleve, N., Pelsser, A. and Wijckmans, J-W. (2012)The design of European supervision of pension fundshere
Brown, S. J. (1976)Optimal Portfolio Choice under Uncertainty: A Bayesian Approachhere
Brunetti, C. and Caldarera, A. (2006)Asset Prices and Asset Correlations in Illiquid Marketshere
Buruni, F. and Llewellyn, D.T. (2009)The failure of Northern Rock: A Multi-Dimensional Case Studyhere
Brunnermeier, M.K. (2009)Deciphering the Liquidity and Credit Crunch 2007-09here
Brunnermeier, M.K., Langfield, S., Pagano, M., Reis, R., Van Nieuwerburgh, S. and Vayanos, D. (2016)ESBies: Safety in the trancheshere
Buiter, W. and Sibert, A. (2007)The Central Bank as the Market Maker of last Resort: From lender of last resort to market maker of last resorthere
Busetti, F. (2006)Heuristic approaches to realistic portfolio optimisationhere
Byrne, P., Mitchell, R., O’Sullivan, D. and Sykes, I. (2009)Pension risk: Risk management for pension schemeshere
Cagliarini, A. and Heath, A. (2000)Monetary policy making in the presence of Knightian uncertaintyhere
Cairns, A. (2009)Mathematical models and the credit crunch here
Calomiris, C. W. (2007)Bank Failures In Theory And History: The Great Depression And Other "Contagious" Eventshere
Campbell, S. D. (2006)A review of backtesting and backtesting procedureshere
Canadian Institute of Actuaries (2008)Enterprise Risk Management: Should you be doing it?here
Caouette, J.B., Altman, E.I and Narayanan, P. (2008)Managing Credit Risk: The Great Challenge for Global Financial Marketshere
CAQ (2007a)Measurement of Fair Value in Illiquid (or Less Liquid) Marketshere
CAQ (2007b)Consolidation of Commercial Paper Conduitshere
CAQ (2007c)Accounting for Underwriting and Loan Commitmentshere
Carbon Tracker Initiative (2014)Unburnable Carbon - Are the world's financial markets carrying a carbon bubble?here
Cardinale, M., Katz, G., Kumar, J. and Orszag, J.M. (2006)Background risk and pensionshere
Carino, D.R., Kent, T., Myers, D.H., Stacey, C., Watanabe, K. and Ziemba. W.T. (1994)Russell-Yasuda Kasai model: an asset-liability model for a Japanese insurance company using multi-stage stochastic programminghere
Carney, M. (2015)Breaking the Tragedy of the Horizon – climate change and financial stabilityhere
Carney, M. (2017)What a difference a decade makeshere
CAS (2003)Overview of Enterprise Risk Managementhere
Cassola, N. and Morana, C. (2006)Comovements in Volatility in the Euro Money Markethere
CEA (2010)Insurance: a Unique Sector. Why Insurers Differ From Banks.here
CEBS (2009)Guidelines on Stress Testing (CP32)here
CEBS (2010)High level principles for risk managementhere
CEIOPS (2007)Solvency II QIS3 Technical Specifications Part 1here
CEIOPS (2007a)Solvency II QIS4 Technical Specifications (draft)here
CEIOPS (2008)Technical Specifications QIS4here
CEIOPS (2009a)CEIOPS Advice for Implementing Measures on Solvency II: Supervisory Reporting and Public Disclosure Requirementshere
CEIOPS (2009b)CEIOPS Advice for Implementing Measures on Solvency II: System of Governancehere
CEIOPS (2009c)CEIOPS Advice for Level 2 Implementing Measures on Solvency II: SCR standard formula - counterparty default risk module (CP28)here
CEIOPS (2009d)CEIOPS Advice for Level 2 Implementing Measures on Solvency II: SCR Standard Formula - Article 109b - Calibration of Market Risk Module (CP70)here
CEIOPS (2009e)CEIOPS Advice on SCR Standard Formula - Correlation Parameters (CP74)here
CEIOPS (2009f)CEIOPS Paper for QIS5 on risk-free interest rates - extrapolation method [including Smith-Wilson technique]here
CEIOPS (2010a)CEIOPS Solvency II Calibration Paper, 15 April 2010here
CEIOPS (2010b)Report of the Task Force on the Illiquidity Premium. March 2010here
CEIOPS (2010c)CEIOPS response to European Commission Green Paper – “Towards adequate, sustainable and safe European pension systems”, 15 November 2010here
Cerlerier and Vallee (2015)The motives for financial complexity: An empirical investigationhere
CESR (2008)Risk management principles for UCITS (Consultation Paper)here
Cetorelli, N. (2015)Asset Managers and Systemic Risk. A Financial Intermediation Perspectivehere
CFO Forum (2008a)Market Consistent Embedded Value Principleshere
CFO Forum (2008b)Market Consistent Embedded Values: Basis For Conclusionshere
Chaboud, A., Chiquoine, B., Hjalmarsson, E. and Loretan, M. (2007)Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Financial Marketshere
Chambers, A.J., Barnes, A.E., Barnes, M., Beukes, L.J., Dyer, D.E., Fulcher, P., Kemp, M.H.D., Lawrence, A.M., Tatham, C.D. and Winter N.M. (2005)Liability Driven Benchmarks for UK Defined Benefit Pension Schemeshere
Chapelle, A. (2005)The Virtues of Operational Risk Managementhere
Chapelle, A., Crama, Y., Hübner, G. and Peters, J-P. (2004)Basel II and Operational Risk: Implications for risk measurement and management in the financial sectorhere
Chapman, R.J. (2006)Simple tools and techniques for enterprise risk managementhere
Chapman, R.J., Gordon, T.J. and Speed, C.A. (2001)Pensions, Funding and Riskhere
Chappell, C., Jakhria, P., Marais, J. and Smith, A. (2007)Understanding the risks in new asset classeshere
Chase-Jenkins, L. and Farr, I. (2004)Adding Value Through Risk and Capital management - An ERM Update on the Global Insurance Industryhere
Chen, P.F. (2011)Coronal Mass Ejections: Models and Their Observational Basishere
Chen, R-R., Cheng, X., Wu, L. (2005)Dynamic Interactions Between Interest Rate, Credit, and Liquidity Risks: Theory and Evidence from the Term Structure of Credit Default Swap Spreadshere
Chennells, L. and Wingfield, V. (2015)Bank failure and bail in: an introductionhere
Chernozhukov, V., Fernandez-Val, I. and Galichon, A. (2007)Rearranging Edgeworth-Cornish-Fisher Expansionshere
Cheung, W. (2007a)The Black-Litterman Model Explained (II)here
Cheung, W. (2007b)The Black-Litterman Model (III): Augmented for Factor-Based Portfolio Constructionhere
Chollette, L., Heinen, A. and Valdesogo, A. (2009)Modelling International Financial Returns with a Multivariate Regime-Switching Copulahere
Christensen, B.J. and Prabhala, N.R. (1998)The relation between implied and realized volatilityhere
Christoffersen, P. (1998) Evaluating interval forecastshere
Christoffersen, P. and Pelletier, D. (2004)Backtesting value-at-risk: a duration-based approachhere
Churm, R. and Panigirtzoglou, N. (2005)Decomposing credit spreadshere
CIA (1996)Liquidity Risk Measurementhere
CIPM (2011)Resolutions at the 24th meeting of the CGPMhere
Clarke, M.G., Charmaille, J-P., Harding, J., Hildebrand, C., McKinlay, I.W., Rice, S.R. and Reynolds, P. (2012)Financial management of the UK Pension Protection Fundhere
Clark, G. and Urwin, R. (2007)Best-Practice Investment Management: Lessons for Asset Ownershere
Clauss, P., Roncalli, T., Weisang, G. (2009)Risk Management Lessons from Madoff Fraudhere
Clauset, A., Shalizi, C.R., Newman, M.E.J. (2007)Power-law distributions in empirical datahere
Clewlow, L. and Strickland, C. (1999)Implementing Derivative Modelshere
Competition & Markets Authority (2016)Retail banking market investigation: Final Reporthere
Cochrane, J.H. (1999)Portfolio Advice for a Multifactor Worldhere
Cocke, M., Hannibal, C., Hursey, C., Jakria, P., MacIntyre, I. and Modiset, M. (2014)Heavy Models, Light Models and Proxy Models - A working paperhere
Cohen, B.H. and Edwards, G.A. (2017)The new era of expected credit loss provisioninghere
Cohen, G., Afshar, S., Tapson, J. and van Schaik, A. (2017)EMNIST: an extension of MNIST to handwritten lettershere
Cooper, N. and Scholtes, C. (2001)Government bond markets in an era of dwindling supplyhere
Cortes, F. (2006)Understanding the term structure of swap spreadshere
COSO (2004)Enterprise Risk Management: Integrated Frameworkhere
Cotter, J. (2009)Scaling conditional tail probability and quantile estimatorshere
Cowling, C.A., Gordon, T.J. and Speed, C.A. (2004)Funding defined benefit pension schemeshere
Cowling, C.A., Frankland, R., Hails, R.T.G., Kemp, M.H.D., Loseby, R.L., Orr,J.B. and Smith,A.D. (2011)Developing a framework for the use of discount rates in actuarial workhere
Cowling, C.A., Fisher, H.J., Powe, K.J., Sheth, J.P. and Wright, M.W. (2017)Funding defined benefit pension schemes: An integrated risk management approachhere
CPSS-IOSCO (2012)Principles for financial market infrastructurehere
Creedon, S., Forrester, I., Jakhria, P., Kemp, M.H.D, Pelsser, A., Smith, A.D. and Wilson, D.C.E (2008)Market Consistent Discountinghere
Cremers, M. and Weinbaum, D. (2007)Deviations from Put-Call Parity and Stock Return Predictabilityhere
CRMPG-III (2008)Containing Systemic Risk: The Road to Reformhere
Credit Suisse (2015)Global Investment Returns Yearbook 2015here
CRO Forum (2007)Request for Comment: Revisions in The Risk-Based Insurance Capital Model [page 15]here
CRO Forum (2008a)Comments on QIS4 Draft Technical Specificationhere
CRO Forum (2008b)Addressing the pro-cyclical nature of Solvency IIhere
CRO Forum and CFO Forum (2010)QIS 5 Technical Specification, Risk-free interest rateshere
Crook, C. (2010)Smarter ways to punish a bankerhere
Crouhy, M., Mark, R. and Galai, D. (2005)The Essentials of Risk Managementhere
Culp, C.L. (2001)The Risk Management Process : Business Strategy and Tacticshere
Cummins, J.D. (2013)Systemic Risk and the U.S. Insurance Sectorhere
Cummins, J.D. and Weiss, M.A. (2014)Systemic Risk and the U.S. Insurance Sectorhere
Dagher, J. (2018)Regulatory Cycles: Revisiting the Political Economy of Financial Criseshere
Damodaran, A. (2005)Marketability and Value: Measuring the Illiquidity Discounthere
Damodaran, A. (2015)Annual Returns on Stock, T.Bonds and T.Bills: 1928-Currenthere
Dang, T.V., Gorton, G., Holmstrom, B., Ordonez, G. (2016) here
D'Arcy, S.P., McNichols, J. and Zhao, X. (2009)A Primer on Credit Derivativeshere
Das, S.R., Ericsson, J. and Kalimipalli, M. (2003)Liquidity and bond marketshere
Daul, S., De Giorgi, E., Lindskog, F. and McNeil, A. (2003)Using the grouped t-copulahere
Davidson, C. (2008)Measuring liquidity riskhere
Davis, M.H.A, Panas, V.G and Zariphopoulou, T. (1993)European option pricing with transaction costshere
Deighton, S.P., Dix, R.C., Graham, J.R. and Skinner, J.M.E. (2009)Governance and Risk Management in United Kingdom Insurance Companieshere
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Riley, P. (2012)On the probability of occurrence of extreme space weather eventshere
Rimoldini, L. (2013)Weighted skewness and kurtosis unbiased by sample sizehere
RIMS (various)RIMS Risk Knowledge databasehere
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Rockinger, M. and Jondeau, E. (2002)Entropy densities with an application to autoregressive conditional skewness and kurtosishere
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Rogers, L.C.G. and Williams, D. (1994)Diffusions, Markov Processes and Martingales Vol Ihere
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Rubinstein(1996)Implied binomial treeshere
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Rudolph, M. (2012)Preparing to Deal with Digital's Looming Dark Sidehere
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Rule, D. (2019)Model use and misusehere
Russell Investors (2015)Asset Class Dashboardhere
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Samuelson, P.A. (1991)Long-Run Risk Tolerance When Equity Returns are Mean Regressing: Pseudoparadoxes and Vindication of Businessmen’s Riskhere
S&P (2005)Insurance Criteria: Evaluating The Enterprise Risk Management Practices Of Insurance Companieshere
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S&P (2013a)2012 Annual Global Corporate Default Study and Rating Transitionshere
Sayed, A.H. (2003)Fundamentals of Adaptive Filteringhere
Scherer, B. (2002)Portfolio Resampling: Review and Critiquehere
Scherer, B. (2007)Portfolio Construction and Risk Budgetinghere
Schiller, R. (2004)The New Financial Order: Risk in the 21st Centuryhere
Schiller, R. (2005)Irrational Exuberancehere
Schmidt, E. and Cohen, J. (2013)The New Digital Agehere
Schelldorfer, J. and Wüthrich, M. (2019)Nesting Classical Actuarial Models into Neural Networkshere
Schoenmaker, D., van Tilburg, R. and Wijffels, H. (2015)What role for financial supervisors in addressing systemic environmental risks?here
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SEC (2009)Beginners' Guide to Asset Allocation, Diversification and Rebalancinghere
SEC (2016)Investment Company Liquidity Risk Management Programshere
Segal, S. (2011)Corporate Value of Enterprise Risk Management: The Next Step in Business Managementhere
Sentance (2008)SQL and Historic Data - Mixing Oil and Water?here
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Shaw, R.A., Smith, A.D and Spivak, G.S. (2010)Measurement and Modelling of Dependencies in Economic Capitalhere
Shaw, R. and Spivak, G. (2009)Correlations and dependencies in economic capital modelshere
Sheldon, T. J. and Smith, A. D. (2004)Market consistent valuation of life assurance businesshere
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Singh, M. and Aitken, J. (2010)The (sizeable) Role of Rehypothecation in the Shadow Banking Systemhere
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Smith, A.D. (2000)Introduction to Convenience yieldshere
Smith, A.D. (2008)Swap spreads - why have they become negative?here
Smolin, L. (2006)The Trouble with Physics: The Rise of String Theory, the Fall of a Science and What Comes Nexthere
SOA (2004)Specialty Guide on Economic Capitalhere
SOA (2006)Enterprise Risk Management Specialty Guidehere
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SOA (2014)Report of the Blue Ribbon Panel on Public Pension Plan Fundinghere
Sobehart, J., Keenan, S. and Stein, R. (2001)Benchmarking Quantitative Default Risk Models: A Validation Methodologyhere
Soklakov, A. (2008)Information derivativeshere
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Sorkin, A.R. (2010)Too Big To Fail: Inside the Battle to Save Wall Streethere
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Spatt, C.S. (2012)Complexity of regulationhere
Sponsor Covenant Working Party (2005)Allowing for the Sponsor Covenant in Actuarial Advicehere
SSSB (2000)Introduction to Cluster Analysishere
Starling, D.J., Dixon, P.B., Jordan, A.N. and Howell, J.C. (2009)Optimizing the Signal to Noise Ratio of a Beam Deflection Measurement with Interferometric Weak Valueshere
Staum, J. (2011)Systemic Risk Components and Deposit Insurance Premiahere
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Stein, R. M. (2007)Benchmarking default prediction models: pitfalls and remedies in model validationhere
Steinberg, A.M. (2010)A light touchhere
Stewart, I. (2010)Professor Stewart's Cabinet of Mathematical Curiositieshere
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Stone, J.V. (2004)Independent Component Analysis: A Tutorial Introductionhere
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Surowiecki, J. (2005)Wisdom of Crowdshere
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Sweeting, P. (2011)Financial Enterprise Risk Managementhere
Taha, H.A. (1976)Operations Research - An Introductionhere
Taleb, N.N. (2004)Fooled by Randomness: The Hidden Role of Chance in Life and in the Marketshere
Taleb, N.N. (2007)The Black Swanhere
Taleb, N.N. (2012)Antifragile: Things that Gain from Disorderhere
Tarullo, D.K. (2015)Capital Regulation Across Financial Intermediarieshere
Tasche, D. (2007)Shortfall: a tail of two partshere
Team Encounter (2005)Team Encounter Sailcrafthere
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Thomas, M. and Maré, E. (2007)Long Term Forecasting and Hedging of the South African Yield Curvehere
Thompson, K. and McLeod, A. (2009)Accelerated ensemble Monte Carlo simulationhere
Thompson, M. and Underwood, A. (2012)Rational adapability and clumsy solutionshere
Thun, C. Licari, J.M. and Zandi, M. (2010)Reverse Stress Testing: Challenges and Benefitshere
Tierens, I. and Anadu, M. (2004)Quantitative Insights Research Notehere
Tilman, L.M. (2003)Asset/Liability Management of Financial Institutions: Maximising Shareholder Value Through Risk-Conscious Investinghere
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Tirole, J. (2015)Financial Regulation: A Focus on the Non-Bank Sectorhere
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Triana, P. (2009)Lecturing Birds on Flying: Can Mathematical Theories Destroy the Financial Markets?: How Financial Practice Differs from Theoryhere
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Vetzal, K.R. (1994)A survey of stochastic continuous time models of the term structure of interest rateshere
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