Nematrian Reference Library

[this page | back links]

Select category and sub-category to see a table of references, i.e. external material referred to by Nematrian website, relating to your choice (and in some cases hyperlinks to and/or abstracts or summaries of these references).



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
NASA and BSEE (2017)Probabilisitic Risk Assessment: Applications for the Oil & Gas Industryhere
BSEE (2017)Probabilistic Risk Assessment Procedures Guide for Offshore Applications (DRAFT)here
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
Dembo, R. and Freeman, A. (1998)Seeing Tomorrow: Rewriting the Rules of Riskhere
DeMiguel, V., Garlappi, L. and Uppal, R. (2009a)Optimal versus naive diversification: How inefficient is the 1/N portfolio strategy?here
DeMiguel, V., Garlappi, L. and Uppal, R. (2009b)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Normshere
Dempster, M.A.H, Mitra, G. and Pflug, G. (2009) (ed)Quantitative Fund Managementhere
Demyanyk, Y.S. and Van Hemert (2008)Understanding the Subprime Mortgage Crisishere
De Paoli, B. and Zabczyk, P. (2011)Cyclical risk aversion, precautionary saving and monetary policyhere
De Renzis, T., Guagliano, C. and Loiacono, G. (2018)Liquidity in fixed income markets - risk indicators and EU evidencehere
Derman, E. (2004)My Life as a Quant: Reflections on Physics and Financehere
Derman, E. (2012)Models. Behaving. Badly.: Why Confusing Illusion with Reality Can Lead to Disaster, on Wall Street and in Lifehere
Derman, E. and Kani, I. (1998)Stochastic implied trees: arbitrage pricing with stochastic term and strike structurehere
D'Errico, M. and Roukny, T. (2017)Compressing over-the-counter marketshere
Desender, K. (2007)On the Determinants of Enterprise Risk Management Implementation: The Role of the Boardhere
De Silva, H. (2006)Modern Tactical Asset Allocationhere
Deuskar, P. (2006)Extrapolative Expectations: Implications for Volatility and Liquidityhere
Deutsche Bank (2007)Volatility Returnshere
Devasabai, L. (2014)No arbitragehere
Diamond, J. (2005)Collapse: How societies choose to fail or survivehere
Diamond, J. (2012)The World Until Yesterdayhere
Dickenson, J. P. (1979)The Reliability of Estimation Procedures in Portfolio Analysishere
Dickson, J. (2010)Protecting banks is best done by market disciplinehere
Digenan, J. Felson, D., Kelly, R. and Wiemert, A. (2004)Metallgesellschaft AG: A Case Studyhere
Diller, C. and Jackel, C. (2015)Risk in Private Equity: New insights into the risk of a portfolio of private equity fundshere
Dimitroff, G., Fries, C., Lichtner, M. and Rodi, N. (2016)Lognormal vs Normal Volatilities and Sensititivities in Practicehere
Dimson, E., Marsh, P. and Staunton, M. (2002)Triumph of the Optimists: 101 Years of Global Investment Returnshere
Dimson, E. and Hanke, B. (2002)The Expected Illiquidity Premium: Evidence from Equity Index-Linked Bondshere
DNB (2004)Financial Assessment Framework Consultation Document [for pension funds and insurers]here
Doherty, N. (2000)Integrated Risk Management: Techniques and Strategies for Managing Corporate Riskhere
Dong, J., Kempf, A. and Yadav, P. (2007)Resiliency, the Neglected Dimension of Market Liquidity: Empirical Evidence from the New York Stock Exchangehere
Dorey, M. and Papastamati, K. (2007)Variable Dependency 'D' Distributions: A General Framework to Generate Skew Elliptical Multivariate Copulas with Polytonal Dependencyhere
Doust, P. and White, R. (2005)Genetic Algorithms for Portfolio Optimisationhere
Dowd, K. (2006)Backtesting market risk models in a standard normality frameworkhere
DPG (1995)Framework for Voluntary Oversight: The OTC Derivatives Activities of Securities Firm Affiliates to Promote Confidence and Stability in Financial Marketshere
Drezner and Wesolowsky (1990)On the computation of the bivariate normal integralhere
DTCC (2015)Understanding Interconnectedness Riskshere
Duffie, D. (1992)Dynamic asset pricing theoryhere
Duffie, D. (1996)Special Repo Rateshere
Duffie, D. (2011)Systemic Risk Exposures: A 10by10by10 Approachhere
Duffie, D. (2015)Failure Resolution of Central Counterpartieshere
Dufresne, D. (1990)The distribution of a perpetuity, with applications to risk theory and pension fundinghere
Dullaway, D. and Smith, A.D. (2004)Risk free rates and the calculation of realistic balance sheets [draft]here
Dupire, B. (1994)Pricing with a smilehere
Dwyer, D. W. (2007)The distribution of defaults and Bayesian model validationhere
Dymski, G.A. (2011)Genie out of the Bottle: The Evolution of Too-Big-to-Fail Policy and Banking Strategy in the UShere
Easop, E. (2008)Risk Management and the Rating Process for Insurance Companies, Best Rating Methodologyhere
EBA (2015)Report on Institutions' Exposures to 'Shadow Banking Entities'here
EBF (website)Yield curve datahere
Solvency II Directive (2009/138/EEC)Directive 2009/138/EC on the taking up and pursuit of the business of Insurancehere
EC (2010)Towards adequate, sustainable and safe European pension systemshere
ECB (2007a)Yield curve specified in QIS4 (Euro area)here
ECB (2007b)Further details on computation of Yield Curves specified by QIS4here
ECB (2010)Analytical Models and Tools for the Identification and Assessment of Systemic Riskshere
ECB (2015)The impact of negative short-term rates on the money market fund industryhere
Economist (2008)Economics focus: Same as it ever washere
Economist (2016)Insurers regret their guaranteeshere
Economist (2016a)WeChat's Worldhere
Economist (2016b)Fade to greyhere
Edelman, A. and Rao, N.R. (2005)Random matrix theoryhere
Efron, B. and Morris, C. (1976)Families of Minimax Estimators of the Mean of a Multivariate Normal Distributionhere
EIOPA (website)EIOPA: European Insurance and Occupational Pensions Authorityhere
EIOPA (2010)Report on the Fifth Quantitative Impact Study (QIS5) for Solvency IIhere
EIOPA (2013)Guidelines on Submission of Information to National Competent Authoritieshere
EIOPA (2013a)Guidelines on Forward Looking assessment of own risk (based on the ORSA principles)here
EIOPA (2013b)Guidelines on Systems of Governancehere
EIOPA (2014)Consultation Paper on the proposals for Guidelines on system of governance and own risks and solvency assessmenthere
EIOPA (2014a)Final Report on Public Consultation No 14/017 on Guidelines on own risk and solvency assessmenthere
EIOPA (2014b)Guidelines on system of governancehere
EIOPA (2014c)Final Report on Public Consultation No. 14-037 on the Proposal for Guidelines on the use of the Legal Entity Identifier (LEI)here
EIOPA (2014d)The underlying assumptions in the standard formula for the Solvency Capital Requirement calculationhere
EIOPA (2014e)Financial Stability Report, December 2014here
EIOPA (2014f)Insurance Stress Test Reporthere
EIOPA (2015a)Technical document regarding the risk free interest rate term structurehere
EIOPA (2016a)IORPS Stress Test Report 2015here
EIOPA (2016b)A Common Framework for Risk Assessment and Transparency for IORPshere
EIOPA (2016c)Consultation Paper on the methodology to derive the UFR and its implementationhere
EIOPA (2016d)2016 EIOPA Insurance Stress Test Reporthere
EIOPA (2017)Opinion to Institutions of the European Union on the Harmonisatoin of Recovery and Resolution Frameworks for (Re)Insurers across the Member Stateshere
EIOPA (2018)Other potential macroprudential tools and measures to enhance the current frameworkhere
EIOPA (2018a)Discussion Paper on Resolution Funding and National Insurance Guarantee Schemeshere
EIOPA (2019)Discussion Paper on Systemic Risk and Macroprudential Policy in Insurancehere
EIOPA website (Symmetric adjustment of the equity capital charge)Symmetric adjustment of the equity capital chargehere
EIOPA website (Risk Free Rate Term Structures)Risk-Free Interest Rate Term Structureshere
EIU (2009)Beyond box-ticking: A new era for risk governancehere
Egan, R., Cartagena, S., Mohamed, R., Gosrani, V., Grewal, J., Acharyya, M., Dee, A., Bajaj, R., Jaeger, V-J., Katz, D., Meghen, P., Silley, M., Nasser-Probert, S., Pikinska, J., Rubin, R. and Ang, K. (2018)Cyber operational risk scenarios for insurance companieshere
Ekholm, K. (2014)What should be the ambition level of macroprudential policy?here
Elices & Gimenez (2006)Weighted Monte Carlohere
Eling, M. and Schmeiser, H. (2010)Insurance and the Credit Crisis: Impact and Ten Consequences for Risk Management and Supervisionhere
Ellet, W. (2007)The Case Study Handbook: How to Read, Discuss, and Write Persuasively About Caseshere
Ellinas, C., Allan, N. and Cantle, N. (2016)The surprising systemic risk of insurershere
Embrechts, P., Resnick, S. and Samorodnitsky (1996)Extreme value theory as a risk management toolhere
Emrich, S. and Crow, C. (2007)Quant 2.0?here
Eonia (website)Eonia (Euro Overnight index swap) datahere
Eppler, M. and Aeschimann, M. (2009)A systematic framework for risk visualization in risk management and communicationhere
EPSC (2015)Further Risk Reduction in the Banking Unionhere
Ericsson, J. and Renault, O. (2002)Liquidity and Credit Riskhere
Escaffre, L., Foulquier, P. and Touron, P. (2008)The Fair Value Controversy: Ignoring the Real Issuehere
ESMA (2015)Trends Risks Vulnerabilitieshere
ESRB (2013)Recommendation of the ESRB of 4 April 2013 on intermediate objectives and instruments of macro-prudential policy (ESRB/2013/1)here
ESRB (2014a)Operationalising the countercyclical capital buffer: indicator selection, threshold identification and calibration optionshere
ESRB (2014b)Securities financing transactions and the (re)use of collateral in Europehere
ESRB (2014c)Is Europe Overbanked?here
ESRB (2015)Report on systemic risks in the EU insurance sectorhere
ESRB (2016a)EU Shadow Banking Monitor No 1 / July 2016here
ESRB (2016b)Assessing shadow banking - non-bank financial intermediation in Europehere
ESRB (2016c)Indirect contagion: the policy problemhere
ESRB (2017)Financial Stability Implications of IFRS 9here
ESRB (2018)Macroprudential provisions, measures and instruments for insurancehere
ESRB (2021)Financial stability implications of IFRS 17 Insurance Contractshere
Eurepo (website)Eurepo (Euro repo) datahere
Euribor (website)Euribor (Euro term deposit) datahere
European Central Bank (2004 onwards)Daily EUR yield curveshere
European Commission (2007a)‘Solvency II’: Frequently Asked Questions (FAQs)here
European Commission (2007b)‘Solvency II’: EU to take global lead in insurance regulationhere
European Commission (2014)Memo on Reporting and transparency of securities financing transactions - frequently asked questionshere
European Union (2009)Solvency II Directivehere
European Union (2010)Regulation (EU) No 1092/2010 of the European Parliament and of the Council of 24 November 2010 on European Union macro-prudential oversight of the financial system and establishing a European Systemic Risk Boardhere
European Union (2013a)Capital Requirements Directivehere
European Union (2013b)Capital Requirements Regulationhere
European Union (20014a)Omnibus II Directivehere
European Union (2014b)Solvency II Directive as recast in 2014 by Omnibus II Directivehere
European Union (2014c)Solvency II Directive Delegated Regulation (i.e. Commission delegated regulation (EU) 2015/35)here
European Union (2014d)Proposal for a Directive of the European Parliament and of the Council on the activities and supervision of institutions for occupational retirement provision (draft 17 September 2014)here
European Union (2014e)Directive 2014/59/EU ('Bank Recovery and Resolution Directive')here
Eversheds Sutherland (2016)Authorised Contractual Schemehere
VariousExcel books rated highly on Amazonhere
Exley C. J., Mehta, S. J. B. and Smith, A. D. (1997)The Financial Theory of Defined Benefit Schemeshere
Extance, A. (2015)Bitcoin and Beyondhere
Eychenne, K., Martinetti, S. and Roncalli, T. (2011)Strategic Asset Allocation (Lyxor White Paper No 6)here
Fabozzi, F.J., Focardi, S.M. and Jonas, C. (2008)Challenges in Quantitative Equity Managementhere
Fabozzi, F.J., Focardi, S.M. and Jonas, C. (2009)Trends in Quantitative Equity Managementhere
Fama, E. and French, K. (1992)The Cross-Section of Expected Stock Returnshere
Farrell, M. and Gallagher, R. (2014)The Valuation Implications of Enterprise Risk Management Maturityhere
FCA (2012)Journey to the FCAhere
FCA (2013)FCA Risk Outlook 2013here
FCA (2014a)One Minute Guide - EU Regulation on OTC derivatives (EMIR)here
FCA (2014b)Markets in Financial Instruments Directive II Pagehere
FCA (2014c)Capital Requirements Directive (CRD IV) FAQshere
FCA (2021)Business Plan 2021/22here
FDIC (2000)An Examination of the Banking Crises of the 1980s and Early 1990shere
Federal Reserve (2011a)SR 11-7: Supervisory Guidance on Model Risk Managementhere
Federal Reserve (2014a)Guidance for 2013 Section 165(d) Annual Resolution Plan Submissions by Domestic Covered Companies that Submitted Initial Resolution Plans in 2012here
Federal Reserve (2014b)Guidance for 2013 Section 165(d) Annual Resolution Plan Submissions by Foreign-Based Covered Companies that Submitted Initial Resolution Plans in 2012here
Feldhutter, P. and Lando, D. (2007)Decomposing Swap Spreadshere
Feng, Y. and Song, J. (2006)Down-side risk and the Puzzle of Implied Volatility Premiumhere
Ferguson, N. (2009)The Ascent of Moneyhere
Ferguson, N. (2011)Civilization: The Six Killer Apps of Western Powerhere
Figlewski, S. (2009)Estimating the Implied Risk Neutral Densityhere
Figlewski, S. (2012)What is Risk Neutral Volatility?here
Financial News (2008)BarCap backs Libor alternativehere
Financial Times (2008a)Auditors apply extra scrutinyhere
Financial Times (2008b)An unforgiving eyehere
Financial Times (2008c)UK banking association looks at boosting Libor dollar productshere
Financial Times (2008d)SEC aims to curb ratings dependencyhere
Financial Times (2008e)Banking regulator calls for clean slatehere
Financial Times (2008f)Volkswagen driven to top spot by shock surge in its share pricehere
Financial Times (2008g)Aegon gets EUR 3bn in government capitalhere
Financial Times (2009a)Bank sets off ideas on living wills for lendershere
Financial Times (2009b)Brazil clips the wings of banks adept at capital flighthere
Financial Times (2010)‘Punishment tax’ draws fire from industryhere
Financial Times (2014)Banks want to keep your digital ID in their vaultshere
Financial Times (2016a)Negative rates 'poison' German pension fundshere
Financial Times (2016b)Fears mount for pensions as gilt yields touch negative territoryhere
Financial Times (2016c)Pensions: Low Yields, High Stresshere
Financial Times (2016d)US companies' cash pile hits USD 1.7 tnhere
Fisher, M. (2002)Special Repo Rates: An Introductionhere
Fisher, R.A. and Tippett, L.H.C. (1928)Limiting Forms of the Frequency Distribution of the Largest and Smallest Member of a Samplehere
Ford, A., Benjamin, S., Gillespie, R.G., Hager, D.P., Loades, D.H., Rowe, B.N., Ryan, J.P., Smith, P., & Wilkie, A.D. (1980)Report of the Maturity Guarantees Working Partyhere
Fouque, J-P. and Langsam, J.A. (2013)Handbook of Systemic Riskhere
Fox, L. (2003)Enron: The Rise and Fallhere
Frankfurter, G.M., Phillips, H.E. and Seagle, J.P. (1971)Portfolio Selection: the Effects of Uncertain Means, Variances and Covarianceshere
Frankland, R., Smith, A.D., Wilkins, T., Varnell, E., Holtham, A., Biffis, E., Eshun, S. and Dullaway, D. (2008)Modelling extreme market eventshere
Fraser, J. and Simkins, B. (Eds) (2010)Enterprise Risk Management: Today’s Leading Research and Best Practices for Tomorrow’s Executiveshere
FRC (2011a)Effective Company Stewardship: Enhancing Corporate Reporting and Audithere
FRC (2011b)Boards and Risk: A summary of discussions with companies, investors and advisershere
FRC (2012)The UK Stewardship Codehere
FRC (2013)Risk Management, Internal Control and the Going Concern Basis of Accounting - Consultationhere
FRC (2014)The UK Corporate Governance Code (September 2014)here
FRC (2014a)Joint Forum on Actuarial Regulation: A risk perspective: Discussion Paperhere
FRC (2014b)Guidance on Risk Management, Internal Control and Related Financial and Business Reportinghere
FRC (2015)Joint Forum on Actuarial Regulation: A risk perspective: Analysis of responses to the October 2014 discussion paperhere
FRC (2018)The UK Corporate Governance Code (July 2018)here
Freeman, M., Clacher, I., Hillier, D., Kemp, M.H.D., Abourashchi, N. and Zhang, Q. (2012)Pension plan solvency and extreme market movements: a regime switching approachhere
French, A., Vital, M. and Minot, D. (2015)Insurance and Financial Stabilityhere
Frigo, M.L. and Anderson, R.J. (2011)Embracing Enterprise Risk Management: Practical Approaches to Getting Startedhere
Froot, K.A. and Stein, J.C. (1998)Risk management, capital budgeting, and capital structure policy for financial institutions: an integrated approachhere
Fruth, A., Schoneborn, T. and Urusov, M. (2011)Optimal trade execution and price manipulation in order books with time-varying liquidityhere
FSA (2007)Discussion Paper 07/7: Review of the liquidity requirements for banks and building societieshere
FSA (2008a)Discussion Paper 08/4: Insurance Risk Management: The Path To Solvency IIhere
FSA (2008b)Consultation Paper 08/22: Strengthening liquidity standardshere
FSA (2008c)Consultation Paper 08/24: Stress and scenario testinghere
FSA (2009a)Policy Statement 09/16: Strengthening liquidity standardshere
FSA (2009b)Discussion Paper 09/4: Turner Review Conference Discussion Paper. A regulatory response to the global banking crisis: systemically important banks and assessing the cumulative impacthere
FSA (2010)Consultation Paper 10/03: Effective corporate governance (Significant influence controlled functions and the Walker review)here
FSA (2010a)Stress Testing: Good Practicehere
FSA (2011)The Failure of the Royal Bank of Scotlandhere
FSB (2013a)Effective Resolution of Systemically Important Financial Institutions: Consultative Documenthere
FSB (2013b)Appication of the Key Attributes of Effective Resolution Regimes to Non-bank Financial Institutions: Consultative Documenthere
FSB (2013c)Principles for an Effective Risk Appetite Frameworkhere
FSB (2013d)Strengthening Oversight and Regulation of Shadow Banking: An Overview of Policy Recommendationshere
FSB (2014)Guidance on Supervisory Interaction with Financial Institutions on Risk Culturehere
FSB (2014a)Consultative Document: Assessment Methodologies for Identifying Non-Bank Non-Insurer Global Systemically Important Financial Institutions: Proposed High-Level Framework and Specific Methodologieshere
FSB (2014b)Background Document: Regulatory Framework for Haircuts on Non-Centrally Cleared Securities Financing Transactions: Procyclicality of haircuts: evidence from the QIS1here
FSB (2014c)Regulatory framework for haircuts on non-centrally cleared securities financing transactionshere
FSB (2015)Consultative Document (2nd) Assessment Methodologies for Identifying Non-Bank Non-Insurer Global Systemically Important Financial Institutions: Proposed High-Level Framework and Specific Methodologieshere
FSB (2015a)Principles on Loss-absorbing and Recapitalisation Capacity of G-SIBs in Resolution, Total Loss-absorbing Capacity (TLAC) Term Sheethere
FSB (2015b)2015 update of list of global systemically important banks (G-SIBs)here
FSB (2015c)2015 update of list of global systemically important insurers (G-SIIs)here
FSB (2016)Consultative Document: Proposed Policy Recommendations to Address Structural Vulnerabilities from Asset Management Activitieshere
G30 (2018)Managing the next financial crisishere
Gai, P., Kemp, M., Sanchez Serrano, A. and Schnabel, I. (2019)Regulatory complexity and the quest for robust regulationhere
Gai, P., Kemp, M., Sanchez Serrano, A. and Schnabel, I. (2019)Regulatory complexity and the quest for robust regulationhere
Galbraith, J.K. (1955)The Great Crash 1929here
Gale, D. and Yorulmazer, T. (2011)Liquidity hoardinghere
Galliani, C., Petrella, G. and Resti, A. (2014)The liquidity of corporate and government bonds: dirvers and sensitivity to different market conditionshere
Gamonet, J. (2011)Modelling operational risk in the insurance industryhere
Garcia, J., Goossens, S. and Schoutens, W. (2008)Let’s jump together: pricing credit derivativeshere
Gardiner, K., Lee, T., Olsen, H., Yeo, B. (2013)Asset Allocation at Barclays (White Paper)here
GCHQ (2012)10 Steps to Cyber Securityhere
Geneva Association (2010)Systemic Risk in Insurance: An Analysis of Insurance and Financial Stabilityhere
Genz, A. (1992)Numerical Computation of Multivariate Normal Probabilitieshere
Genz, A. (2004)Numerical Computation of Rectangular Bivariate and Trivariate Normal and t Probabilitieshere
Genz, A. and Bretz, F.(2002)Methods for the Computation of Multivariate t-Probabilitieshere
Ghahramani, Z. (2015)Probabilistic machine learning and artificial intelligencehere
Giacometti, R., Bertocchi, M., Rachev, S. and Fabozzi, F.J. (2009)Stable Distributions in the Black-Litterman Approach to Asset Allocationhere
Giamorridis, D. and Ntoula, I. (2007)A comparison of alternative approaches for determining the downside risk of hedge fund strategieshere
Gibbons, M., Ross, S.A. and Shanken, J. (1989)A test of the efficiency of a given portfoliohere
Gibson, R.C. (2013)Asset Allocation: Balancing Financial Riskhere
Gilboa, I. and Schmeidler, D. (1989)Maxmin Expected Utility with Non-Unique Priorhere
Giraldi, C., Susinno, G., Berti, G., Brunello, J., Buttarazzi, S., Cenciarelli, G., Daroda, C. and Stamegna, G. (2000)Insurance optionalhere
Gloria Mundi (website)Various collected articles on risk managementhere
Goldfarb, R. (2010)Risk-Adjusted Performance Measurement for P&C Insurershere
Goldstein, I. and Sapra, H. (2014)Should Banks' Stress Test Results be Disclosed. An analysis of the Costs and Benefitshere
Gordy, M. (2003)A risk-factor foundation for risk-based capital ruleshere
Goyenko, R., Subrahmanyam, A. and Ukhov, A. (2008)The Term Structure of Bond Market Liquidityhere
GPPC (2007)Determining Fair Value of Financial Instruments under IFRS in Current Market Conditionshere
Gracie, A. (2014)Managing cyber risk - the global banking perspectivehere
Graham, B. and Dodd, D.L. (2009)Security Analysis: Principles and Techniques, 6th Editionhere
Grant, K.L. (2004)Trading Risk: Enhanced Profitability through Risk Controlhere
Gray, A. (2016)US life insurers shaken by rock-bottom rateshere
Green, B. (1999)The Elegant Universe: Superstrings, Hidden Dimensions, and the Quest for the Ultimate Theoryhere
Greenbaum, S.I. (2012)Enterprise Risk Management in Financial Intermediationhere
Green European Foundation (2014)The Price of Doing Too Little Too Late: The impact of the carbon bubble on the EU financial systemhere
Gregory, J. and Laurent, J-P. (2004)In the core of correlationhere
Griffin, M. and Boomgaardt, R. (1999)Enterprise Risk and Return Management for Financial Institutionshere
Grinold, R.C. and Kahn, R. (1999)Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk, 2nd ed.here
Grinblatt, M. (2002)An Analytic Solution for Interest Rate Swap Spreadshere
Groupe Consultatif (2010)Security in occupational pensionshere
Guidolin, M. and Timmermann, A. (2006)International Asset Allocation Under Regime Switching, Skew and Kurtosis Preferenceshere
Hacker, J.S. (2008)The Great Risk Shift: The New Economic Insecurity and the Decline of the American Dreamhere
Hakenes, H. and Schnabel, I. (2014)Regulatory capture by sophisticationhere
Haldane, A.G. (2014)Halfway up the stairshere
Haldane, A.G. (2014a)The Age of Asset Managementhere
Haldane, A.G. and Madouros, V. (2012)The dog and the frisbeehere
Han, S. and Zhou, H. (2007)Effects of Bond Liquidity on the Nondefault Component of Corporate Bond Spreads: Evidence from Intraday Transactions Datahere
Hancock, J., Huber, P. and Koch, P. (2001)The economics of insurance: How insurers create value for shareholdershere
Hanouna, P., Novak, J., Riley, T. and Stahel, C. (2015)Liquidity and Flows of US Mutual Fundshere
Harrison, D. and Blake, D. (2015)The Greatest Good for the Greatest Numberhere
Haslip, G (2008)A Practical Study of Economic Scenario Generators For General Insurershere
Hatchett, J., Bowie, D. and Forrester, N. (2010)Risk management for DB pension fundshere
Havil, J. (2007)Nonplussed! Mathematical Proof of Impausible Ideashere
Havil, J. (2008)Impossible? Surprising Solutions of Counterintuitive Conundrumshere
Hawking, S. (Ed), and Nicolaus Copernicus, Johannes Kepler, Galileo Galalei, Isaac Newton, Albert Einstein (2003)On the Shoulders of Giantshere
Hawkins, J. and Keogh, T. (2008)Transferring the riskhere
Hayes, B.T. (2007)August 2007 Quantitative Equity Turbulence: An Unkown Unknown Becomes a Known Unknownhere
He, H. (2001)Modeling Term Structures of Swap Spreadshere
Heam, J-C. (2014)How to measure Interconnectednesshere
Heath, D., Jarrow, R.A. and Morton, A. (1992)Bond pricing and the term structure of interest rates: a new methodology for contingent claims valuationhere
Heaton, J.B, Polson, N., Whitte, J.H. (2016)Deep Learning for Finance: Deep Portfolioshere
Hebner, M. (2013)Index Funds: The 12-step recovery plan for active investorshere
Hebner, M. (2015)Index Funds: The 12-step recovery plan for active investors: Step 9: Historyhere
Heidorn, T. and Kahlert, D. (2010)Implied Correlations of iTraxx Tranches during the Financial Crisishere
Hellwig, M. (2014)Systemic Risk and Macro-Prudential Policyhere
Henrard, M. (2011)Adjoint Algorithmic Differentiation: Calibration and Implicit Function Theoremhere
Herzog, F., Dondi, G., Keel, S., Schumann, L.M. and Geering, H.P. (2009)Solving ALM Problems via Sequential Stochastic Programminghere
Heywood, G.C., Marsland, J.R. and Morrison, G.M. (2003)Practical risk management for equity portfolio managershere
HIH Royal Commission (2003)The failure of HIH Insurancehere
Hill, B.M. (1975)A simple General Approach to Inference about the Tail of a Distributionhere
Hitchcox, A.N., Klumpes, P. J. M., McGaughey, K. W., Smith, A. D. and Taverner, N. H. (2010)ERM for Insurance Companies - Adding the Investor’s Point of Viewhere
Hitchcox, A., Patel, C., Ramsey, C., Studd, E., Ma, L., Elliott, M. and Keogh, T. (2017)Integrated risk management for defined benefit pension schemes: A practical guidehere
HM Government Finance Function (2020)The Orange Book: Management of Risk - Principles and Conceptshere
HM Government Finance Function (2021)Risk Appetite Guidance Notehere
HM Government Finance Function (2021a)Risk Management Skills and Capability Frameworkhere
HM Government Finance Function (2021b)Good Practice Guide: Risk Reportinghere
HM Treasury (2009)A review of corporate governance in UK banks and other financial industry entities - Final Recommendationshere
HM Treasury (2013)Review of Quality Assurance of Government Analytical Modelshere
HM Treasury (2020)The Green Book: Central Government Guidance on Appraisal and Evaluationhere
Hodges, S.D. and Neuberger, A. (1989)Optimal replication of contingent claims under transaction costshere
Hoevenaars, R.P.M.M, Molenaar, R.D.J, Schotman, P.C., Steenkamp, T.B.M. (2007)Strategic asset allocation with Liabilities: Beyond Stocks and Bondshere
Hoffman, B. (2014)Asset allocation in the presence of uncertaintyhere
Hollo, D., Kremer, M. and Lo Duca, M. (2012)CISS - A Composite Indicator of Systemic Stress in the Financial Systemhere
Homescu, C. (2011)Adjoints and automatic (algorithmic) differentiation in computational financehere
Hosty, G.M., Groves, S.J., Murray, C.A. and Shah, M. (2007)Pricing and risk capital in the equity release markethere
House of Commons (2015)Greek debt crisis: background and developments in 2015here
Houweling, P., Mentink, A. and Vorst, T. (2005)Comparing possible proxies of corporate bond liquidityhere
Hsuku, Y-H. (2009)Dynamic Consumption and Asset Allocation with Derivative Securitieshere
Huang, M. (2002)Liquidity shocks and equilibrium liquidity premiahere
Huang, J. and Huang, M. (2003)How Much of the Corporate-Treasury Yield Spread is Due to Credit Risk?: A New Calibration Approachhere
Hubbard, D. (2009)The Failure of Risk Management: Why It's Broken and How to Fix Ithere
Hu, Z., Kerkhof, J., McCloud, P. and Wackertapp, J. (2006)Cutting edges using domain integrationhere
Hughston, L.P. and Tod, K.P. (1990)An Introduction to General Relativityhere
Huizinga, H. and Laeven, L. (2010)Bank Valuation and Regulatory Forbearance During a Financial Crisishere
Hull, J.C. (2003)Options, Futures and Other Derivativeshere
Hull, J., Predescu, M., White, A. (2004)The relationship between credit default swap spreads, bond yields, and credit rating announcementshere
Hull, J.C. and White, A. (1998)Incorporating volatility up-dating into the historical simulation method for VaRhere
Hurlin, C. and Tokpavi, S. (2006)Backtesting value-at-risk accuracy: a simple new testhere
IAA (2004)A Global Framework for Insurer Solvency Assessmenthere
IAA (2007)Exposure Draft: Measurement of liabilities for insurance contracts: Current Estimates and Risk Marginshere
IAA (2008a)Measurement of Liabilities for Insurance Contracts: Current Estimate and Risk Margins. Re-exposure drafthere
IAA (2008b)A Note on Financial Economicshere
IAA (2009)Note on Enterprise Risk Management for Capital and Solvency Purposes in the Insurance Industryhere
IAA (2010)Comprehensive Actuarial Risk Evaluationhere
IAA (2010a)Stochastic Modeling: Theory and Reality from an Actuarial Perspectivehere
IAA (2010b)Note on the use of Internal Models for Risk and Capital Management Purposes by Insurershere
IAA (2013)Discount Rates in Financial Reporting: A Practical Guidehere
IAA (2013a)Study of ERM Activities at IAA Member Associationshere
IAA (2013b)Stress Testing and Scenario Analysishere
IAA (2013c)Actuarial Viewpoints on and Roles in Systemic Risk Regulation in Insurance Marketshere
IAA (2015)Deriving Value from ORSA: Board Perspectivehere
IAA, Coggins, C., Dexter, N., Kemp, M. and Oost, J. (2016)Own Risk and Solvency Assessment (ORSA)here
IAIS (2007)Guidance Paper on Enterprise Risk Management for Capital Adequacy and Solvency Purposeshere
IAIS (2012)Insurance Core Principles, Standards, Guidance and Assessment Methodologyhere
IAIS (2012a)Insurance Core Principles: ICP 16 Enterprise Risk Management for Solvency Purposeshere
IAIS (2013)Global Systemically Important Insurers: Initial Assessment Methodologyhere
IAIS (2013a)Capital Requirements for Global Systemically Important Insurers (G-SIIs): Proposalhere
IAIS (2014)Basic Capital Requirements for Global Systemically Important Insurershere
IAIS (2014a)Risk-based Global Insurance Capital Standard: Public Consultation Documenthere
IAIS (2015)Higher Loss Absorbency capacity for Global Systemically Important Insurers: Public Consultation Documenthere
IAIS (2015a)Higher Loss Absorbency Requirement for Global Systemically Important Insurers (G-SIIs)here
IAIS (2015b)Global Systemically Important Insurers: Proposed Updated Assessment Methodology: Public Consultation Documenthere
IAIS (2015c)Insurance Core Principles (Updated November 2015)here
IAIS (2016)Risk-based Global Insurance Capital Standard Version 1.0: Public Consultation Documenthere
IAIS (2018)Holistic Framework for Systemic Risk in the Insurance Sectorhere
IAIS (2018a)Risk-based Global Insurance Capital Standard Version 2.0: Public Consultation Documenthere
IASB (2007a)Discussion Paper: Preliminary Views on Insurance Contracts. Part 1: Invitation to Comment and main texthere
IASB (2007b)Discussion Paper: Preliminary Views on Insurance Contracts. Part 2: Appendiceshere
IASB (2008)Reclassification of Financial Assets. Amendments to IAS Financial Instruments: Recognition and Measurement and IFRS 7 Financial Instruments: Disclosurehere
IASB (2010)Defined benefit plans: Proposed amendments to IAS 19, Exposure Draft/2010/3here
IASB (2014)IFRS 9 Financial Instruments: Project Summaryhere
IBM (2009)White Paper: Seven risk dashboards every bank needshere
ICAEW (2002)No surprises: working for better risk reportinghere
ICAEW (2005a)Risk management: Risk Management among SMEshere
ICAEW (2005b)Risk management: A guide for finance professionalshere
ICB (2011)The Independent Commission on Banking: The Vickers Reporthere
ICE and IFoA (2009)ERM - a Guide to Implementationhere
ICE and IFoA (2014)Risk Analysis and Management for Projects (RAMP), 3rd editionhere
Idzorek, T.M. and Kowara, M. (2013)Factor-based Asset Allocation vs Asset-Class-Based Asset Allocationhere
IFoA (2015)APS L1: Duties and Responsibilities of Life Assurance Actuaries (Version 2.0 Effective 1 January 2016)here
IFoA FRC and Risk Reporting Working Party (2016)Oil and Gas Case Studyhere
IFRS (2010)Management Commentary: A framework for presentationhere
IMA (2004)Market timing: guidelines for managers of investment fundshere
IMA and DATA (2004)Pricing guidance for investment funds: fair value pricinghere
IMF (2009)Guidance to Assess the Systemic Importance of Financial Institutions, Markets and Instruments: Initial Considerations: Report to the G-20 Finance Ministers and Central Bank Governorshere
IMF (2015)Global Financial Stability Report, April 2015, Chapter 3: The Asset Management Industry and Financial Stabilityhere
IMF (2015a)United States Financial Sector Assessment Program: Stress Testing - Technical Notehere
IMF (2016)Global Financial Stability Report, April 2016, Chapter 3: The Insurance Sector - Trends and Systemic Risk Implicationshere
IMF Website Part on Financial StabilityGlobal Financial Stability Report: A Report by the Monetary and Capital Markets Department on Market Developments and Issueshere
Impavido, G., Al-Darwish, A., Hafeman, M., Kemp, M. and O'Malley, P. (2011)Possible Unintended Consequences of Basel III and Solvency IIhere
Ingram, D. (2009)Risk and Lighthere
Ingram, D. and Santori, L. (2006)Insurance Criteria: Refining the Focus of Insurer Enterprise Risk Management Criteriahere
Instefjord, N. , Jackson, P. and Perraudin, W. (1998)Securities fraudhere
Insurance Europe (2014)Why insurers differ from bankshere
Invesco (2015)Historical Asset Class Returnshere
IRM (2011)Risk Appetite and Risk Tolerance Guidance Paperhere
IRM (2015)Operational risk modelling: common practices and future development (Executive Summary)here
ISO (2009)ISO 31000 - Risk Managementhere
Ito, T. and Okazaki, S. (2000)Pushing the limits of lithographyhere
Jackson, P., Perraudin, W. and Saporta, V. (2002)Regulatory and "economic" solvency standards for internationally active bankshere
Jackson,C.W. (2005)Business Fairy Tales: Grim Realities of Fictitious Financial Reportinghere
Jaffee D. and J. Walden (2010)The Impact of Basel III and Solvency II on Swedish Banks and Insurers - An Equilibrium Analysishere
Jagannathan, R. and Ma, T. (2003)Risk reduction in large portfolios: Why imposing the wrong constraints helpshere
Jarrow, R., Li, L., Mesler, M. and van Deventer, D. (2007)The determinants of corporate credit spreadshere
Jaschke, S.R. (2002)The Cornish-Fisher-Expansion in the Context of Delta-Gamma-Normal Approximationshere
Jelicic, D., Brooks, M., Holt, S., Jagger, S., Kemp, M., Lavin, P. and Wilson, C. (2000)Demystifying Active Quanthere
Jenkins, P. (2016)Banking can learn from insurance on systemic riskhere
Jobson, J.D. and Korkie, B. (1980)Estimation for Markowitz Efficient Portfolioshere
Johansen, A. and Sornette, D. (1999)Critical crasheshere
Johnson, S. (2014)Money market investors consider private fundshere
Jordan, B.D. and Jordan, S.D. (1997)Special Repo Rates: An Empirical Analysishere
Jorion, P. (1986)Bayes-Stein Estimation for Portfolio Analysishere
Jorion, P. (1994)Mean/Variance Analysis of Currency Overlayshere
Kahn, R. (1999)Seven Quantitative Insights into Active Managementhere
Kahneman, D. (2011)Thinking, Fast and Slowhere
Kalkbrener, M. (2010)Understanding the Behaviour of Credit Correlations Under Stresshere
Kashyap, A.K., Rajan, R.G. and Stein, J.C. (2008)Rethinking Capital Regulationhere
Kaye, G.W.C. and Laby, T.H. (1986)Tables of Physical and Chemical Constantshere
Kay, J. and King, M. (2020)Radical Uncertaintyhere
Kazemi, H., Schneeweis, T. and Gupta, R. (2003)Omega as a Performance Functionhere
Keating, C., Hatchett, J., Smith, A., Walton, J. and Zhao, T. (2014)Liquidity: essence, risk, institutions, markets and regulationhere
Keller, P. Kemp, M. Krischanitz, C. (2012)Market Consistency - an educational notehere
Kelliher, P.O.J., Wilmot, D., Vij, J. and Klumpes, P.J.M. (2011)Discussion Paper: A Common Risk Classification System for the Actuarial Professionhere
Kemp, M.H.D. (1997)Actuaries and derivativeshere
Kemp, M.H.D, Cumberworth, M., Gardner, D., Griffiths, J., Rains, P. and Sandford, C. (2000)Portfolio Risk Measurement and Reporting: An Overview for Pension Fundshere
Kemp, M.H.D. (2001)Ultra-high resolution imaging deviceshere
Kemp, M.H.D. (2003)Optical Imaging Device Design for Solar Powered Flight and Power Generationhere
Kemp, M.H.D. (2005)Risk Management in a Fair Valuation Worldhere
Kemp, M.H.D. (2005a)Solar-Powered Space Flighthere
Kemp, M.H.D. (2007)130/30 Funds: Extending the alpha generating potential of long-only equity portfolioshere
Kemp, M.H.D. (2008a)Efficient implementation of global equity ideashere
Kemp, M.H.D. (2008b)Enhancing alpha delivery via global equity extended alpha portfolioshere
Kemp, M.H.D. (2008c)Efficient Alpha Capture in Socially Responsible Investment Portfolioshere
Kemp, M.H.D. (2008d)Catering for the Fat-tailed Behaviour of Investment Returns: Improving on Skew, Kurtosis and the Cornish-Fisher Adjustmenthere
Kemp, M.H.D. (2009)Market consistency: Model calibration in imperfect marketshere
Kemp, M.H.D. (2009a)The VaR vs Tail VaR Mindsethere
Kemp, M.H.D. (2010)Extreme Events. Robust Portfolio Construction in the Presence of Fat Tailshere
Kemp, M.H.D. (2010a)Liquidity Risk - Its Relevance to Actuarieshere
Kemp, M.H.D. (2010b)Regulatory Change and the Credit/Liquidity Crisishere
Kemp, M.H.D. (2010c)Extreme Events and Portfolio Constructionhere
Kemp, M.H.D. (2011)Entity-wide risk management for pension fundshere
Kemp, M.H.D. (2011a)Sponsor covenants in risk-based capitalhere
Kemp, M.H.D. (2011)Extreme Events. Robust Portfolio Construction in the Presence of Fat Tailshere
Kemp, M.H.D. (2013)Tail Weighted Probability Distribution Parameter Estimationhere
Kemp, M.H.D. (2014a)Changing financial sector interconnectivities and their impact on regulatory frameworks (updated)here
Kemp, M.H.D. (2014b)Regulatory costs and risk neutralityhere
Kemp, M.H.D. (2014c)Capital Adequacy: a conceptual framework; Appendix A of 'Changing financial sector interconnectivities and their impact on regulatory frameworks (updated)'here
Kemp, M.H.D. (2016)How the financial system helps society innovate and develophere
Kemp, M.H.D. (2017)Systemic Risk: A Practitioner’s Guide to Measurement, Management and Analysishere
Kemp, M.H.D. (2019)Improving valuation run-times for derivative bookshere
Kemp, M.H.D., Richardson, M. and Wilson, C. (2000)Investment Manager Style Analysishere
Kemp, M.H.D., Chrishanitz, C., de Leval, D., Van den Borre, E. (2019)Actuaries and Operational Risk Managementhere
Kemp, M.H.D. and Patel, C.C. (2011)Entity-wide Risk Management for Pension Fundshere
Kemp, M.H.D. and Patel, C.C. (2011)Entity-wide Risk Management for Pension Funds (Japanese translation)here
Kemp, M.H.D. and Varnell, E. (2010)Regulatory frameworks - lessons learned and potential implications of the Credit Crisishere
Kent, J. and Morgan, E. (2008)Dynamic Policyholder Behaviourhere
Kenyon, C. (2010)Post-shock short-rate pricinghere
Kenyon, C. and Green, A. (2014)Regulatory costs break risk neutralityhere
Keynes, J.M. (1936)The General Theory of Employment, Interest, and Moneyhere
Khan, S. (2010)Enterprise-Wide Risk Management in Microfinance Institutions: The ASA Experiencehere
Khwaja, A. (2016)USD OIS Swap Volumes Surgehere
King, N. (2013)Contagion: A misnomer for financial crisishere
Kleiber, C. and Kolz, S. (2003)Statistical Size Distributions in Economics and Actuarial Scienceshere
Klein, M.V. and Furtak, T.E. (1986)Opticshere
Klein, R.W. and Bawa, V.S. (1976)The Effect of Estimation Risk on Optimal Portfolio Choicehere
Klement, J. (2005)Commodity Forecasting for Tactical Asset Allocationhere
Klibanoff, P., Marinacci, M. and Mukerji, S. (2005)A smooth model of decision making under ambiguityhere
Klöppel, S., Reda, R. and Schachermayer, W. (2009)A rotationally invariant technique for rare event simulationhere
Klumpes, P., Kumar, A. and Dubey, R. (2013)Investigating risk reporting practices in the global insurance industryhere
Knight, F. H. (1921)Risk, Uncertainty and Profithere
Knight, J. and Satchell, S. (2005)Linear Factor Models in Financehere
KPMG (2009)Understanding and Articulating Risk Appetitehere
Kocken, T.P. (2006)Curious Contracts: Pension Fund Redesign for the Futurehere
Kriwaczek, P. (2010)Babylon: Mesopotamia and the Birth of Civilizationhere
Kuenzi, D.E. (2005)Variance swaps and non-constant vegahere
Kuenzi, D.E. (2007)Shedding Light on Alternative Beta: A Volatility and Fixed Income Asset Class Comparisonhere
Kupiec, P. (1995)Techniques for verifying the accuracy of risk management modelshere
Kutas, J., Perraudin, W. and Qiu, Y. (2016)Solvency II Capital Calibration for Securitisationshere
Kwiatkowski, J. and Rebonato, R. (2010)A coherent aggregation framework for stress testing and scenario analysishere
Laloux, L., Cizeau, P., Bouchard, J-P. and Potters, M. (1999)Random matrix theoryhere
Lam, J. (2003)Enterprise Risk Managementhere
Lam, J. (2014)Enterprise Risk Management, 2nd editionhere
Landier, A. and Thesmar, D. (2011)Regulating Systemic Risk Through Transparency: Tradeoffs in Making Data Publichere
Lashinsky, A. (2012)Inside Apple: The Secrets Behind the Past and Future Success of Steve Jobs's Iconic Brandhere
Laskar, J. and Gastineau, M. (2009)Existence of collisional trajectories of Mercury, Mars and Venus with the Earthhere
Laux, C., and Leuz, C. (2010)Did fair-value accounting contribute to the financial crisis?here
Ledlie, M.C., Corry, D.P., Finkelstein, G.S., Ritchie, A.J., Su, K. and Wilson, D.C.E. (2008)Variable annuitieshere
Ledoit, O. and Wolf, M. (2003a)Improved estimation of the covariance matrix of stock returns with an application to portfolio selectionhere
Ledoit, O. and Wolf, M. (2003b)Honey, I Shrunk the Sample Covariance Matrixhere
Ledoit, O. and Wolf, M. (2004)A well-conditioned estimator for large-dimensional covariance matriceshere
Lee, C.M.C., Shleifer, A. and Thaler, R.H. (1990)Anomalies - closed-end mutual fundshere
LEI ROC (2014)Legal Identity Identifier Regulatory Oversight Committeehere
Leland, H. (1999)Optimal Portfolio Management with Transaction Costs and Capital Gains Taxeshere
Leland, H. and Toft, K. (1996)On the pricing of corporate debt: The risk structure of interest rateshere
Leippold, M. (2004)Don’t rely on VaRhere
Levitt, W. and Dubner, S. (2005)Freakonomics: A Rogue Economist Explores the Hidden Side of Everythinghere
Lewin, C. (2010)The New ERM Guidehere
Lewis, M. (2006)Liar's Pokerhere
LIFFE (1992a)The reporting and performance measurement of financial futures and options in investment portfolioshere
LIFFE (1992b)Futures and options: standards for measuring their impact on investment portfolioshere
Lim, A., Feced, R., Morris, W. and Wesson, P. (2013)Asset Allocation at Barclays (White Paper) Mathematical Appendix: the Strategic Asset Allocation Process, step by stephere
Linter, J. (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgetshere
Liodakis, M., Dupleich-Ulloa, R. and Mesomeris, S. (2008)Academic Research Digesthere
Litterman, R. and the Quantitative Resources Group, Goldman Sachs Asset Management (2003)Modern Investment Management: An Equilibrium Approachhere
Liu, M. and Staum, J. (2012)Systemic Risk Components in a Network Model of Contagionhere
Llewellyn, D.T. (2009)The Northern Rock Crisis: A Multi-dimensional problem waiting to happenhere
Lloyd, S. (2000)Ultimate physical limits to computationhere
Lloyds Market Association (2013)Catastrophe Modelling Guidance for Non-Catastrophe Modellershere
Lohre, H. (2009)Modelling Correlation and Volatility Within a Portfoliohere
Longstaff, F.A. (2005)Asset pricing in markets with illiquid assetshere
Longuin, F. (1993)Booms and crashes: application of extreme value theory to the U.S. stock markethere
Longuin, F. and Solnik, B. (2001)Extreme Correlation of International Equity Marketshere
Lopez, J. A. and Saidenberg, M. R. (1999)Evaluating Credit Risk Modelshere
Lousto, C. and Nakano, H. (2008)Three-body equations of motion in successive post-newtonian approximationshere
Lowenstein, R. (2001)When Genius Failed: The Rise and Fall of Long-Term Capital Managementhere
Lowenstein, R. (2004)Origins of the Crash: The Great Bubble and its Undoinghere
Lucas, R.E. (1976)Econometric policy: A critiquehere
MacDonald, M. (2006)Beginning ASP.NET 2.0 in VB 2005: From Novice to Professionalhere
Mackay, C. (1841)Extraordinary Popular Delusions and The Madness of Crowdshere
Maggiore, M. (2005)A Modern Introduction to Quantum Field Theoryhere
Mahar, M. (2003)Bull! A History of the boom 1982-1999here
Malevergne, Y. and Sornette, D. (2002)Minimising extremeshere
Malhotra, R. (2008)Extreme Value Theory and Tail Risk Managementhere
Malhotra, R. and Ruiz-Mata, J. (2008)Tail Risk Modelling with Copulashere
Malz, A. (2001)Crises and volatilityhere
Malz, A. (2003)Liquidity Risk: Current Research and Practicehere
Mandelbrot, B. and Hudson, R. (2006)The Misbehaviour of markets: A fractal view of Financial Turbulencehere
Manistre, B.J. (2009)A Risk Management Tool for Long Liabilities: The Static Control Modelhere
Ma, W. and Pirone, J. (2014)Investment Insights: Alternatives and Liquidity: Incorporating Liquidity Constraints into Portfolio Constructionhere
Markov, I.L. (2014)Limits on fundamental limits to computationhere
Markowitz, H. (1952)Portfolio selectionhere
Markowitz, H. (1959)Portfolio Selection: Efficient Diversification of Investmentshere
Markowitz, H. (1987)Mean-Variance Analysis in Portfolio Choice and Capital Marketshere
Marshall, A. (1924)Money, Credit and Commercehere
Mason, M.K. (2010a)What Causes Small Businesses to Fail?here
Mason, M.K. (2010b)What Causes Small Businesses to Prosperhere
Mayer-Schonberger, V. and Cukier, K. (2013) Big Datahere
McNeil, A.J., Frey, R. and Embrechts, P. (2005)Quantitative risk management: Concepts, Techniques, Toolshere
Mehran, H. and Thakor, A. (2010)Bank Capital and Value in the Cross Sectionhere
Mehrling, P. (2012)Fischer Black and the Revolutionary Idea of Financehere
Mehta, S.J.B., Abbot, M.G., Addison, D.T., Dodhia, M., Hitchen, C.J., Oddie, A.J., Poulding, M.R. and Riddington, D.M. (1996)The financial management of unit trust and investment companieshere
Mercurio, F. (2010)LIBOR Market Models with Stochastic Basishere
Merton, R.C. (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Casehere
Merton, R.C. (1971)Optimum Consumption and Portfolio Rules in a Continuous-Time Modelhere
Merton, R.C. (1974)On the pricing of corporate debt: The risk structure of interest rateshere
Merton, R.C. (1980)On Estimating the Expected Return on the Markethere
Meucci, A. (2005)Risk and Asset Allocationhere
Meucci, A. (2006)Beyond Black-Litterman: views on non-normal marketshere
Meulbroek, L. (2002)Integrated Risk Management for the Firm: A Senior Manager‘s Guidehere
Miccolis, J. and Shah, S. (2002)RiskValueInsights(TM): Creating Value Through Enterprise Risk Management - A Practical Approach for the Insurance Industryhere
Michaud, R. (1989)The Markowitz optimization enigma: Is optimized optimal?here
Michaud, R. (1998)Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocationhere
Michaud, R., Michaud, R. and Balter, D. (2015)fi360 Asset Allocation Optimizer Risk-Return Estimateshere
Mikes, A. (2005)Enterprise Risk Management in Actionhere
Milken Institute (2008)Catastrophe Bonds: Using the Capital Markets to Create Risk Protectionhere
Millard, C. et al. (2013)Cloud computing lawhere
Mills, T. (1999)The Econometric Modelling of Financial Time Serieshere
Mills, A. (2010)Complexity science: An introduction (and invitation) for actuarieshere
Minka, T.P. (2002)Estimating a Gamma distributionhere
Minsky, B. and Thapar, R. (2009)Quantitatively building a portfolio of hedge fund investmentshere
Misner, C.W., Thorne, K.S. and Wheeler, J.A. (1973)Gravitationhere
Moberg, D. and Romar, E. (2003)WorldCom Case Studyhere
Modigliani, F. and Miller, M.H. (1958)The cost of capital, corporation finance and the theory of financehere
Monahan, G. (2008)Enterprise Risk Management: A Methodology for Achieving Strategic Objectiveshere
Montier, J. (2007)Behavioural investing: A practitioner’s guide to applying behavioural financehere
Morgan Stanley (2002)Quantitative Strategies Research Notehere
Morjaria, N., Aggarwal, A., Beck, M.B., Cann, M., Ford, T., Georgescu, D., Smith, A., Taylor, Y., Tsanakas, A., Witts, L. and Ye, I. (2015)Model Risk: Daring to open up the black boxhere
Mossin, J. (1966)Equilibrium in a Capital Asset Markethere
Murphy, H. (2017)Database move gives blockchain its first big test casehere
Myers, C. and Ingram, D. (2006)Insurance Criteria: Nonlife Insurance Risk Control Criteria and Their Role in Enterprise Risk Managementhere
Nagan, D.A. and Patterson, A.C. (2011)eERM - effective Enterprise Risk Managementhere
NAIC (2012)Risk Management and Own Risk and Solvency Assessment Model Acthere
NAIC (2013)NAIC Own Risk and Solvency Assessment (ORSA) Guidance Manualhere
NAPF (2014)IORP Directive Mk II (website viewed 12 December 2014)here
NASA (2005)Solar Sail Design and Constructionhere
Nationwide Financial (2014)Asset allocation mattershere
Neuberger, A. J. (1990)Option pricing: a non-stochastic approachhere
Nguyen, H.D. and McLachlan, G.J. (2016)Maximum Likelihood Estimation of Triangular and Polygonal Distributionshere
Nickell, P., Perraudin, W. and Varotto, S. (2008)Ratings-based credit risk modelling: an empirical analysishere
NIST (2008)NIST Special Publication 811, 2008 Editionhere
Nocco, B. W. and Stulz, R. M. (2006)Enterprise Risk Management: Theory and Practicehere
Nolan, J.P. (2005)Modelling financial data with stable distributionshere
NOLGHA (2011)NOLGHA Testimony Before the House Financial Services Committee on "Insurance Oversight and Regulatory Proposals"here
Northfield (2004)Estimating Returns for Asset Allocationhere
Norwood, B., Bailey, J. and Lusk, J. (2004)Ranking Crop Yields Using Out-of-sample Log Likelihood Functionshere
Novy-Marx, R. (2004)On the Excess Returns to Illiquidityhere
National Research Council (2001)An assessment of the DTRA's Advanced Thermionics Research and Development Programhere
O’Brien, C., Woods, M. and Billings, M. (2010)Pension risk disclosures by FTSE100 companieshere
O’Brien, J. and Szerszen, P.J. (2014)An Evaluation of Bank VaR Measures for Market Risk During and Before the Financial Crisishere
OECD/IOPS (2011)Good practices for pension funds’ risk management systemshere
OeNB (2004)Guidelines on Credit Risk Management: Credit Approval Process and Credit Risk Managementhere
Orros, G.C. and Smith, J. (2010)ERM for health insurance from an actuarial perspectivehere
ORX and McKinsey (2017)The future of operational riskhere
OSFI (2013)Own Risk and Solvency Assessment Guidelineshere
Overhaus, M., Bermúdez, A., Buehler, H., Ferraris, A., Jordinson, C. and Lamnourar, A. (2007)Equity Hybrid Derivativeshere
Pagano, M. and Volpin, P. (2012)Securitization, Transparency, and Liquidityhere
Palin, J. (2002)Agent based stock-market models: calibration issues and applicationhere
Palin, J., Silver, N., Slater, A. and Smith, A.D. (2008)Complexity economics: Application and Relevance to Actuarial Workhere
Panjer, H.H. (1981)Recursive evaluation of a family of compound distributionshere
Panjer, H. (2006)Operational Risk : Modeling Analyticshere
Pankratz, A. (1991)Forecasting with Dynamic Regression Modelshere
Papageorgiou, A. and Traub, J. (1996)Beating Monte Carlohere
Papaioannou, M.G., Park, J., Pihlman, J. and Van der Hoorn, H. (2013)Procyclical Behaviour of Institutional Investors During the Recent Financial Crisis: Causes, Impacts, and Challengeshere
Pape, U. and Schlecker, M. (2007)Are Credit Spreads and Interest Rates Co-Integrated? Empirical Analysis in the USD Corporate Bond Markethere
Partnoy, F. (2003)Infectious Greed: How Deceit and Greed Corrupted the Financial Markethere
Patel, C. (2008)Pensions regulation: A bridge too far?here
Patel, C. and Daykin, C. (2010)Actuaries and Discount Rateshere
PCAOB (2007)Staff Audit Practice Alert No 2: Matters Related to Auditing Fair Value Measurements of Financial Instruments and the Use of Specialistshere
Peckham, R. (2013)Contagion: epidemiological models and financial criseshere
Pedersen, H., Campbell, M.P., Christiansen, S.L., Finn, D., Griffin, K., Hooker, N., Lightwood, M., Sonlin, S.M. and Suchar, C. (2016)Economic Scenario Generators: A Practical Guidehere
Peek, J., Reuss, A. and Scheuenstuhl, G. (2008)Evaluating the Impact of Risk Based Funding Requirements on Pension Fundshere
Pena, V. H., de la, Rivera, R. Ruiz-Mata, J. (2006)Quality control of risk measures: backtesting VAR modelshere
Pengelly, M. (2008)Sunk by correlationhere
Peplow, M. (2015)Graphene booms in factories but lacks a killer apphere
Persaud, A, (2007)The right direction for credit ratings agencieshere
Perkel, J. (2015)Eight ways to clean a digital libraryhere
Pickands, J. (1975)Statistical Inference Using Extreme Order Statisticshere
Pickett, K.H.S. (2006)Enterprise Risk Management: A Manager’s Journeyhere
Pirrong,C. (2014)A bill of goods: central counterparties and systemic riskhere
Poisson, E. (2007)Post-Newtonian theory for the common reader (Lecture Notes)here
Poundstone, W. (2005)Fortune's Formula: The Untold Story of the Scientific Betting System That Beat the Casinos and Wall Streethere
Power, M., Ashby, S. and Palermo, T. (2013)Risk Culture in Financial Oragnisationshere
PPF (2014)The Purple Book: DB Pensions Universe Risk Profile 2014here
PRA (2012a)The PRA's approach to banking supervisionhere
PRA (2012b)The PRA's approach to insurance supervisionhere
PRA / FCA (2015a)(UK) PRA and FCA Handbook: Principles for Business (PRA Rulebook)here
PRA / FCA (2015b)(UK) PRA and FCA Handbook: Principles for Business (FCA Handbook)here
PRA (2015)The impact of climate change on the UK insurance sectorhere
PRA (2015a)The Internal Capital Adequacy Assessment Process (ICAAP) and the Supervisory Review and Evaluation Process (SREP) here
PRA (2015b)Assessing capital adequacy under Pillar 2here
PRA (2018)Supervisory Statement SS3/18 Model risk management principles for stress testinghere
PRA (2018a)Supervisory Statement SS17/16 (updated October 2018) Solvency II: internal models - assessment, model change and the role of non-executive directorshere
Press, W. H., Teukolsky, S. A., Vetterling, W. T. and Flannery, B. P. (1992)Numerical Recipes in C: The Art of Scientific Computing, 2nd ed.here
Press, W.H., Teukolsky, S.A., Vetterling, W.T. and Flannery, B.P. (2007)Numerical Recipes: The Art of Scientific Computinghere
Puccia, M. (2007)The Role of ERM in Ratingshere
PWC (2013)Valuing Sponsor Supporthere
PwC (2016)PwC Global FinTech Report March 2016: Blurred lines: How FinTech is shaping Financial Serviceshere
Pykhtin, M. and Dev, A. (2002)Analytical approach to credit risk modellinghere
Raman, A.P., Anoma, M.A., Zhu, L., Rephaeli, E. and Fan, S. (2014)Passive radiative cooling below ambient air temperature under direct sunlighthere
Rebonato, R. 2007)Plight of the Fortune Tellers: Why we need to Manage Financial Risk Differentlyhere
Rebonato, R. (2010)Coherent stress testinghere
Record, M. (2009)Writing a Winning Business Plan (5th edition)here
Reinhart, C. and Rogoff, K. (2008)Is the 2007 U.S. Sub-Prime Financial Crisis so Different? An International Historical Comparisonhere
Reinhart, C.M. and Rogoff, K.S. (2009)This Time is Different: Eight Centuries of Financial Follyhere
Ren, Y., Madan, D. and Qian, M.Q. (2007)Calibrating and pricing with embedded local volatility modelshere
Richards, S.J. (2008)Applying Survival models to pensioner mortality datahere
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
Roach (2008)Add ‘financial stability’ to the Fed’s mandatehere
Robbins, E.L., Cox, S.H. and Phillips, R.D. (1997)Application of Risk Theory to Interpretation of Stochastic Cash-Flow-Testing Resultshere
Rockinger, M. and Jondeau, E. (2002)Entropy densities with an application to autoregressive conditional skewness and kurtosishere
Roebuck, K. (2012)Enterprise risk management (ERM): High-impact Strategies - What You Need to Know: Definitions, Adoptions, Impact, Benefits, Maturity, Vendorshere
Rogers, L.C.G. and Williams, D. (1994)Diffusions, Markov Processes and Martingales Vol Ihere
Rogoff, K. (2012)Ending the financial arms racehere
Rogoff, K. and Reinhart, C. (2008)Is the 2007 Sub-Prime Financial Crisis So Different? An International Historical Comparisonhere
Rootzén, H. and Tajvidi, N. (1995)Extreme value statistics and wind storm losses: a case study.here
Ropeik, D. and Gray, G. (2002)Risk: A Practical Guide for Deciding What's Really Safe and What's Really Dangerous in the World Around Youhere
Rösch, D. and Scheule, H. (2007)Stess-testing credit risk parameters: an application to retail loan portfolioshere
Rösch, D. and Scheule, H. (2010)Model Risk - Identification, Measurement and Managementhere
Rosen, D. and Saunders, D. (2009)Risk Factor Contributions in Portfolio Credit Risk Modelshere
Rowe, D. (2005)Whither stress testing?here
Rubinstein(1996)Implied binomial treeshere
Rubinstein, M. (2006)A History of the Theory of Investmentshere
Rudolph, M. (2012)Preparing to Deal with Digital's Looming Dark Sidehere
Rule, D. (2008)Time is nigh to rethink basis of floating rate debthere
Rule, D. (2019)Model use and misusehere
Russell Investors (2015)Asset Class Dashboardhere
Salmon, I. L. and Fine, A.E.M. (1991)Reflections on a takeover of a United Kingdom insurer: a case studyhere
Samuelson, P.A. (1969)Lifetime Portfolio Selection by Dynamic Stochastic Programminghere
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
S&P (2013)What May Cause Insurance Companies To Fail - And How This Influences Our Criteriahere
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
Schönbucher, P. J. (2003)Credit derivatives pricing modelshere
Schwarz, S.L. (2008)Systemic Riskhere
Schwartz, P. (1996)The Art of the Long View: Planning for the Future in an Uncertain Worldhere
Scott, P. (2010)Making money safely: A personal view of risk management in non-financial corporates, insurance and bankinghere
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
Shadwick, W.F. and Keating, C. (2002)A Universal Performance Measurehere
Shapiro, S.S (1980)How to test normality and other distributional assumptionshere
Shapiro, S.S. and Wilk, M.B. (1965)An analysis of variance test for normality (complete samples)here
Sharpe, W.F. (1964)Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Riskhere
Shaw, W. (2007)Refinement of the Normal Quantile: A benchmark normal quantile based on recursion, and an appraosal of the Beasley-Springer-Moro, Acklam and Wichura (AS241) methodshere
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
Sholz, F.W. and Stephens, M.A. (1987)K-sample Anderson-Darling Testshere
Shreve, W. (2004)Stochastic Calculus for Finance, Volume II: Continuous Time Modelshere
Singh, M. and Aitken, J. (2010)The (sizeable) Role of Rehypothecation in the Shadow Banking Systemhere
Smith, A.D. (1995)Recent developmentshere
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
SOA (2008)Risk Management: The Current Financial Crisis, Lessons Learned and Future Implications (Series of Essays)here
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
VariousSolvency II books rated highly on Amazonhere
Sorkin, A.R. (2010)Too Big To Fail: Inside the Battle to Save Wall Streethere
Sourbes, C. (2014)EU clearing timeline could drive banks out of the businesshere
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
VariousStatistics books rated highly on Amazonhere
Stein, C. (1955)Inadmissibility of the Usual Estimator for the Mean of a Multivariate Normal Distributionhere
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
Stocker, M.A., Dudley, S.D., Finlay, G.E., Fisher, H.J., Wood, O.C.H., Kemp, M.H.D., Lumb, W., Miles, M.W., Wasserman, S.L. (1999) The role and responsibilities of actuaries in the defined contribution environment in the United Kingdomhere
Stone, J.V. (2004)Independent Component Analysis: A Tutorial Introductionhere
VariousStress testing and backtesting books rated highly on Amazonhere
Sungard Bankware Erisk (2002)Orange Countyhere
Sungard Bankware Erisk (2002)Bankgesellschaft Berlinhere
Surowiecki, J. (2005)Wisdom of Crowdshere
Sushko, V. and Turner, G. (2018)The implications of passive investing for securities marketshere
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
The Pensions Regulator (2015)Integrated Risk Managementhere
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
The Times (2008)Lehman’s demise triggers huge default as Fed bailout fears growhere
The Times (2009)Return of the bogeyman of capital reserveshere
The Times (2006)Japanese Logic Puzzles: Hitori, hashi, slitherlink and mosaichere
Timmer, Y. (2016)Cyclical Investment Behavior across Financial Institutionshere
Tirole, J. (2015)Financial Regulation: A Focus on the Non-Bank Sectorhere
Tobelem, S. and Barrieu, P. (2009)Robust asset allocation under model riskhere
Toth, V.K. (2004)The Gamma functionhere
Towers Watson (2013)The world’s 300 largest pension funds - year end 2012here
Treacy and Carey (1998)Credit risk rating at large US bankshere
Treynor, J.L (1962)Towards a Theory of the Market Value of Risky Assetshere
Triana, P. (2009)Lecturing Birds on Flying: Can Mathematical Theories Destroy the Financial Markets?: How Financial Practice Differs from Theoryhere
Turner, A. (2009)The financial crisis and the future of financial regulationhere
Underwood, A. and Ingram, D. (2010)The Fabric of ERMhere
UNEP (2015)Aligning the Financial System with Sustainable Development: Pathways to Scalehere
US Government (2011)The 9/11 Commission Reporthere
US House of Representatives (2006)A Failure of Initiative: Final Report of the Select Bipartisan Committee to Investigate the Preparation for and Response to Hurricane Katrina Reporthere
US National Research Council Committee on Thermionic Research and Technology (2001)Thermionics Quo Vadis? An Assessment of the DTRA’s Advanced Thermionics Research and Development Programhere
Vanguard (2006)A Primer on Tactical Asset Allocation Strategy Evaluationhere
Varnell, E.M. (2009)Economic Scenario Generators and Solvency IIhere
Varnell, E.M. and Cantle, N. (2011)2012 is too early to talk of Solvency IIIhere
Vasicek, O. (1977)An equilibrium characterization of the term structure. Journal of Financial Economics, 5, pp. 177-188here
Vetzal, K.R. (1994)A survey of stochastic continuous time models of the term structure of interest rateshere
Vlaar, P. (2006)Term Structure Modeling for Pension Funds: What to do in practicehere
Wald, A. (1950)Statistical Decision Functionshere
Wall, L.D. (2014)Simple Concept, Complex Regulationhere
Watson, G.N. (1922)A Treatise on the Theory of Bessel Functionshere
Webber, L. and Churm, R. (2007)Decomposing corporate bond spreadshere
VariousWeb services books rated highly on Amazonhere
Weigend, A.S. and Gershenfeld, N.A. (1993)Time series prediction: forecasting the future and understanding the pasthere
Weisstein, E.W. (2015)Convergence Improvementhere
Wetzer, R. (2014)Treatise on Tactical Asset Allocationhere
Whalley, A.E. and Wilmott, P. (1993)An asymptotic analysis of the Davis, Panas and Zariphopoulou model for option pricing with transaction costshere
Wikipedia (2008)Bank of Credit and Commerce Internationalhere
Wikipedia (2010)Kolmogorov-Smirnov testhere
Wikipedia (2015)Lanczos approximationhere
Wilkie, A.D., Waters, H.R. and Yang, S. (2003)Reserving, Pricing and Hedging for Policies with Guaranteed Annuity Optionshere
Wilmott, P. (2007)Frequently asked questions in quantitative financehere
Wilson, C., Derbyshire, G., Jelicic, D., Kemp, M. and Williams, M. (2000)Applications of Derivatives in Life Insurancehere
Wilson, D.C.E. (2008)(Il)liquidity Premium Estimationhere
Winston, R. (1991)Nonimaging opticshere
Wolf, M. (2015)Good news - fintech could disrupt financehere
Wood, D. (2008)Correlation: Breaking downhere
Wright, S.M. (2003a)Forecasting with confidencehere
Wright, S.M. (2003b)Correlation, Causality and Coincidencehere
Wüthrich, M.V., Bühlmann, H. and Furrer, H. (2007)Market-Consistent Actuarial Valuationhere
Wüthrich, M.V. and Mertz (2008)Stochastic Claims Reserving Methods in Insurancehere
Yee, A. (2014)Algorithms - Radix Conversionhere
Yetis, A. (2008)The capital ratio conundrumhere
Yogarajah, J. (2011)Risk Weights on the Skinny Side?here
Zellner, A. and Chetty, V.K. (1965)Prediction and Decision Problems in Regression Models from the Bayesian Point of Viewhere
Zhang, S. (2005)Risk Aggregation for Capital Requirements Using the Copula Techniquehere
Zumbach, G. (2006)Backtesting risk methodologies from one day to one yearhere

See here to choose a new Category/Sub-Category or here for a list of all references held by the Nematrian website. Please contact us if any of the above material is inaccurate or if there are references you think should be included that we have excluded or vice-versa.
Desktop view | Switch to Mobile