| Reference | Title | More |
| AAA (2002) | Fair Valuation of Insurance Liabilities: Principles and Methods | here |
| AAA (2011) | On Risk Classification | here |
| AAA (2013) | Insurance Enterprise Risk Management Practices | here |
| AAE (2016) | Negative Interest Rates and Their Technical Consequences | here |
| Aabo, T., Fraser, J. and Simkins, B. (2005) | The Rise and Evolution of the Chief Risk Officer: Enterprise Risk Management at Hydro One | here |
| Abad, J. and Suarez, J. (2016) | A recursive model for the assessment of the cyclical implications of IFRS 9 | here |
| Abarbanel, H.D.I. and Brown, R., Sidorowich, J.J. and Tsimring, L.S. (1993) | The analysis of observed chaotic data in physical systems | here |
| ABI (2013) | Funds held in Life and Pension products in 2012 | here |
| Abourashchi, N., Clacher, I., Freeman, M.C., Hillier, D., Kemp, M. & Zhang, Q. (2014) | Pension plan solvency and extreme market movements: a regime switching approach | here |
| Abramowitz, M. and Stegun, I. A. (1970) | Handbook of mathematical functions | here |
| Acharya, V.V., Pedersen, L.H., Philippon, T. and Richardson, M. (2010) | Measuring Systemic Risk | here |
| Acharya, V.V. and Pedersen, L.H. (2005) | Asset pricing with liquidity risk | here |
| Acklam (2005) | An algorithm for computing the inverse normal cumulative distribution | here |
| Various | Actuarial books rated highly on Amazon | here |
| Adrian, T. and Brunnermeier, M.K. (2011) | CoVaR | here |
| Ai, J., Brockett, P.L., Cooper, W.W. and Golden, L.L. (2008) | Enterprise Risk Management Through Strategic Allocation of Capital | here |
| AICPA (2007a) | Measurement of Fair Value in Illiquid (or Less Liquid) Markets | here |
| AICPA (2007b) | Consolidation of Commercial Paper Conduits | here |
| AICPA (2007c) | Accounting for Underwriting and Loan Commitments | here |
| Ait-Sahalia, Y., Cacho-Diaz, J. and Laeven, J.A (2014) | Modelling Financial Contagion Using Mutually Exciting Jump Processes | here |
| Ait-Sahalia, Y., Laeven, J.A and Pelizzon, L. (2014) | Mutual Excitation in Eurozone Sovereign CDS | here |
| AFIC, BVCA and EVCA (2006) | International Private Equity And Venture Capital Valuation Guidelines, October 2006 edition | here |
| 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 Companies | here |
| Alexander, G.J. and Baptista, A.M. (2004) | A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model | here |
| A&L Goodbody (2013) | In Focus: Summary of the Alternative Investment Fund Managers Directive - AIFMD | here |
| A&L Goodbody (2014) | In Focus: UCITS V | here |
| Alves,I., Brinkhoff, J., Georgiev, S., Héam, J-C, Moldovan, I. and Scotto di Carlo, M. (2015) | Network analysis of the EU insurance sector | here |
| Almgren, R. and Chriss, N. (2001) | Optimal execution of portfolio transactions | here |
| A M Best (2014) | Best's Credit Rating Methodology: Global Life and Non-Life Insurance Edition | here |
| Amato, J. and Furfine, C. (2003) | Are credit ratings procyclical? | here |
| Ambachtsheer, K.P. (2007) | Pension Revolution: A Solution to the Pensions Crises | here |
| Anand, K., Gaib, P. and Marsilic, M. (2011) | Rollover risk, network structure and systemic financial crises | here |
| Anderson, N., Breedon, F., Deacon, M., Derry, A. and Murphy, M. (1996) | Estimating and interpreting the yield curve | here |
| Anderson, T.G. and Bondarenko, O. (2007) | Construction and Imterpretation of Model-Free Implied Volatility | here |
| Anderson, T.W. and Darling, D.A. (1952) | Asymptotic theory of certain “goodness-of-fit” criteria based on stochastic processes | here |
| Ang, A. and Bekaert, G. (2002a) | International Asset Allocation with Regime Shifts | here |
| Ang, A. and Bekaert, G. (2002b) | Regime Switches in Interest Rates | here |
| Ang, A. and Bekaert, G. (2004) | How Regimes Affect Asset Allocation | here |
| 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 Assets | here |
| 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 investors | here |
| Apgar, D. (2006) | Risk Intelligence: Learning to Manage What We Don't Know | here |
| APRA (2013) | Prudential Practice Guide: CPG 110 - Internal Capital Adequacy Assessment Process and Supervisory Review | here |
| Ariely, D. (2008) | Predictably Irrational: The hidden forces that shape our decisions | here |
| Artzner, P., Delbaen, F., Eber, J. and Heath, D. (1999) | Coherent measures of risk | here |
| Artzner, P., Delbaen, F. and Koch-Medina, P. (2009) | Risk Measures and Efficient Use of Capital | here |
| ASB (2008) | Discussion Paper: The Financial Reporting of Pensions | here |
| 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 It | here |
| Avellandeda M., Friedman C., Buff R, Granchamp N., Kruk L. and Newman J. (2001) | Weighted Monte Carlo: A New Technique for Calibrating Asset-Pricing Models | here |
| Ayers, R.U. and Warr, B. (2004) | Accounting for growth: the role of physical work | here |
| Babbel, D.F., Gold, J. and Merrill, C.B. (2002) | Fair Value of Liabilities: The Financial Economics Perspective | here |
| Bajlum, C. and Larsen, P.T. (2007) | Accounting transparency and the Term Structure of Credit Default Swap Spreads | here |
| Ballentine, R. (2012) | Portfolio Optimization Theory Versus Practice | here |
| Balkema, A. and de Haan, L. (1974) | Residual Life Time at Great Age | here |
| Bank of England (2008a) | Exceptional Fine-Tuning OMO | here |
| Bank of England (2008b) | Markets and operations | here |
| Bank of England (2008c) | Financial Stability Report, October 2008 | here |
| Bank of England (2008d) | Markets and operations | here |
| Bank of England (2009) | Recovery and Resolution Plans - Remarks by Andrew Bailey | here |
| Bank of England (2011) | Instruments of macroprudential policy: A discussion paper | here |
| Bank of England (2014a) | An introduction to CBEST | here |
| Bank of England (2014b) | CBEST Implementation Guide | here |
| Bank of England (2014c) | Financial Stability Report, June 2014 | here |
| Bank of England (2014d) | Procyclicality and structural trends in investment allocation by insurance companies and pension funds | here |
| Bank of England (2015a) | Financial Stability Report, July 2015 | here |
| Bänziger, H. (2010) | We need a regime to wind down banks in an orderly way | here |
| Baranova, Y., Liu, Z. and Noss, J. (2016) | The role of collateral in supporting liquidity | here |
| 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 Assessment | here |
| Barrow, J. (2003) | The Constants of Nature | here |
| Barry, C. B. (1974) | Portfolio Analysis under Uncertain Means, Variances and Covariances | here |
| Barton, T.L., Shenkir, W.G. and Walker, P.L. (2002) | Making Enterprise Risk Management Pay Off: How Leading Companies Implement Risk Management | here |
| BAS (2009a) | Technical Actuarial Standard D: Data | here |
| BAS (2009b) | Technical Actuarial Standard M: Modelling | here |
| BAS (2010) | Technical Actuarial Standard R: Reporting Actuarial Information | here |
| Batsford, B.T. (2005) | Kakuro Puzzle Book | here |
| Bauer, D., Bergmann, D. and Reuss, A. (2010) | Solvency II and Nested Simulations - a Least-Squares Monte Carlo Approach | here |
| Bauer College (2010a) | Lecture Notes: Foreign Exchange Markets | here |
| Bauer College (2010b) | Lecture Notes: The International Monetary System | here |
| Bauer College (2010c) | Lecture Notes: Exchange Rates, Interest Rates, Prices and Expectations | here |
| Bauer College (2010d) | Lecture Notes: Structural Models of Exchange Rate Determination | here |
| Bauer College (2010e) | Lecture Notes: Forecasting Exchange Rates | here |
| Bauer College (2010f) | Lecture Notes: Currency Risk Management: Futures and Forwards | here |
| Bauer College (2010g) | Lecture Notes: Currency Risk Management: Options | here |
| Bauer College (2010h) | Lecture Notes: Currency Risk Management at the Firm Level | here |
| Bauer College (2010i) | Lecture Notes: International Equity Markets | here |
| Bauer College (2010j) | Lecture Notes: International Equity Markets: Factors, Interrelations and Integration | here |
| Bauer College (2010k) | Lecture Notes: Emerging Stock Markets | here |
| Bauer College (2010l) | Lecture Notes: International Bond Markets | here |
| Bauer College (2010m) | Lecture Notes: International Bond Markets: Pricing and Hedging | here |
| Bauer College (2010n) | Lecture Notes: Swaps | here |
| Bauer College (2010o) | Lecture Notes: Eurocurrency Futures and Options | here |
| Bauer, A.M and Brown, A. (2014) | Quantitative assessment of appropriate technology | here |
| Baxter, M. and Rennie, A. (1996) | Financial Calculus: An introduction to derivative pricing | here |
| Baydin, A.G., Pearlmutter B., Radul, A.A. and Siskind, J.M. (2018) | Automatic Differentiation in Machine Learning: a Survey | here |
| Bazerman, M.H. and Watkins, M.D. (2008) | Predictable Surprises: The Disasters You Should Have Seen Coming, and How to Prevent Them | here |
| BBA (website) | LIBOR (GBP term and repo) data | here |
| BCBS (1988) | Basel Committee: International convergence of capital measurement and capital standards | here |
| BCBS (1992) | A Framework for Measuring and Managing Liquidity | here |
| BCBS (1996) | Amendment to the capital accord to incorporate market risks | here |
| BCBS (1998) | Amendment to the Basel Capital Accord of July 1988 | here |
| BCBS (2003) | The 2002 Loss Data Collection Exercise for Operational Risk: Summary of the Data Collected | here |
| BCBS (2006) | Basel II: International Convergence of Capital Measurement and Capital Standards: A Revised Framework – Comprehensive Version | here |
| BCBS (2008) | Principles for Sound Liquidity Risk Management and Supervision | here |
| BCBS (2009a) | Guidelines for computing capital for incremental risk in the trading book | here |
| BCBS (2009b) | Consultative Document: Strengthening the resilience of the banking sector | here |
| BCBS (2009c) | Results from the 2008 Loss Data Collection Exercise for Operational Risk | here |
| BCBS (2010a) | Basel III: International framework for liquidity risk measurement, standards and monitoring | here |
| BCBS (2010b) | Basel III: A global regulatory framework for more resilient banks and banking systems | here |
| BCBS (2011a) | Revision to the Basel II Market Risk Framework | here |
| BCBS (2011b) | Basel III: A Global Regulatory Framework for More Resilient Banks and Banking Systems. Revised Version 2011 | here |
| BCBS (2011c) | Interpretive issues with respect to the revisions to the market risk framework | here |
| BCBS (2012) | Consultative Document: Fundamental Review of the Trading Book | here |
| BCBS (2013) | Consultative Document: Fundamental Review of the Trading Book: A revised market risk framework | here |
| BCBS (2013a) | Global systemically important banks: updated assessment methodology and the higher loss absorbency requirement | here |
| BCBS (2013b) | Basel III: The Liquidity Coverage Ratio and liquidity risk monitoring tools | here |
| BCBS (2014) | Consultative Document: Fundamental Review of the Trading Book: Outstanding issues | here |
| BCBS (2014a) | Basel III: the net stable funding ratio | here |
| BCBS (2015) | Consultative Document: Interest rate risk in the banking book | here |
| BCBS (2016) | Minimum capital requirements for market risk | here |
| BCBS (2016a) | Consultative Document: Reducing variation in credit risk-weighted assets - constraints on the use of internal model approaches | here |
| BCBS (2016b) | Consultative Document: Standardised Measurement Approach for operational risk | here |
| BCBS (2016c) | Standards: Interest rate risk in the banking book | here |
| BCBS (2016d) | Discussion Paper: Regulatory treatment of accounting provisions | here |
| BCBS (2017) | High-level summary of Basel III reforms | here |
| BCBS (2017a) | Basel III: Finalising post-crisis reforms | here |
| BCBS (2019) | Minimum capital requirements for market risk | here |
| BCBS (2019a) | Explanatory note on the minimum capital requirements for market risk | here |
| 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 filter | here |
| Behn, M., Haselmann, R. and Vig, V. (2016) | The limits of model-based regulation | here |
| Benartzi, S. and Thaler, R.H. (2001) | Naïve Diversification Strategies in Defined Contribution Savings Plans | here |
| Bender, M.A, Farach-Colton, M. and Mosteiro, M. (2008 | Insertion Sort is O(n log n) | here |
| Benford, J. and Nier, E. (2007) | Monitoring cyclicality of Basel II capital requirements | here |
| Bennet, C and Cusick, K. (2007) | Risk appetite: Practical Issues for the Global Financial Services Industry | here |
| Berger, J. (1978) | Minimax Estimation of a Multivariate Normal Mean under Polynomial Loss | here |
| Berk, J. and DeMarzo, P. (2007) | Corporate Finance | here |
| Berkowitz, J. (1999) | A coherent framework for stress-testing | here |
| Bernardino, G. (2011) | ORSA - The heart of Solvency II | here |
| Bernoth, K. and Haas, A. (2018) | Negative Interest Rates and the Signalling Channel | here |
| Bernstein, P. (1998) | Against the Gods | here |
| Bernstein, P. (2007) | Capital Ideas Evolving | here |
| Besar, D., Booth, P., Chan, K.K., Milne, A.K.L. and Pickles, J. (2009) | Systemic Risk in Financial Services | here |
| Bevan, A. and Winkelmann, K. (1998) | Using the Black-Litterman Global Asset Allocation Model: Three Years of Practical Experience | here |
| Bewley, T.F. (1986) | Knightian Decision Theory: Part I | here |
| Bewley, T.F. (1987) | Knightian Decision Theory: Part II: Intertemporal problems | here |
| Bewley, T.F. (1988) | Knightian Decision Theory and Econometric Inference | here |
| Bhimalingam, M. and N. Burns (2011) | Basel III and Solvency II - Impact on Credit Markets | here |
| Bholat, D., Lastra, R., Markose, S., Miglionico, A. and Sen, K. (2016) | Non-performing loans: regulatory and accounting treatment of assets | here |
| 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 selection | here |
| Birge, J.R. (2006) | Liquidity Risk in Dynamic Portfolio Optimization | here |
| BIS (2019) | Impact of financial regulations: insights from an online repository of studies | here |
| BIS | Financial Regulation Assessment: Meta Exercise (FRAME) | here |
| BIS (website) | BIS website | here |
| Bisias, D., Flood, M., Lo, A. and Valavanis, S (2012) | A Survey of Systemic Risk Analytics | here |
| Black, F. and Litterman, R. (1992) | Global Portfolio Optimization | here |
| BlackRock (2015) | Asset Class Returns | here |
| Black, F. and Scholes, M. (1973) | The pricing of options and corporate liabilities | here |
| Blumenthal, K. (2012) | Steve Jobs: The man who thought different | here |
| BNY Mellon (2016) | Considering the Alternatives: A Practical Look at Enterprise Risk Analysis and Alternative Investments | here |
| Bogle, J.C. (2008) | Black Monday and Black Swans | here |
| Bongaerts, D. (2015) | The economics of investor-paid credit rating agencies | here |
| Bonti, G., Kalkbrener, M., Lotz, C. and Stahl, G. (2006) | Credit Risk Concentrations under stress | here |
| Bookstaber, R.M. (2008) | A Demon of Our Own Design: Markets, Hedge Funds, and the Perils of Financial Innovation | here |
| Bookstaber, R.M. and McDonald, J.B. (1987) | A general distribution for describing security price returns | here |
| Booth, P.M. and Marcato, G. (2004) | The measurement and modelling of commercial real estate performance | here |
| Bordag, L.A, Yamshchikov, I.P. and Zhelezov, D. (2014) | Portfolio Optimization in the case of an asset with a given liquidation time distribution | here |
| 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 edition | here |
| Bouchard, J. (2008) | Economics needs a scientific revolution | here |
| Bourdeau, M. (2009) | Market Risk Measurement Under Solvency II | here |
| Brain, M. (2014) | How Web Advertising Works | here |
| Brennan, M.J., Schwartz, E.S. and Lagnado, R. (1997) | Strategic asset allocation | here |
| Brent, R.P. (1976) | Fast Multiple-Precision Evaluation of Elementary Functions | here |
| Breuer, T. (2009) | If worst comes to worst: Systematic stress tests with discrete and other non-Normal distributions | here |
| Breuer, T. and Krenn, G. (2000) | Identifying stress test scenarios | here |
| Britten-Jones, M. (1999) | The Sampling Error in Estimates of Mean-Variance Efficient Portfolio Weights | here |
| Bronshtein, I.N. and Semendyayev, K.A. (1985) | Handbook of Mathematics | here |
| Broeders, D. and Chen, A. (2010) | Pension Benefit Security: A Comparison of Solvency Requirements, a Pension Guarantee Fund and Sponsor Support | here |
| Broeders, D., Kortleve, N., Pelsser, A. and Wijckmans, J-W. (2012) | The design of European supervision of pension funds | here |
| Brown, S. J. (1976) | Optimal Portfolio Choice under Uncertainty: A Bayesian Approach | here |
| Brunetti, C. and Caldarera, A. (2006) | Asset Prices and Asset Correlations in Illiquid Markets | here |
| Buruni, F. and Llewellyn, D.T. (2009) | The failure of Northern Rock: A Multi-Dimensional Case Study | here |
| Brunnermeier, M.K. (2009) | Deciphering the Liquidity and Credit Crunch 2007-09 | here |
| Brunnermeier, M.K., Langfield, S., Pagano, M., Reis, R., Van Nieuwerburgh, S. and Vayanos, D. (2016) | ESBies: Safety in the tranches | here |
| NASA and BSEE (2017) | Probabilisitic Risk Assessment: Applications for the Oil & Gas Industry | here |
| 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 resort | here |
| Busetti, F. (2006) | Heuristic approaches to realistic portfolio optimisation | here |
| Byrne, P., Mitchell, R., O’Sullivan, D. and Sykes, I. (2009) | Pension risk: Risk management for pension schemes | here |
| Cagliarini, A. and Heath, A. (2000) | Monetary policy making in the presence of Knightian uncertainty | here |
| 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" Events | here |
| Campbell, S. D. (2006) | A review of backtesting and backtesting procedures | here |
| 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 Markets | here |
| CAQ (2007a) | Measurement of Fair Value in Illiquid (or Less Liquid) Markets | here |
| CAQ (2007b) | Consolidation of Commercial Paper Conduits | here |
| CAQ (2007c) | Accounting for Underwriting and Loan Commitments | here |
| 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 pensions | here |
| 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 programming | here |
| Carney, M. (2015) | Breaking the Tragedy of the Horizon – climate change and financial stability | here |
| Carney, M. (2017) | What a difference a decade makes | here |
| CAS (2003) | Overview of Enterprise Risk Management | here |
| Cassola, N. and Morana, C. (2006) | Comovements in Volatility in the Euro Money Market | here |
| 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 management | here |
| CEIOPS (2007) | Solvency II QIS3 Technical Specifications Part 1 | here |
| CEIOPS (2007a) | Solvency II QIS4 Technical Specifications (draft) | here |
| CEIOPS (2008) | Technical Specifications QIS4 | here |
| CEIOPS (2009a) | CEIOPS Advice for Implementing Measures on Solvency II: Supervisory Reporting and Public Disclosure Requirements | here |
| CEIOPS (2009b) | CEIOPS Advice for Implementing Measures on Solvency II: System of Governance | here |
| 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 2010 | here |
| CEIOPS (2010b) | Report of the Task Force on the Illiquidity Premium. March 2010 | here |
| CEIOPS (2010c) | CEIOPS response to European Commission Green Paper – “Towards adequate, sustainable and safe European pension systems”, 15 November 2010 | here |
| Cerlerier and Vallee (2015) | The motives for financial complexity: An empirical investigation | here |
| CESR (2008) | Risk management principles for UCITS (Consultation Paper) | here |
| Cetorelli, N. (2015) | Asset Managers and Systemic Risk. A Financial Intermediation Perspective | here |
| CFO Forum (2008a) | Market Consistent Embedded Value Principles | here |
| CFO Forum (2008b) | Market Consistent Embedded Values: Basis For Conclusions | here |
| Chaboud, A., Chiquoine, B., Hjalmarsson, E. and Loretan, M. (2007) | Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Financial Markets | here |
| 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 Schemes | here |
| Chapelle, A. (2005) | The Virtues of Operational Risk Management | here |
| 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 sector | here |
| Chapman, R.J. (2006) | Simple tools and techniques for enterprise risk management | here |
| Chapman, R.J., Gordon, T.J. and Speed, C.A. (2001) | Pensions, Funding and Risk | here |
| Chappell, C., Jakhria, P., Marais, J. and Smith, A. (2007) | Understanding the risks in new asset classes | here |
| Chase-Jenkins, L. and Farr, I. (2004) | Adding Value Through Risk and Capital management - An ERM Update on the Global Insurance Industry | here |
| Chen, P.F. (2011) | Coronal Mass Ejections: Models and Their Observational Basis | here |
| 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 Spreads | here |
| Chennells, L. and Wingfield, V. (2015) | Bank failure and bail in: an introduction | here |
| Chernozhukov, V., Fernandez-Val, I. and Galichon, A. (2007) | Rearranging Edgeworth-Cornish-Fisher Expansions | here |
| Cheung, W. (2007a) | The Black-Litterman Model Explained (II) | here |
| Cheung, W. (2007b) | The Black-Litterman Model (III): Augmented for Factor-Based Portfolio Construction | here |
| Chollette, L., Heinen, A. and Valdesogo, A. (2009) | Modelling International Financial Returns with a Multivariate Regime-Switching Copula | here |
| Christensen, B.J. and Prabhala, N.R. (1998) | The relation between implied and realized volatility | here |
| Christoffersen, P. (1998) | Evaluating interval forecasts | here |
| Christoffersen, P. and Pelletier, D. (2004) | Backtesting value-at-risk: a duration-based approach | here |
| Churm, R. and Panigirtzoglou, N. (2005) | Decomposing credit spreads | here |
| CIA (1996) | Liquidity Risk Measurement | here |
| CIPM (2011) | Resolutions at the 24th meeting of the CGPM | here |
| 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 Fund | here |
| Clark, G. and Urwin, R. (2007) | Best-Practice Investment Management: Lessons for Asset Owners | here |
| Clauss, P., Roncalli, T., Weisang, G. (2009) | Risk Management Lessons from Madoff Fraud | here |
| Clauset, A., Shalizi, C.R., Newman, M.E.J. (2007) | Power-law distributions in empirical data | here |
| Clewlow, L. and Strickland, C. (1999) | Implementing Derivative Models | here |
| Competition & Markets Authority (2016) | Retail banking market investigation: Final Report | here |
| Cochrane, J.H. (1999) | Portfolio Advice for a Multifactor World | here |
| Cocke, M., Hannibal, C., Hursey, C., Jakria, P., MacIntyre, I. and Modiset, M. (2014) | Heavy Models, Light Models and Proxy Models - A working paper | here |
| Cohen, B.H. and Edwards, G.A. (2017) | The new era of expected credit loss provisioning | here |
| Cohen, G., Afshar, S., Tapson, J. and van Schaik, A. (2017) | EMNIST: an extension of MNIST to handwritten letters | here |
| Cooper, N. and Scholtes, C. (2001) | Government bond markets in an era of dwindling supply | here |
| Cortes, F. (2006) | Understanding the term structure of swap spreads | here |
| COSO (2004) | Enterprise Risk Management: Integrated Framework | here |
| Cotter, J. (2009) | Scaling conditional tail probability and quantile estimators | here |
| Cowling, C.A., Gordon, T.J. and Speed, C.A. (2004) | Funding defined benefit pension schemes | here |
| 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 work | here |
| 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 approach | here |
| CPSS-IOSCO (2012) | Principles for financial market infrastructure | here |
| Creedon, S., Forrester, I., Jakhria, P., Kemp, M.H.D, Pelsser, A., Smith, A.D. and Wilson, D.C.E (2008) | Market Consistent Discounting | here |
| Cremers, M. and Weinbaum, D. (2007) | Deviations from Put-Call Parity and Stock Return Predictability | here |
| CRMPG-III (2008) | Containing Systemic Risk: The Road to Reform | here |
| Credit Suisse (2015) | Global Investment Returns Yearbook 2015 | here |
| 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 Specification | here |
| CRO Forum (2008b) | Addressing the pro-cyclical nature of Solvency II | here |
| CRO Forum and CFO Forum (2010) | QIS 5 Technical Specification, Risk-free interest rates | here |
| Crook, C. (2010) | Smarter ways to punish a banker | here |
| Crouhy, M., Mark, R. and Galai, D. (2005) | The Essentials of Risk Management | here |
| Culp, C.L. (2001) | The Risk Management Process : Business Strategy and Tactics | here |
| Cummins, J.D. (2013) | Systemic Risk and the U.S. Insurance Sector | here |
| Cummins, J.D. and Weiss, M.A. (2014) | Systemic Risk and the U.S. Insurance Sector | here |
| Dagher, J. (2018) | Regulatory Cycles: Revisiting the Political Economy of Financial Crises | here |
| Damodaran, A. (2005) | Marketability and Value: Measuring the Illiquidity Discount | here |
| Damodaran, A. (2015) | Annual Returns on Stock, T.Bonds and T.Bills: 1928-Current | here |
| 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 Derivatives | here |
| Das, S.R., Ericsson, J. and Kalimipalli, M. (2003) | Liquidity and bond markets | here |
| Daul, S., De Giorgi, E., Lindskog, F. and McNeil, A. (2003) | Using the grouped t-copula | here |
| Davidson, C. (2008) | Measuring liquidity risk | here |
| Davis, M.H.A, Panas, V.G and Zariphopoulou, T. (1993) | European option pricing with transaction costs | here |
| Deighton, S.P., Dix, R.C., Graham, J.R. and Skinner, J.M.E. (2009) | Governance and Risk Management in United Kingdom Insurance Companies | here |
| Dembo, R. and Freeman, A. (1998) | Seeing Tomorrow: Rewriting the Rules of Risk | here |
| 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 Norms | here |
| Dempster, M.A.H, Mitra, G. and Pflug, G. (2009) (ed) | Quantitative Fund Management | here |
| Demyanyk, Y.S. and Van Hemert (2008) | Understanding the Subprime Mortgage Crisis | here |
| De Paoli, B. and Zabczyk, P. (2011) | Cyclical risk aversion, precautionary saving and monetary policy | here |
| De Renzis, T., Guagliano, C. and Loiacono, G. (2018) | Liquidity in fixed income markets - risk indicators and EU evidence | here |
| Derman, E. (2004) | My Life as a Quant: Reflections on Physics and Finance | here |
| Derman, E. (2012) | Models. Behaving. Badly.: Why Confusing Illusion with Reality Can Lead to Disaster, on Wall Street and in Life | here |
| Derman, E. and Kani, I. (1998) | Stochastic implied trees: arbitrage pricing with stochastic term and strike structure | here |
| D'Errico, M. and Roukny, T. (2017) | Compressing over-the-counter markets | here |
| Desender, K. (2007) | On the Determinants of Enterprise Risk Management Implementation: The Role of the Board | here |
| De Silva, H. (2006) | Modern Tactical Asset Allocation | here |
| Deuskar, P. (2006) | Extrapolative Expectations: Implications for Volatility and Liquidity | here |
| Deutsche Bank (2007) | Volatility Returns | here |
| Devasabai, L. (2014) | No arbitrage | here |
| Diamond, J. (2005) | Collapse: How societies choose to fail or survive | here |
| Diamond, J. (2012) | The World Until Yesterday | here |
| Dickenson, J. P. (1979) | The Reliability of Estimation Procedures in Portfolio Analysis | here |
| Dickson, J. (2010) | Protecting banks is best done by market discipline | here |
| Digenan, J. Felson, D., Kelly, R. and Wiemert, A. (2004) | Metallgesellschaft AG: A Case Study | here |
| Diller, C. and Jackel, C. (2015) | Risk in Private Equity: New insights into the risk of a portfolio of private equity funds | here |
| Dimitroff, G., Fries, C., Lichtner, M. and Rodi, N. (2016) | Lognormal vs Normal Volatilities and Sensititivities in Practice | here |
| Dimson, E., Marsh, P. and Staunton, M. (2002) | Triumph of the Optimists: 101 Years of Global Investment Returns | here |
| Dimson, E. and Hanke, B. (2002) | The Expected Illiquidity Premium: Evidence from Equity Index-Linked Bonds | here |
| 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 Risk | here |
| Dong, J., Kempf, A. and Yadav, P. (2007) | Resiliency, the Neglected Dimension of Market Liquidity: Empirical Evidence from the New York Stock Exchange | here |
| Dorey, M. and Papastamati, K. (2007) | Variable Dependency 'D' Distributions: A General Framework to Generate Skew Elliptical Multivariate Copulas with Polytonal Dependency | here |
| Doust, P. and White, R. (2005) | Genetic Algorithms for Portfolio Optimisation | here |
| Dowd, K. (2006) | Backtesting market risk models in a standard normality framework | here |
| DPG (1995) | Framework for Voluntary Oversight: The OTC Derivatives Activities of Securities Firm Affiliates to Promote Confidence and Stability in Financial Markets | here |
| Drezner and Wesolowsky (1990) | On the computation of the bivariate normal integral | here |
| DTCC (2015) | Understanding Interconnectedness Risks | here |
| Duffie, D. (1992) | Dynamic asset pricing theory | here |
| Duffie, D. (1996) | Special Repo Rates | here |
| Duffie, D. (2011) | Systemic Risk Exposures: A 10by10by10 Approach | here |
| Duffie, D. (2015) | Failure Resolution of Central Counterparties | here |
| Dufresne, D. (1990) | The distribution of a perpetuity, with applications to risk theory and pension funding | here |
| 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 smile | here |
| Dwyer, D. W. (2007) | The distribution of defaults and Bayesian model validation | here |
| Dymski, G.A. (2011) | Genie out of the Bottle: The Evolution of Too-Big-to-Fail Policy and Banking Strategy in the US | here |
| Easop, E. (2008) | Risk Management and the Rating Process for Insurance Companies, Best Rating Methodology | here |
| EBA (2015) | Report on Institutions' Exposures to 'Shadow Banking Entities' | here |
| EBF (website) | Yield curve data | here |
| Solvency II Directive (2009/138/EEC) | Directive 2009/138/EC on the taking up and pursuit of the business of Insurance | here |
| EC (2010) | Towards adequate, sustainable and safe European pension systems | here |
| ECB (2007a) | Yield curve specified in QIS4 (Euro area) | here |
| ECB (2007b) | Further details on computation of Yield Curves specified by QIS4 | here |
| ECB (2010) | Analytical Models and Tools for the Identification and Assessment of Systemic Risks | here |
| ECB (2015) | The impact of negative short-term rates on the money market fund industry | here |
| Economist (2008) | Economics focus: Same as it ever was | here |
| Economist (2016) | Insurers regret their guarantees | here |
| Economist (2016a) | WeChat's World | here |
| Economist (2016b) | Fade to grey | here |
| Edelman, A. and Rao, N.R. (2005) | Random matrix theory | here |
| Efron, B. and Morris, C. (1976) | Families of Minimax Estimators of the Mean of a Multivariate Normal Distribution | here |
| EIOPA (website) | EIOPA: European Insurance and Occupational Pensions Authority | here |
| EIOPA (2010) | Report on the Fifth Quantitative Impact Study (QIS5) for Solvency II | here |
| EIOPA (2013) | Guidelines on Submission of Information to National Competent Authorities | here |
| EIOPA (2013a) | Guidelines on Forward Looking assessment of own risk (based on the ORSA principles) | here |
| EIOPA (2013b) | Guidelines on Systems of Governance | here |
| EIOPA (2014) | Consultation Paper on the proposals for Guidelines on system of governance and own risks and solvency assessment | here |
| EIOPA (2014a) | Final Report on Public Consultation No 14/017 on Guidelines on own risk and solvency assessment | here |
| EIOPA (2014b) | Guidelines on system of governance | here |
| 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 calculation | here |
| EIOPA (2014e) | Financial Stability Report, December 2014 | here |
| EIOPA (2014f) | Insurance Stress Test Report | here |
| EIOPA (2015a) | Technical document regarding the risk free interest rate term structure | here |
| EIOPA (2016a) | IORPS Stress Test Report 2015 | here |
| EIOPA (2016b) | A Common Framework for Risk Assessment and Transparency for IORPs | here |
| EIOPA (2016c) | Consultation Paper on the methodology to derive the UFR and its implementation | here |
| EIOPA (2016d) | 2016 EIOPA Insurance Stress Test Report | here |
| EIOPA (2017) | Opinion to Institutions of the European Union on the Harmonisatoin of Recovery and Resolution Frameworks for (Re)Insurers across the Member States | here |
| EIOPA (2018) | Other potential macroprudential tools and measures to enhance the current framework | here |
| EIOPA (2018a) | Discussion Paper on Resolution Funding and National Insurance Guarantee Schemes | here |
| EIOPA (2019) | Discussion Paper on Systemic Risk and Macroprudential Policy in Insurance | here |
| EIOPA website (Symmetric adjustment of the equity capital charge) | Symmetric adjustment of the equity capital charge | here |
| EIOPA website (Risk Free Rate Term Structures) | Risk-Free Interest Rate Term Structures | here |
| EIU (2009) | Beyond box-ticking: A new era for risk governance | here |
| 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 companies | here |
| Ekholm, K. (2014) | What should be the ambition level of macroprudential policy? | here |
| Elices & Gimenez (2006) | Weighted Monte Carlo | here |
| Eling, M. and Schmeiser, H. (2010) | Insurance and the Credit Crisis: Impact and Ten Consequences for Risk Management and Supervision | here |
| Ellet, W. (2007) | The Case Study Handbook: How to Read, Discuss, and Write Persuasively About Cases | here |
| Ellinas, C., Allan, N. and Cantle, N. (2016) | The surprising systemic risk of insurers | here |
| Embrechts, P., Resnick, S. and Samorodnitsky (1996) | Extreme value theory as a risk management tool | here |
| Emrich, S. and Crow, C. (2007) | Quant 2.0? | here |
| Eonia (website) | Eonia (Euro Overnight index swap) data | here |
| Eppler, M. and Aeschimann, M. (2009) | A systematic framework for risk visualization in risk management and communication | here |
| EPSC (2015) | Further Risk Reduction in the Banking Union | here |
| Ericsson, J. and Renault, O. (2002) | Liquidity and Credit Risk | here |
| Escaffre, L., Foulquier, P. and Touron, P. (2008) | The Fair Value Controversy: Ignoring the Real Issue | here |
| ESMA (2015) | Trends Risks Vulnerabilities | here |
| 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 options | here |
| ESRB (2014b) | Securities financing transactions and the (re)use of collateral in Europe | here |
| ESRB (2014c) | Is Europe Overbanked? | here |
| ESRB (2015) | Report on systemic risks in the EU insurance sector | here |
| ESRB (2016a) | EU Shadow Banking Monitor No 1 / July 2016 | here |
| ESRB (2016b) | Assessing shadow banking - non-bank financial intermediation in Europe | here |
| ESRB (2016c) | Indirect contagion: the policy problem | here |
| ESRB (2017) | Financial Stability Implications of IFRS 9 | here |
| ESRB (2018) | Macroprudential provisions, measures and instruments for insurance | here |
| ESRB (2021) | Financial stability implications of IFRS 17 Insurance Contracts | here |
| Eurepo (website) | Eurepo (Euro repo) data | here |
| Euribor (website) | Euribor (Euro term deposit) data | here |
| European Central Bank (2004 onwards) | Daily EUR yield curves | here |
| European Commission (2007a) | ‘Solvency II’: Frequently Asked Questions (FAQs) | here |
| European Commission (2007b) | ‘Solvency II’: EU to take global lead in insurance regulation | here |
| European Commission (2014) | Memo on Reporting and transparency of securities financing transactions - frequently asked questions | here |
| European Union (2009) | Solvency II Directive | here |
| 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 Board | here |
| European Union (2013a) | Capital Requirements Directive | here |
| European Union (2013b) | Capital Requirements Regulation | here |
| European Union (20014a) | Omnibus II Directive | here |
| European Union (2014b) | Solvency II Directive as recast in 2014 by Omnibus II Directive | here |
| 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 Scheme | here |
| Various | Excel books rated highly on Amazon | here |
| Exley C. J., Mehta, S. J. B. and Smith, A. D. (1997) | The Financial Theory of Defined Benefit Schemes | here |
| Extance, A. (2015) | Bitcoin and Beyond | here |
| 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 Management | here |
| Fabozzi, F.J., Focardi, S.M. and Jonas, C. (2009) | Trends in Quantitative Equity Management | here |
| Fama, E. and French, K. (1992) | The Cross-Section of Expected Stock Returns | here |
| Farrell, M. and Gallagher, R. (2014) | The Valuation Implications of Enterprise Risk Management Maturity | here |
| FCA (2012) | Journey to the FCA | here |
| FCA (2013) | FCA Risk Outlook 2013 | here |
| FCA (2014a) | One Minute Guide - EU Regulation on OTC derivatives (EMIR) | here |
| FCA (2014b) | Markets in Financial Instruments Directive II Page | here |
| FCA (2014c) | Capital Requirements Directive (CRD IV) FAQs | here |
| FCA (2021) | Business Plan 2021/22 | here |
| FDIC (2000) | An Examination of the Banking Crises of the 1980s and Early 1990s | here |
| Federal Reserve (2011a) | SR 11-7: Supervisory Guidance on Model Risk Management | here |
| Federal Reserve (2014a) | Guidance for 2013 Section 165(d) Annual Resolution Plan Submissions by Domestic Covered Companies that Submitted Initial Resolution Plans in 2012 | here |
| Federal Reserve (2014b) | Guidance for 2013 Section 165(d) Annual Resolution Plan Submissions by Foreign-Based Covered Companies that Submitted Initial Resolution Plans in 2012 | here |
| Feldhutter, P. and Lando, D. (2007) | Decomposing Swap Spreads | here |
| Feng, Y. and Song, J. (2006) | Down-side risk and the Puzzle of Implied Volatility Premium | here |
| Ferguson, N. (2009) | The Ascent of Money | here |
| Ferguson, N. (2011) | Civilization: The Six Killer Apps of Western Power | here |
| Figlewski, S. (2009) | Estimating the Implied Risk Neutral Density | here |
| Figlewski, S. (2012) | What is Risk Neutral Volatility? | here |
| Financial News (2008) | BarCap backs Libor alternative | here |
| Financial Times (2008a) | Auditors apply extra scrutiny | here |
| Financial Times (2008b) | An unforgiving eye | here |
| Financial Times (2008c) | UK banking association looks at boosting Libor dollar products | here |
| Financial Times (2008d) | SEC aims to curb ratings dependency | here |
| Financial Times (2008e) | Banking regulator calls for clean slate | here |
| Financial Times (2008f) | Volkswagen driven to top spot by shock surge in its share price | here |
| Financial Times (2008g) | Aegon gets EUR 3bn in government capital | here |
| Financial Times (2009a) | Bank sets off ideas on living wills for lenders | here |
| Financial Times (2009b) | Brazil clips the wings of banks adept at capital flight | here |
| Financial Times (2010) | ‘Punishment tax’ draws fire from industry | here |
| Financial Times (2014) | Banks want to keep your digital ID in their vaults | here |
| Financial Times (2016a) | Negative rates 'poison' German pension funds | here |
| Financial Times (2016b) | Fears mount for pensions as gilt yields touch negative territory | here |
| Financial Times (2016c) | Pensions: Low Yields, High Stress | here |
| Financial Times (2016d) | US companies' cash pile hits USD 1.7 tn | here |
| Fisher, M. (2002) | Special Repo Rates: An Introduction | here |
| Fisher, R.A. and Tippett, L.H.C. (1928) | Limiting Forms of the Frequency Distribution of the Largest and Smallest Member of a Sample | here |
| 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 Party | here |
| Fouque, J-P. and Langsam, J.A. (2013) | Handbook of Systemic Risk | here |
| Fox, L. (2003) | Enron: The Rise and Fall | here |
| Frankfurter, G.M., Phillips, H.E. and Seagle, J.P. (1971) | Portfolio Selection: the Effects of Uncertain Means, Variances and Covariances | here |
| Frankland, R., Smith, A.D., Wilkins, T., Varnell, E., Holtham, A., Biffis, E., Eshun, S. and Dullaway, D. (2008) | Modelling extreme market events | here |
| Fraser, J. and Simkins, B. (Eds) (2010) | Enterprise Risk Management: Today’s Leading Research and Best Practices for Tomorrow’s Executives | here |
| FRC (2011a) | Effective Company Stewardship: Enhancing Corporate Reporting and Audit | here |
| FRC (2011b) | Boards and Risk: A summary of discussions with companies, investors and advisers | here |
| FRC (2012) | The UK Stewardship Code | here |
| FRC (2013) | Risk Management, Internal Control and the Going Concern Basis of Accounting - Consultation | here |
| FRC (2014) | The UK Corporate Governance Code (September 2014) | here |
| FRC (2014a) | Joint Forum on Actuarial Regulation: A risk perspective: Discussion Paper | here |
| FRC (2014b) | Guidance on Risk Management, Internal Control and Related Financial and Business Reporting | here |
| FRC (2015) | Joint Forum on Actuarial Regulation: A risk perspective: Analysis of responses to the October 2014 discussion paper | here |
| 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 approach | here |
| French, A., Vital, M. and Minot, D. (2015) | Insurance and Financial Stability | here |
| Frigo, M.L. and Anderson, R.J. (2011) | Embracing Enterprise Risk Management: Practical Approaches to Getting Started | here |
| Froot, K.A. and Stein, J.C. (1998) | Risk management, capital budgeting, and capital structure policy for financial institutions: an integrated approach | here |
| Fruth, A., Schoneborn, T. and Urusov, M. (2011) | Optimal trade execution and price manipulation in order books with time-varying liquidity | here |
| FSA (2007) | Discussion Paper 07/7: Review of the liquidity requirements for banks and building societies | here |
| FSA (2008a) | Discussion Paper 08/4: Insurance Risk Management: The Path To Solvency II | here |
| FSA (2008b) | Consultation Paper 08/22: Strengthening liquidity standards | here |
| FSA (2008c) | Consultation Paper 08/24: Stress and scenario testing | here |
| FSA (2009a) | Policy Statement 09/16: Strengthening liquidity standards | here |
| 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 impact | here |
| FSA (2010) | Consultation Paper 10/03: Effective corporate governance (Significant influence controlled functions and the Walker review) | here |
| FSA (2010a) | Stress Testing: Good Practice | here |
| FSA (2011) | The Failure of the Royal Bank of Scotland | here |
| FSB (2013a) | Effective Resolution of Systemically Important Financial Institutions: Consultative Document | here |
| FSB (2013b) | Appication of the Key Attributes of Effective Resolution Regimes to Non-bank Financial Institutions: Consultative Document | here |
| FSB (2013c) | Principles for an Effective Risk Appetite Framework | here |
| FSB (2013d) | Strengthening Oversight and Regulation of Shadow Banking: An Overview of Policy Recommendations | here |
| FSB (2014) | Guidance on Supervisory Interaction with Financial Institutions on Risk Culture | here |
| FSB (2014a) | Consultative Document: Assessment Methodologies for Identifying Non-Bank Non-Insurer Global Systemically Important Financial Institutions: Proposed High-Level Framework and Specific Methodologies | here |
| FSB (2014b) | Background Document: Regulatory Framework for Haircuts on Non-Centrally Cleared Securities Financing Transactions: Procyclicality of haircuts: evidence from the QIS1 | here |
| FSB (2014c) | Regulatory framework for haircuts on non-centrally cleared securities financing transactions | here |
| FSB (2015) | Consultative Document (2nd) Assessment Methodologies for Identifying Non-Bank Non-Insurer Global Systemically Important Financial Institutions: Proposed High-Level Framework and Specific Methodologies | here |
| FSB (2015a) | Principles on Loss-absorbing and Recapitalisation Capacity of G-SIBs in Resolution, Total Loss-absorbing Capacity (TLAC) Term Sheet | here |
| 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 Activities | here |
| G30 (2018) | Managing the next financial crisis | here |
| Gai, P., Kemp, M., Sanchez Serrano, A. and Schnabel, I. (2019) | Regulatory complexity and the quest for robust regulation | here |
| Gai, P., Kemp, M., Sanchez Serrano, A. and Schnabel, I. (2019) | Regulatory complexity and the quest for robust regulation | here |
| Galbraith, J.K. (1955) | The Great Crash 1929 | here |
| Gale, D. and Yorulmazer, T. (2011) | Liquidity hoarding | here |
| Galliani, C., Petrella, G. and Resti, A. (2014) | The liquidity of corporate and government bonds: dirvers and sensitivity to different market conditions | here |
| Gamonet, J. (2011) | Modelling operational risk in the insurance industry | here |
| Garcia, J., Goossens, S. and Schoutens, W. (2008) | Let’s jump together: pricing credit derivatives | here |
| Gardiner, K., Lee, T., Olsen, H., Yeo, B. (2013) | Asset Allocation at Barclays (White Paper) | here |
| GCHQ (2012) | 10 Steps to Cyber Security | here |
| Geneva Association (2010) | Systemic Risk in Insurance: An Analysis of Insurance and Financial Stability | here |
| Genz, A. (1992) | Numerical Computation of Multivariate Normal Probabilities | here |
| Genz, A. (2004) | Numerical Computation of Rectangular Bivariate and Trivariate Normal and t Probabilities | here |
| Genz, A. and Bretz, F.(2002) | Methods for the Computation of Multivariate t-Probabilities | here |
| Ghahramani, Z. (2015) | Probabilistic machine learning and artificial intelligence | here |
| Giacometti, R., Bertocchi, M., Rachev, S. and Fabozzi, F.J. (2009) | Stable Distributions in the Black-Litterman Approach to Asset Allocation | here |
| Giamorridis, D. and Ntoula, I. (2007) | A comparison of alternative approaches for determining the downside risk of hedge fund strategies | here |
| Gibbons, M., Ross, S.A. and Shanken, J. (1989) | A test of the efficiency of a given portfolio | here |
| Gibson, R.C. (2013) | Asset Allocation: Balancing Financial Risk | here |
| Gilboa, I. and Schmeidler, D. (1989) | Maxmin Expected Utility with Non-Unique Prior | here |
| Giraldi, C., Susinno, G., Berti, G., Brunello, J., Buttarazzi, S., Cenciarelli, G., Daroda, C. and Stamegna, G. (2000) | Insurance optional | here |
| Gloria Mundi (website) | Various collected articles on risk management | here |
| Goldfarb, R. (2010) | Risk-Adjusted Performance Measurement for P&C Insurers | here |
| Goldstein, I. and Sapra, H. (2014) | Should Banks' Stress Test Results be Disclosed. An analysis of the Costs and Benefits | here |
| Gordy, M. (2003) | A risk-factor foundation for risk-based capital rules | here |
| Goyenko, R., Subrahmanyam, A. and Ukhov, A. (2008) | The Term Structure of Bond Market Liquidity | here |
| GPPC (2007) | Determining Fair Value of Financial Instruments under IFRS in Current Market Conditions | here |
| Gracie, A. (2014) | Managing cyber risk - the global banking perspective | here |
| Graham, B. and Dodd, D.L. (2009) | Security Analysis: Principles and Techniques, 6th Edition | here |
| Grant, K.L. (2004) | Trading Risk: Enhanced Profitability through Risk Control | here |
| Gray, A. (2016) | US life insurers shaken by rock-bottom rates | here |
| Green, B. (1999) | The Elegant Universe: Superstrings, Hidden Dimensions, and the Quest for the Ultimate Theory | here |
| Greenbaum, S.I. (2012) | Enterprise Risk Management in Financial Intermediation | here |
| Green European Foundation (2014) | The Price of Doing Too Little Too Late: The impact of the carbon bubble on the EU financial system | here |
| Gregory, J. and Laurent, J-P. (2004) | In the core of correlation | here |
| Griffin, M. and Boomgaardt, R. (1999) | Enterprise Risk and Return Management for Financial Institutions | here |
| 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 Spreads | here |
| Groupe Consultatif (2010) | Security in occupational pensions | here |
| Guidolin, M. and Timmermann, A. (2006) | International Asset Allocation Under Regime Switching, Skew and Kurtosis Preferences | here |
| Hacker, J.S. (2008) | The Great Risk Shift: The New Economic Insecurity and the Decline of the American Dream | here |
| Hakenes, H. and Schnabel, I. (2014) | Regulatory capture by sophistication | here |
| Haldane, A.G. (2014) | Halfway up the stairs | here |
| Haldane, A.G. (2014a) | The Age of Asset Management | here |
| Haldane, A.G. and Madouros, V. (2012) | The dog and the frisbee | here |
| Han, S. and Zhou, H. (2007) | Effects of Bond Liquidity on the Nondefault Component of Corporate Bond Spreads: Evidence from Intraday Transactions Data | here |
| Hancock, J., Huber, P. and Koch, P. (2001) | The economics of insurance: How insurers create value for shareholders | here |
| Hanouna, P., Novak, J., Riley, T. and Stahel, C. (2015) | Liquidity and Flows of US Mutual Funds | here |
| Harrison, D. and Blake, D. (2015) | The Greatest Good for the Greatest Number | here |
| Haslip, G (2008) | A Practical Study of Economic Scenario Generators For General Insurers | here |
| Hatchett, J., Bowie, D. and Forrester, N. (2010) | Risk management for DB pension funds | here |
| Havil, J. (2007) | Nonplussed! Mathematical Proof of Impausible Ideas | here |
| Havil, J. (2008) | Impossible? Surprising Solutions of Counterintuitive Conundrums | here |
| Hawking, S. (Ed), and Nicolaus Copernicus, Johannes Kepler, Galileo Galalei, Isaac Newton, Albert Einstein (2003) | On the Shoulders of Giants | here |
| Hawkins, J. and Keogh, T. (2008) | Transferring the risk | here |
| Hayes, B.T. (2007) | August 2007 Quantitative Equity Turbulence: An Unkown Unknown Becomes a Known Unknown | here |
| He, H. (2001) | Modeling Term Structures of Swap Spreads | here |
| Heam, J-C. (2014) | How to measure Interconnectedness | here |
| Heath, D., Jarrow, R.A. and Morton, A. (1992) | Bond pricing and the term structure of interest rates: a new methodology for contingent claims valuation | here |
| Heaton, J.B, Polson, N., Whitte, J.H. (2016) | Deep Learning for Finance: Deep Portfolios | here |
| Hebner, M. (2013) | Index Funds: The 12-step recovery plan for active investors | here |
| Hebner, M. (2015) | Index Funds: The 12-step recovery plan for active investors: Step 9: History | here |
| Heidorn, T. and Kahlert, D. (2010) | Implied Correlations of iTraxx Tranches during the Financial Crisis | here |
| Hellwig, M. (2014) | Systemic Risk and Macro-Prudential Policy | here |
| Henrard, M. (2011) | Adjoint Algorithmic Differentiation: Calibration and Implicit Function Theorem | here |
| Herzog, F., Dondi, G., Keel, S., Schumann, L.M. and Geering, H.P. (2009) | Solving ALM Problems via Sequential Stochastic Programming | here |
| Heywood, G.C., Marsland, J.R. and Morrison, G.M. (2003) | Practical risk management for equity portfolio managers | here |
| HIH Royal Commission (2003) | The failure of HIH Insurance | here |
| Hill, B.M. (1975) | A simple General Approach to Inference about the Tail of a Distribution | here |
| 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 View | here |
| 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 guide | here |
| HM Government Finance Function (2020) | The Orange Book: Management of Risk - Principles and Concepts | here |
| HM Government Finance Function (2021) | Risk Appetite Guidance Note | here |
| HM Government Finance Function (2021a) | Risk Management Skills and Capability Framework | here |
| HM Government Finance Function (2021b) | Good Practice Guide: Risk Reporting | here |
| HM Treasury (2009) | A review of corporate governance in UK banks and other financial industry entities - Final Recommendations | here |
| HM Treasury (2013) | Review of Quality Assurance of Government Analytical Models | here |
| HM Treasury (2020) | The Green Book: Central Government Guidance on Appraisal and Evaluation | here |
| Hodges, S.D. and Neuberger, A. (1989) | Optimal replication of contingent claims under transaction costs | here |
| 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 Bonds | here |
| Hoffman, B. (2014) | Asset allocation in the presence of uncertainty | here |
| Hollo, D., Kremer, M. and Lo Duca, M. (2012) | CISS - A Composite Indicator of Systemic Stress in the Financial System | here |
| Homescu, C. (2011) | Adjoints and automatic (algorithmic) differentiation in computational finance | here |
| Hosty, G.M., Groves, S.J., Murray, C.A. and Shah, M. (2007) | Pricing and risk capital in the equity release market | here |
| House of Commons (2015) | Greek debt crisis: background and developments in 2015 | here |
| Houweling, P., Mentink, A. and Vorst, T. (2005) | Comparing possible proxies of corporate bond liquidity | here |
| Hsuku, Y-H. (2009) | Dynamic Consumption and Asset Allocation with Derivative Securities | here |
| Huang, M. (2002) | Liquidity shocks and equilibrium liquidity premia | here |
| Huang, J. and Huang, M. (2003) | How Much of the Corporate-Treasury Yield Spread is Due to Credit Risk?: A New Calibration Approach | here |
| Hubbard, D. (2009) | The Failure of Risk Management: Why It's Broken and How to Fix It | here |
| Hu, Z., Kerkhof, J., McCloud, P. and Wackertapp, J. (2006) | Cutting edges using domain integration | here |
| Hughston, L.P. and Tod, K.P. (1990) | An Introduction to General Relativity | here |
| Huizinga, H. and Laeven, L. (2010) | Bank Valuation and Regulatory Forbearance During a Financial Crisis | here |
| Hull, J.C. (2003) | Options, Futures and Other Derivatives | here |
| Hull, J., Predescu, M., White, A. (2004) | The relationship between credit default swap spreads, bond yields, and credit rating announcements | here |
| Hull, J.C. and White, A. (1998) | Incorporating volatility up-dating into the historical simulation method for VaR | here |
| Hurlin, C. and Tokpavi, S. (2006) | Backtesting value-at-risk accuracy: a simple new test | here |
| IAA (2004) | A Global Framework for Insurer Solvency Assessment | here |
| IAA (2007) | Exposure Draft: Measurement of liabilities for insurance contracts: Current Estimates and Risk Margins | here |
| IAA (2008a) | Measurement of Liabilities for Insurance Contracts: Current Estimate and Risk Margins. Re-exposure draft | here |
| IAA (2008b) | A Note on Financial Economics | here |
| IAA (2009) | Note on Enterprise Risk Management for Capital and Solvency Purposes in the Insurance Industry | here |
| IAA (2010) | Comprehensive Actuarial Risk Evaluation | here |
| IAA (2010a) | Stochastic Modeling: Theory and Reality from an Actuarial Perspective | here |
| IAA (2010b) | Note on the use of Internal Models for Risk and Capital Management Purposes by Insurers | here |
| IAA (2013) | Discount Rates in Financial Reporting: A Practical Guide | here |
| IAA (2013a) | Study of ERM Activities at IAA Member Associations | here |
| IAA (2013b) | Stress Testing and Scenario Analysis | here |
| IAA (2013c) | Actuarial Viewpoints on and Roles in Systemic Risk Regulation in Insurance Markets | here |
| IAA (2015) | Deriving Value from ORSA: Board Perspective | here |
| 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 Purposes | here |
| IAIS (2012) | Insurance Core Principles, Standards, Guidance and Assessment Methodology | here |
| IAIS (2012a) | Insurance Core Principles: ICP 16 Enterprise Risk Management for Solvency Purposes | here |
| IAIS (2013) | Global Systemically Important Insurers: Initial Assessment Methodology | here |
| IAIS (2013a) | Capital Requirements for Global Systemically Important Insurers (G-SIIs): Proposal | here |
| IAIS (2014) | Basic Capital Requirements for Global Systemically Important Insurers | here |
| IAIS (2014a) | Risk-based Global Insurance Capital Standard: Public Consultation Document | here |
| IAIS (2015) | Higher Loss Absorbency capacity for Global Systemically Important Insurers: Public Consultation Document | here |
| 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 Document | here |
| IAIS (2015c) | Insurance Core Principles (Updated November 2015) | here |
| IAIS (2016) | Risk-based Global Insurance Capital Standard Version 1.0: Public Consultation Document | here |
| IAIS (2018) | Holistic Framework for Systemic Risk in the Insurance Sector | here |
| IAIS (2018a) | Risk-based Global Insurance Capital Standard Version 2.0: Public Consultation Document | here |
| IASB (2007a) | Discussion Paper: Preliminary Views on Insurance Contracts. Part 1: Invitation to Comment and main text | here |
| IASB (2007b) | Discussion Paper: Preliminary Views on Insurance Contracts. Part 2: Appendices | here |
| IASB (2008) | Reclassification of Financial Assets. Amendments to IAS Financial Instruments: Recognition and Measurement and IFRS 7 Financial Instruments: Disclosure | here |
| IASB (2010) | Defined benefit plans: Proposed amendments to IAS 19, Exposure Draft/2010/3 | here |
| IASB (2014) | IFRS 9 Financial Instruments: Project Summary | here |
| IBM (2009) | White Paper: Seven risk dashboards every bank needs | here |
| ICAEW (2002) | No surprises: working for better risk reporting | here |
| ICAEW (2005a) | Risk management: Risk Management among SMEs | here |
| ICAEW (2005b) | Risk management: A guide for finance professionals | here |
| ICB (2011) | The Independent Commission on Banking: The Vickers Report | here |
| ICE and IFoA (2009) | ERM - a Guide to Implementation | here |
| ICE and IFoA (2014) | Risk Analysis and Management for Projects (RAMP), 3rd edition | here |
| Idzorek, T.M. and Kowara, M. (2013) | Factor-based Asset Allocation vs Asset-Class-Based Asset Allocation | here |
| 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 Study | here |
| IFRS (2010) | Management Commentary: A framework for presentation | here |
| IMA (2004) | Market timing: guidelines for managers of investment funds | here |
| IMA and DATA (2004) | Pricing guidance for investment funds: fair value pricing | here |
| 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 Governors | here |
| IMF (2015) | Global Financial Stability Report, April 2015, Chapter 3: The Asset Management Industry and Financial Stability | here |
| IMF (2015a) | United States Financial Sector Assessment Program: Stress Testing - Technical Note | here |
| IMF (2016) | Global Financial Stability Report, April 2016, Chapter 3: The Insurance Sector - Trends and Systemic Risk Implications | here |
| IMF Website Part on Financial Stability | Global Financial Stability Report: A Report by the Monetary and Capital Markets Department on Market Developments and Issues | here |
| Impavido, G., Al-Darwish, A., Hafeman, M., Kemp, M. and O'Malley, P. (2011) | Possible Unintended Consequences of Basel III and Solvency II | here |
| Ingram, D. (2009) | Risk and Light | here |
| Ingram, D. and Santori, L. (2006) | Insurance Criteria: Refining the Focus of Insurer Enterprise Risk Management Criteria | here |
| Instefjord, N. , Jackson, P. and Perraudin, W. (1998) | Securities fraud | here |
| Insurance Europe (2014) | Why insurers differ from banks | here |
| Invesco (2015) | Historical Asset Class Returns | here |
| IRM (2011) | Risk Appetite and Risk Tolerance Guidance Paper | here |
| IRM (2015) | Operational risk modelling: common practices and future development (Executive Summary) | here |
| ISO (2009) | ISO 31000 - Risk Management | here |
| Ito, T. and Okazaki, S. (2000) | Pushing the limits of lithography | here |
| Jackson, P., Perraudin, W. and Saporta, V. (2002) | Regulatory and "economic" solvency standards for internationally active banks | here |
| Jackson,C.W. (2005) | Business Fairy Tales: Grim Realities of Fictitious Financial Reporting | here |
| Jaffee D. and J. Walden (2010) | The Impact of Basel III and Solvency II on Swedish Banks and Insurers - An Equilibrium Analysis | here |
| Jagannathan, R. and Ma, T. (2003) | Risk reduction in large portfolios: Why imposing the wrong constraints helps | here |
| Jarrow, R., Li, L., Mesler, M. and van Deventer, D. (2007) | The determinants of corporate credit spreads | here |
| Jaschke, S.R. (2002) | The Cornish-Fisher-Expansion in the Context of Delta-Gamma-Normal Approximations | here |
| Jelicic, D., Brooks, M., Holt, S., Jagger, S., Kemp, M., Lavin, P. and Wilson, C. (2000) | Demystifying Active Quant | here |
| Jenkins, P. (2016) | Banking can learn from insurance on systemic risk | here |
| Jobson, J.D. and Korkie, B. (1980) | Estimation for Markowitz Efficient Portfolios | here |
| Johansen, A. and Sornette, D. (1999) | Critical crashes | here |
| Johnson, S. (2014) | Money market investors consider private funds | here |
| Jordan, B.D. and Jordan, S.D. (1997) | Special Repo Rates: An Empirical Analysis | here |
| Jorion, P. (1986) | Bayes-Stein Estimation for Portfolio Analysis | here |
| Jorion, P. (1994) | Mean/Variance Analysis of Currency Overlays | here |
| Kahn, R. (1999) | Seven Quantitative Insights into Active Management | here |
| Kahneman, D. (2011) | Thinking, Fast and Slow | here |
| Kalkbrener, M. (2010) | Understanding the Behaviour of Credit Correlations Under Stress | here |
| Kashyap, A.K., Rajan, R.G. and Stein, J.C. (2008) | Rethinking Capital Regulation | here |
| Kaye, G.W.C. and Laby, T.H. (1986) | Tables of Physical and Chemical Constants | here |
| Kay, J. and King, M. (2020) | Radical Uncertainty | here |
| Kazemi, H., Schneeweis, T. and Gupta, R. (2003) | Omega as a Performance Function | here |
| Keating, C., Hatchett, J., Smith, A., Walton, J. and Zhao, T. (2014) | Liquidity: essence, risk, institutions, markets and regulation | here |
| Keller, P. Kemp, M. Krischanitz, C. (2012) | Market Consistency - an educational note | here |
| Kelliher, P.O.J., Wilmot, D., Vij, J. and Klumpes, P.J.M. (2011) | Discussion Paper: A Common Risk Classification System for the Actuarial Profession | here |
| Kemp, M.H.D. (1997) | Actuaries and derivatives | here |
| 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 Funds | here |
| Kemp, M.H.D. (2001) | Ultra-high resolution imaging devices | here |
| Kemp, M.H.D. (2003) | Optical Imaging Device Design for Solar Powered Flight and Power Generation | here |
| Kemp, M.H.D. (2005) | Risk Management in a Fair Valuation World | here |
| Kemp, M.H.D. (2005a) | Solar-Powered Space Flight | here |
| Kemp, M.H.D. (2007) | 130/30 Funds: Extending the alpha generating potential of long-only equity portfolios | here |
| Kemp, M.H.D. (2008a) | Efficient implementation of global equity ideas | here |
| Kemp, M.H.D. (2008b) | Enhancing alpha delivery via global equity extended alpha portfolios | here |
| Kemp, M.H.D. (2008c) | Efficient Alpha Capture in Socially Responsible Investment Portfolios | here |
| Kemp, M.H.D. (2008d) | Catering for the Fat-tailed Behaviour of Investment Returns: Improving on Skew, Kurtosis and the Cornish-Fisher Adjustment | here |
| Kemp, M.H.D. (2009) | Market consistency: Model calibration in imperfect markets | here |
| Kemp, M.H.D. (2009a) | The VaR vs Tail VaR Mindset | here |
| Kemp, M.H.D. (2010) | Extreme Events. Robust Portfolio Construction in the Presence of Fat Tails | here |
| Kemp, M.H.D. (2010a) | Liquidity Risk - Its Relevance to Actuaries | here |
| Kemp, M.H.D. (2010b) | Regulatory Change and the Credit/Liquidity Crisis | here |
| Kemp, M.H.D. (2010c) | Extreme Events and Portfolio Construction | here |
| Kemp, M.H.D. (2011) | Entity-wide risk management for pension funds | here |
| Kemp, M.H.D. (2011a) | Sponsor covenants in risk-based capital | here |
| Kemp, M.H.D. (2011) | Extreme Events. Robust Portfolio Construction in the Presence of Fat Tails | here |
| Kemp, M.H.D. (2013) | Tail Weighted Probability Distribution Parameter Estimation | here |
| 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 neutrality | here |
| 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 develop | here |
| Kemp, M.H.D. (2017) | Systemic Risk: A Practitioner’s Guide to Measurement, Management and Analysis | here |
| Kemp, M.H.D. (2019) | Improving valuation run-times for derivative books | here |
| Kemp, M.H.D., Richardson, M. and Wilson, C. (2000) | Investment Manager Style Analysis | here |
| Kemp, M.H.D., Chrishanitz, C., de Leval, D., Van den Borre, E. (2019) | Actuaries and Operational Risk Management | here |
| Kemp, M.H.D. and Patel, C.C. (2011) | Entity-wide Risk Management for Pension Funds | here |
| 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 Crisis | here |
| Kent, J. and Morgan, E. (2008) | Dynamic Policyholder Behaviour | here |
| Kenyon, C. (2010) | Post-shock short-rate pricing | here |
| Kenyon, C. and Green, A. (2014) | Regulatory costs break risk neutrality | here |
| Keynes, J.M. (1936) | The General Theory of Employment, Interest, and Money | here |
| Khan, S. (2010) | Enterprise-Wide Risk Management in Microfinance Institutions: The ASA Experience | here |
| Khwaja, A. (2016) | USD OIS Swap Volumes Surge | here |
| King, N. (2013) | Contagion: A misnomer for financial crisis | here |
| Kleiber, C. and Kolz, S. (2003) | Statistical Size Distributions in Economics and Actuarial Sciences | here |
| Klein, M.V. and Furtak, T.E. (1986) | Optics | here |
| Klein, R.W. and Bawa, V.S. (1976) | The Effect of Estimation Risk on Optimal Portfolio Choice | here |
| Klement, J. (2005) | Commodity Forecasting for Tactical Asset Allocation | here |
| Klibanoff, P., Marinacci, M. and Mukerji, S. (2005) | A smooth model of decision making under ambiguity | here |
| Klöppel, S., Reda, R. and Schachermayer, W. (2009) | A rotationally invariant technique for rare event simulation | here |
| Klumpes, P., Kumar, A. and Dubey, R. (2013) | Investigating risk reporting practices in the global insurance industry | here |
| Knight, F. H. (1921) | Risk, Uncertainty and Profit | here |
| Knight, J. and Satchell, S. (2005) | Linear Factor Models in Finance | here |
| KPMG (2009) | Understanding and Articulating Risk Appetite | here |
| Kocken, T.P. (2006) | Curious Contracts: Pension Fund Redesign for the Future | here |
| Kriwaczek, P. (2010) | Babylon: Mesopotamia and the Birth of Civilization | here |
| Kuenzi, D.E. (2005) | Variance swaps and non-constant vega | here |
| Kuenzi, D.E. (2007) | Shedding Light on Alternative Beta: A Volatility and Fixed Income Asset Class Comparison | here |
| Kupiec, P. (1995) | Techniques for verifying the accuracy of risk management models | here |
| Kutas, J., Perraudin, W. and Qiu, Y. (2016) | Solvency II Capital Calibration for Securitisations | here |
| Kwiatkowski, J. and Rebonato, R. (2010) | A coherent aggregation framework for stress testing and scenario analysis | here |
| Laloux, L., Cizeau, P., Bouchard, J-P. and Potters, M. (1999) | Random matrix theory | here |
| Lam, J. (2003) | Enterprise Risk Management | here |
| Lam, J. (2014) | Enterprise Risk Management, 2nd edition | here |
| Landier, A. and Thesmar, D. (2011) | Regulating Systemic Risk Through Transparency: Tradeoffs in Making Data Public | here |
| Lashinsky, A. (2012) | Inside Apple: The Secrets Behind the Past and Future Success of Steve Jobs's Iconic Brand | here |
| Laskar, J. and Gastineau, M. (2009) | Existence of collisional trajectories of Mercury, Mars and Venus with the Earth | here |
| 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 annuities | here |
| Ledoit, O. and Wolf, M. (2003a) | Improved estimation of the covariance matrix of stock returns with an application to portfolio selection | here |
| Ledoit, O. and Wolf, M. (2003b) | Honey, I Shrunk the Sample Covariance Matrix | here |
| Ledoit, O. and Wolf, M. (2004) | A well-conditioned estimator for large-dimensional covariance matrices | here |
| Lee, C.M.C., Shleifer, A. and Thaler, R.H. (1990) | Anomalies - closed-end mutual funds | here |
| LEI ROC (2014) | Legal Identity Identifier Regulatory Oversight Committee | here |
| Leland, H. (1999) | Optimal Portfolio Management with Transaction Costs and Capital Gains Taxes | here |
| Leland, H. and Toft, K. (1996) | On the pricing of corporate debt: The risk structure of interest rates | here |
| Leippold, M. (2004) | Don’t rely on VaR | here |
| Levitt, W. and Dubner, S. (2005) | Freakonomics: A Rogue Economist Explores the Hidden Side of Everything | here |
| Lewin, C. (2010) | The New ERM Guide | here |
| Lewis, M. (2006) | Liar's Poker | here |
| LIFFE (1992a) | The reporting and performance measurement of financial futures and options in investment portfolios | here |
| LIFFE (1992b) | Futures and options: standards for measuring their impact on investment portfolios | here |
| 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 step | here |
| Linter, J. (1965) | The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets | here |
| Liodakis, M., Dupleich-Ulloa, R. and Mesomeris, S. (2008) | Academic Research Digest | here |
| Litterman, R. and the Quantitative Resources Group, Goldman Sachs Asset Management (2003) | Modern Investment Management: An Equilibrium Approach | here |
| Liu, M. and Staum, J. (2012) | Systemic Risk Components in a Network Model of Contagion | here |
| Llewellyn, D.T. (2009) | The Northern Rock Crisis: A Multi-dimensional problem waiting to happen | here |
| Lloyd, S. (2000) | Ultimate physical limits to computation | here |
| Lloyds Market Association (2013) | Catastrophe Modelling Guidance for Non-Catastrophe Modellers | here |
| Lohre, H. (2009) | Modelling Correlation and Volatility Within a Portfolio | here |
| Longstaff, F.A. (2005) | Asset pricing in markets with illiquid assets | here |
| Longuin, F. (1993) | Booms and crashes: application of extreme value theory to the U.S. stock market | here |
| Longuin, F. and Solnik, B. (2001) | Extreme Correlation of International Equity Markets | here |
| Lopez, J. A. and Saidenberg, M. R. (1999) | Evaluating Credit Risk Models | here |
| Lousto, C. and Nakano, H. (2008) | Three-body equations of motion in successive post-newtonian approximations | here |
| Lowenstein, R. (2001) | When Genius Failed: The Rise and Fall of Long-Term Capital Management | here |
| Lowenstein, R. (2004) | Origins of the Crash: The Great Bubble and its Undoing | here |
| Lucas, R.E. (1976) | Econometric policy: A critique | here |
| MacDonald, M. (2006) | Beginning ASP.NET 2.0 in VB 2005: From Novice to Professional | here |
| Mackay, C. (1841) | Extraordinary Popular Delusions and The Madness of Crowds | here |
| Maggiore, M. (2005) | A Modern Introduction to Quantum Field Theory | here |
| Mahar, M. (2003) | Bull! A History of the boom 1982-1999 | here |
| Malevergne, Y. and Sornette, D. (2002) | Minimising extremes | here |
| Malhotra, R. (2008) | Extreme Value Theory and Tail Risk Management | here |
| Malhotra, R. and Ruiz-Mata, J. (2008) | Tail Risk Modelling with Copulas | here |
| Malz, A. (2001) | Crises and volatility | here |
| Malz, A. (2003) | Liquidity Risk: Current Research and Practice | here |
| Mandelbrot, B. and Hudson, R. (2006) | The Misbehaviour of markets: A fractal view of Financial Turbulence | here |
| Manistre, B.J. (2009) | A Risk Management Tool for Long Liabilities: The Static Control Model | here |
| Ma, W. and Pirone, J. (2014) | Investment Insights: Alternatives and Liquidity: Incorporating Liquidity Constraints into Portfolio Construction | here |
| Markov, I.L. (2014) | Limits on fundamental limits to computation | here |
| Markowitz, H. (1952) | Portfolio selection | here |
| Markowitz, H. (1959) | Portfolio Selection: Efficient Diversification of Investments | here |
| Markowitz, H. (1987) | Mean-Variance Analysis in Portfolio Choice and Capital Markets | here |
| Marshall, A. (1924) | Money, Credit and Commerce | here |
| Mason, M.K. (2010a) | What Causes Small Businesses to Fail? | here |
| Mason, M.K. (2010b) | What Causes Small Businesses to Prosper | here |
| Mayer-Schonberger, V. and Cukier, K. (2013) | Big Data | here |
| McNeil, A.J., Frey, R. and Embrechts, P. (2005) | Quantitative risk management: Concepts, Techniques, Tools | here |
| Mehran, H. and Thakor, A. (2010) | Bank Capital and Value in the Cross Section | here |
| Mehrling, P. (2012) | Fischer Black and the Revolutionary Idea of Finance | here |
| 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 companies | here |
| Mercurio, F. (2010) | LIBOR Market Models with Stochastic Basis | here |
| Merton, R.C. (1969) | Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case | here |
| Merton, R.C. (1971) | Optimum Consumption and Portfolio Rules in a Continuous-Time Model | here |
| Merton, R.C. (1974) | On the pricing of corporate debt: The risk structure of interest rates | here |
| Merton, R.C. (1980) | On Estimating the Expected Return on the Market | here |
| Meucci, A. (2005) | Risk and Asset Allocation | here |
| Meucci, A. (2006) | Beyond Black-Litterman: views on non-normal markets | here |
| Meulbroek, L. (2002) | Integrated Risk Management for the Firm: A Senior Manager‘s Guide | here |
| Miccolis, J. and Shah, S. (2002) | RiskValueInsights(TM): Creating Value Through Enterprise Risk Management - A Practical Approach for the Insurance Industry | here |
| 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 Allocation | here |
| Michaud, R., Michaud, R. and Balter, D. (2015) | fi360 Asset Allocation Optimizer Risk-Return Estimates | here |
| Mikes, A. (2005) | Enterprise Risk Management in Action | here |
| Milken Institute (2008) | Catastrophe Bonds: Using the Capital Markets to Create Risk Protection | here |
| Millard, C. et al. (2013) | Cloud computing law | here |
| Mills, T. (1999) | The Econometric Modelling of Financial Time Series | here |
| Mills, A. (2010) | Complexity science: An introduction (and invitation) for actuaries | here |
| Minka, T.P. (2002) | Estimating a Gamma distribution | here |
| Minsky, B. and Thapar, R. (2009) | Quantitatively building a portfolio of hedge fund investments | here |
| Misner, C.W., Thorne, K.S. and Wheeler, J.A. (1973) | Gravitation | here |
| Moberg, D. and Romar, E. (2003) | WorldCom Case Study | here |
| Modigliani, F. and Miller, M.H. (1958) | The cost of capital, corporation finance and the theory of finance | here |
| Monahan, G. (2008) | Enterprise Risk Management: A Methodology for Achieving Strategic Objectives | here |
| Montier, J. (2007) | Behavioural investing: A practitioner’s guide to applying behavioural finance | here |
| Morgan Stanley (2002) | Quantitative Strategies Research Note | here |
| 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 box | here |
| Mossin, J. (1966) | Equilibrium in a Capital Asset Market | here |
| Murphy, H. (2017) | Database move gives blockchain its first big test case | here |
| Myers, C. and Ingram, D. (2006) | Insurance Criteria: Nonlife Insurance Risk Control Criteria and Their Role in Enterprise Risk Management | here |
| Nagan, D.A. and Patterson, A.C. (2011) | eERM - effective Enterprise Risk Management | here |
| NAIC (2012) | Risk Management and Own Risk and Solvency Assessment Model Act | here |
| NAIC (2013) | NAIC Own Risk and Solvency Assessment (ORSA) Guidance Manual | here |
| NAPF (2014) | IORP Directive Mk II (website viewed 12 December 2014) | here |
| NASA (2005) | Solar Sail Design and Construction | here |
| Nationwide Financial (2014) | Asset allocation matters | here |
| Neuberger, A. J. (1990) | Option pricing: a non-stochastic approach | here |
| Nguyen, H.D. and McLachlan, G.J. (2016) | Maximum Likelihood Estimation of Triangular and Polygonal Distributions | here |
| Nickell, P., Perraudin, W. and Varotto, S. (2008) | Ratings-based credit risk modelling: an empirical analysis | here |
| NIST (2008) | NIST Special Publication 811, 2008 Edition | here |
| Nocco, B. W. and Stulz, R. M. (2006) | Enterprise Risk Management: Theory and Practice | here |
| Nolan, J.P. (2005) | Modelling financial data with stable distributions | here |
| NOLGHA (2011) | NOLGHA Testimony Before the House Financial Services Committee on "Insurance Oversight and Regulatory Proposals" | here |
| Northfield (2004) | Estimating Returns for Asset Allocation | here |
| Norwood, B., Bailey, J. and Lusk, J. (2004) | Ranking Crop Yields Using Out-of-sample Log Likelihood Functions | here |
| Novy-Marx, R. (2004) | On the Excess Returns to Illiquidity | here |
| National Research Council (2001) | An assessment of the DTRA's Advanced Thermionics Research and Development Program | here |
| O’Brien, C., Woods, M. and Billings, M. (2010) | Pension risk disclosures by FTSE100 companies | here |
| O’Brien, J. and Szerszen, P.J. (2014) | An Evaluation of Bank VaR Measures for Market Risk During and Before the Financial Crisis | here |
| OECD/IOPS (2011) | Good practices for pension funds’ risk management systems | here |
| OeNB (2004) | Guidelines on Credit Risk Management: Credit Approval Process and Credit Risk Management | here |
| Orros, G.C. and Smith, J. (2010) | ERM for health insurance from an actuarial perspective | here |
| ORX and McKinsey (2017) | The future of operational risk | here |
| OSFI (2013) | Own Risk and Solvency Assessment Guidelines | here |
| Overhaus, M., Bermúdez, A., Buehler, H., Ferraris, A., Jordinson, C. and Lamnourar, A. (2007) | Equity Hybrid Derivatives | here |
| Pagano, M. and Volpin, P. (2012) | Securitization, Transparency, and Liquidity | here |
| Palin, J. (2002) | Agent based stock-market models: calibration issues and application | here |
| Palin, J., Silver, N., Slater, A. and Smith, A.D. (2008) | Complexity economics: Application and Relevance to Actuarial Work | here |
| Panjer, H.H. (1981) | Recursive evaluation of a family of compound distributions | here |
| Panjer, H. (2006) | Operational Risk : Modeling Analytics | here |
| Pankratz, A. (1991) | Forecasting with Dynamic Regression Models | here |
| Papageorgiou, A. and Traub, J. (1996) | Beating Monte Carlo | here |
| 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 Challenges | here |
| Pape, U. and Schlecker, M. (2007) | Are Credit Spreads and Interest Rates Co-Integrated? Empirical Analysis in the USD Corporate Bond Market | here |
| Partnoy, F. (2003) | Infectious Greed: How Deceit and Greed Corrupted the Financial Market | here |
| Patel, C. (2008) | Pensions regulation: A bridge too far? | here |
| Patel, C. and Daykin, C. (2010) | Actuaries and Discount Rates | here |
| PCAOB (2007) | Staff Audit Practice Alert No 2: Matters Related to Auditing Fair Value Measurements of Financial Instruments and the Use of Specialists | here |
| Peckham, R. (2013) | Contagion: epidemiological models and financial crises | here |
| 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 Guide | here |
| Peek, J., Reuss, A. and Scheuenstuhl, G. (2008) | Evaluating the Impact of Risk Based Funding Requirements on Pension Funds | here |
| Pena, V. H., de la, Rivera, R. Ruiz-Mata, J. (2006) | Quality control of risk measures: backtesting VAR models | here |
| Pengelly, M. (2008) | Sunk by correlation | here |
| Peplow, M. (2015) | Graphene booms in factories but lacks a killer app | here |
| Persaud, A, (2007) | The right direction for credit ratings agencies | here |
| Perkel, J. (2015) | Eight ways to clean a digital library | here |
| Pickands, J. (1975) | Statistical Inference Using Extreme Order Statistics | here |
| Pickett, K.H.S. (2006) | Enterprise Risk Management: A Manager’s Journey | here |
| Pirrong,C. (2014) | A bill of goods: central counterparties and systemic risk | here |
| 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 Street | here |
| Power, M., Ashby, S. and Palermo, T. (2013) | Risk Culture in Financial Oragnisations | here |
| PPF (2014) | The Purple Book: DB Pensions Universe Risk Profile 2014 | here |
| PRA (2012a) | The PRA's approach to banking supervision | here |
| PRA (2012b) | The PRA's approach to insurance supervision | here |
| 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 sector | here |
| 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 2 | here |
| PRA (2018) | Supervisory Statement SS3/18 Model risk management principles for stress testing | here |
| PRA (2018a) | Supervisory Statement SS17/16 (updated October 2018) Solvency II: internal models - assessment, model change and the role of non-executive directors | here |
| 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 Computing | here |
| Puccia, M. (2007) | The Role of ERM in Ratings | here |
| PWC (2013) | Valuing Sponsor Support | here |
| PwC (2016) | PwC Global FinTech Report March 2016: Blurred lines: How FinTech is shaping Financial Services | here |
| Pykhtin, M. and Dev, A. (2002) | Analytical approach to credit risk modelling | here |
| Raman, A.P., Anoma, M.A., Zhu, L., Rephaeli, E. and Fan, S. (2014) | Passive radiative cooling below ambient air temperature under direct sunlight | here |
| Rebonato, R. 2007) | Plight of the Fortune Tellers: Why we need to Manage Financial Risk Differently | here |
| Rebonato, R. (2010) | Coherent stress testing | here |
| 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 Comparison | here |
| Reinhart, C.M. and Rogoff, K.S. (2009) | This Time is Different: Eight Centuries of Financial Folly | here |
| Ren, Y., Madan, D. and Qian, M.Q. (2007) | Calibrating and pricing with embedded local volatility models | here |
| Richards, S.J. (2008) | Applying Survival models to pensioner mortality data | here |
| Riley, P. (2012) | On the probability of occurrence of extreme space weather events | here |
| Rimoldini, L. (2013) | Weighted skewness and kurtosis unbiased by sample size | here |
| RIMS (various) | RIMS Risk Knowledge database | here |
| Roach (2008) | Add ‘financial stability’ to the Fed’s mandate | here |
| Robbins, E.L., Cox, S.H. and Phillips, R.D. (1997) | Application of Risk Theory to Interpretation of Stochastic Cash-Flow-Testing Results | here |
| Rockinger, M. and Jondeau, E. (2002) | Entropy densities with an application to autoregressive conditional skewness and kurtosis | here |
| Roebuck, K. (2012) | Enterprise risk management (ERM): High-impact Strategies - What You Need to Know: Definitions, Adoptions, Impact, Benefits, Maturity, Vendors | here |
| Rogers, L.C.G. and Williams, D. (1994) | Diffusions, Markov Processes and Martingales Vol I | here |
| Rogoff, K. (2012) | Ending the financial arms race | here |
| Rogoff, K. and Reinhart, C. (2008) | Is the 2007 Sub-Prime Financial Crisis So Different? An International Historical Comparison | here |
| 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 You | here |
| Rösch, D. and Scheule, H. (2007) | Stess-testing credit risk parameters: an application to retail loan portfolios | here |
| Rösch, D. and Scheule, H. (2010) | Model Risk - Identification, Measurement and Management | here |
| Rosen, D. and Saunders, D. (2009) | Risk Factor Contributions in Portfolio Credit Risk Models | here |
| Rowe, D. (2005) | Whither stress testing? | here |
| Rubinstein(1996) | Implied binomial trees | here |
| Rubinstein, M. (2006) | A History of the Theory of Investments | here |
| Rudolph, M. (2012) | Preparing to Deal with Digital's Looming Dark Side | here |
| Rule, D. (2008) | Time is nigh to rethink basis of floating rate debt | here |
| Rule, D. (2019) | Model use and misuse | here |
| Russell Investors (2015) | Asset Class Dashboard | here |
| Salmon, I. L. and Fine, A.E.M. (1991) | Reflections on a takeover of a United Kingdom insurer: a case study | here |
| Samuelson, P.A. (1969) | Lifetime Portfolio Selection by Dynamic Stochastic Programming | here |
| Samuelson, P.A. (1991) | Long-Run Risk Tolerance When Equity Returns are Mean Regressing: Pseudoparadoxes and Vindication of Businessmen’s Risk | here |
| S&P (2005) | Insurance Criteria: Evaluating The Enterprise Risk Management Practices Of Insurance Companies | here |
| S&P (2013) | What May Cause Insurance Companies To Fail - And How This Influences Our Criteria | here |
| S&P (2013a) | 2012 Annual Global Corporate Default Study and Rating Transitions | here |
| Sayed, A.H. (2003) | Fundamentals of Adaptive Filtering | here |
| Scherer, B. (2002) | Portfolio Resampling: Review and Critique | here |
| Scherer, B. (2007) | Portfolio Construction and Risk Budgeting | here |
| Schiller, R. (2004) | The New Financial Order: Risk in the 21st Century | here |
| Schiller, R. (2005) | Irrational Exuberance | here |
| Schmidt, E. and Cohen, J. (2013) | The New Digital Age | here |
| Schelldorfer, J. and Wüthrich, M. (2019) | Nesting Classical Actuarial Models into Neural Networks | here |
| 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 models | here |
| Schwarz, S.L. (2008) | Systemic Risk | here |
| Schwartz, P. (1996) | The Art of the Long View: Planning for the Future in an Uncertain World | here |
| Scott, P. (2010) | Making money safely: A personal view of risk management in non-financial corporates, insurance and banking | here |
| SEC (2009) | Beginners' Guide to Asset Allocation, Diversification and Rebalancing | here |
| SEC (2016) | Investment Company Liquidity Risk Management Programs | here |
| Segal, S. (2011) | Corporate Value of Enterprise Risk Management: The Next Step in Business Management | here |
| Sentance (2008) | SQL and Historic Data - Mixing Oil and Water? | here |
| Shadwick, W.F. and Keating, C. (2002) | A Universal Performance Measure | here |
| Shapiro, S.S (1980) | How to test normality and other distributional assumptions | here |
| 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 Risk | here |
| 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) methods | here |
| Shaw, R.A., Smith, A.D and Spivak, G.S. (2010) | Measurement and Modelling of Dependencies in Economic Capital | here |
| Shaw, R. and Spivak, G. (2009) | Correlations and dependencies in economic capital models | here |
| Sheldon, T. J. and Smith, A. D. (2004) | Market consistent valuation of life assurance business | here |
| Sholz, F.W. and Stephens, M.A. (1987) | K-sample Anderson-Darling Tests | here |
| Shreve, W. (2004) | Stochastic Calculus for Finance, Volume II: Continuous Time Models | here |
| Singh, M. and Aitken, J. (2010) | The (sizeable) Role of Rehypothecation in the Shadow Banking System | here |
| Smith, A.D. (1995) | Recent developments | here |
| Smith, A.D. (2000) | Introduction to Convenience yields | here |
| 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 Next | here |
| SOA (2004) | Specialty Guide on Economic Capital | here |
| SOA (2006) | Enterprise Risk Management Specialty Guide | here |
| 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 Funding | here |
| Sobehart, J., Keenan, S. and Stein, R. (2001) | Benchmarking Quantitative Default Risk Models: A Validation Methodology | here |
| Soklakov, A. (2008) | Information derivatives | here |
| Various | Solvency II books rated highly on Amazon | here |
| Sorkin, A.R. (2010) | Too Big To Fail: Inside the Battle to Save Wall Street | here |
| Sourbes, C. (2014) | EU clearing timeline could drive banks out of the business | here |
| Spatt, C.S. (2012) | Complexity of regulation | here |
| Sponsor Covenant Working Party (2005) | Allowing for the Sponsor Covenant in Actuarial Advice | here |
| SSSB (2000) | Introduction to Cluster Analysis | here |
| 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 Values | here |
| Staum, J. (2011) | Systemic Risk Components and Deposit Insurance Premia | here |
| Various | Statistics books rated highly on Amazon | here |
| Stein, C. (1955) | Inadmissibility of the Usual Estimator for the Mean of a Multivariate Normal Distribution | here |
| Stein, R. M. (2007) | Benchmarking default prediction models: pitfalls and remedies in model validation | here |
| Steinberg, A.M. (2010) | A light touch | here |
| Stewart, I. (2010) | Professor Stewart's Cabinet of Mathematical Curiosities | here |
| 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 Kingdom | here |
| Stone, J.V. (2004) | Independent Component Analysis: A Tutorial Introduction | here |
| Various | Stress testing and backtesting books rated highly on Amazon | here |
| Sungard Bankware Erisk (2002) | Orange County | here |
| Sungard Bankware Erisk (2002) | Bankgesellschaft Berlin | here |
| Surowiecki, J. (2005) | Wisdom of Crowds | here |
| Sushko, V. and Turner, G. (2018) | The implications of passive investing for securities markets | here |
| Sweeting, P. (2011) | Financial Enterprise Risk Management | here |
| Taha, H.A. (1976) | Operations Research - An Introduction | here |
| Taleb, N.N. (2004) | Fooled by Randomness: The Hidden Role of Chance in Life and in the Markets | here |
| Taleb, N.N. (2007) | The Black Swan | here |
| Taleb, N.N. (2012) | Antifragile: Things that Gain from Disorder | here |
| Tarullo, D.K. (2015) | Capital Regulation Across Financial Intermediaries | here |
| Tasche, D. (2007) | Shortfall: a tail of two parts | here |
| Team Encounter (2005) | Team Encounter Sailcraft | here |
| The Pensions Regulator (2015) | Integrated Risk Management | here |
| Thomas, M. and Maré, E. (2007) | Long Term Forecasting and Hedging of the South African Yield Curve | here |
| Thompson, K. and McLeod, A. (2009) | Accelerated ensemble Monte Carlo simulation | here |
| Thompson, M. and Underwood, A. (2012) | Rational adapability and clumsy solutions | here |
| Thun, C. Licari, J.M. and Zandi, M. (2010) | Reverse Stress Testing: Challenges and Benefits | here |
| Tierens, I. and Anadu, M. (2004) | Quantitative Insights Research Note | here |
| Tilman, L.M. (2003) | Asset/Liability Management of Financial Institutions: Maximising Shareholder Value Through Risk-Conscious Investing | here |
| The Times (2008) | Lehman’s demise triggers huge default as Fed bailout fears grow | here |
| The Times (2009) | Return of the bogeyman of capital reserves | here |
| The Times (2006) | Japanese Logic Puzzles: Hitori, hashi, slitherlink and mosaic | here |
| Timmer, Y. (2016) | Cyclical Investment Behavior across Financial Institutions | here |
| Tirole, J. (2015) | Financial Regulation: A Focus on the Non-Bank Sector | here |
| Tobelem, S. and Barrieu, P. (2009) | Robust asset allocation under model risk | here |
| Toth, V.K. (2004) | The Gamma function | here |
| Towers Watson (2013) | The world’s 300 largest pension funds - year end 2012 | here |
| Treacy and Carey (1998) | Credit risk rating at large US banks | here |
| Treynor, J.L (1962) | Towards a Theory of the Market Value of Risky Assets | here |
| Triana, P. (2009) | Lecturing Birds on Flying: Can Mathematical Theories Destroy the Financial Markets?: How Financial Practice Differs from Theory | here |
| Turner, A. (2009) | The financial crisis and the future of financial regulation | here |
| Underwood, A. and Ingram, D. (2010) | The Fabric of ERM | here |
| UNEP (2015) | Aligning the Financial System with Sustainable Development: Pathways to Scale | here |
| US Government (2011) | The 9/11 Commission Report | here |
| 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 Report | here |
| 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 Program | here |
| Vanguard (2006) | A Primer on Tactical Asset Allocation Strategy Evaluation | here |
| Varnell, E.M. (2009) | Economic Scenario Generators and Solvency II | here |
| Varnell, E.M. and Cantle, N. (2011) | 2012 is too early to talk of Solvency III | here |
| Vasicek, O. (1977) | An equilibrium characterization of the term structure. Journal of Financial Economics, 5, pp. 177-188 | here |
| Vetzal, K.R. (1994) | A survey of stochastic continuous time models of the term structure of interest rates | here |
| Vlaar, P. (2006) | Term Structure Modeling for Pension Funds: What to do in practice | here |
| Wald, A. (1950) | Statistical Decision Functions | here |
| Wall, L.D. (2014) | Simple Concept, Complex Regulation | here |
| Watson, G.N. (1922) | A Treatise on the Theory of Bessel Functions | here |
| Webber, L. and Churm, R. (2007) | Decomposing corporate bond spreads | here |
| Various | Web services books rated highly on Amazon | here |
| Weigend, A.S. and Gershenfeld, N.A. (1993) | Time series prediction: forecasting the future and understanding the past | here |
| Weisstein, E.W. (2015) | Convergence Improvement | here |
| Wetzer, R. (2014) | Treatise on Tactical Asset Allocation | here |
| Whalley, A.E. and Wilmott, P. (1993) | An asymptotic analysis of the Davis, Panas and Zariphopoulou model for option pricing with transaction costs | here |
| Wikipedia (2008) | Bank of Credit and Commerce International | here |
| Wikipedia (2010) | Kolmogorov-Smirnov test | here |
| Wikipedia (2015) | Lanczos approximation | here |
| Wilkie, A.D., Waters, H.R. and Yang, S. (2003) | Reserving, Pricing and Hedging for Policies with Guaranteed Annuity Options | here |
| Wilmott, P. (2007) | Frequently asked questions in quantitative finance | here |
| Wilson, C., Derbyshire, G., Jelicic, D., Kemp, M. and Williams, M. (2000) | Applications of Derivatives in Life Insurance | here |
| Wilson, D.C.E. (2008) | (Il)liquidity Premium Estimation | here |
| Winston, R. (1991) | Nonimaging optics | here |
| Wolf, M. (2015) | Good news - fintech could disrupt finance | here |
| Wood, D. (2008) | Correlation: Breaking down | here |
| Wright, S.M. (2003a) | Forecasting with confidence | here |
| Wright, S.M. (2003b) | Correlation, Causality and Coincidence | here |
| Wüthrich, M.V., Bühlmann, H. and Furrer, H. (2007) | Market-Consistent Actuarial Valuation | here |
| Wüthrich, M.V. and Mertz (2008) | Stochastic Claims Reserving Methods in Insurance | here |
| Yee, A. (2014) | Algorithms - Radix Conversion | here |
| Yetis, A. (2008) | The capital ratio conundrum | here |
| 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 View | here |
| Zhang, S. (2005) | Risk Aggregation for Capital Requirements Using the Copula Technique | here |
| Zumbach, G. (2006) | Backtesting risk methodologies from one day to one year | here |