Research by Omar Bairan, from July 2022, that applies the Marcenko-Pastur distribution to remove noise from covariance matrices and reduce the variance of a synthetic portfolio by more than 22 %. It includes the Python code.
McKinsey article on three cybersecurity trends (on-demand data access, AI-driven attacks and talent and regulatory gaps) and the capabilities to respond: zero trust, automation and built-in security.
Deloitte survey of more than 2,000 senior executives in 21 countries: climate concern is growing (79 % see a tipping point) but there is a gap between ambition and action. Nineteen percent lead with weighty measures.
KPMG presentation on the European Commission’s October 2021 proposal to apply Basel 4 through CRR3: output floor, credit risk, market risk, CVA, operational risk and disclosures.
16th edition of the global risks report, centered on the COVID-19 pandemic: infectious diseases, livelihood crises and extreme weather led the short-term risks. A historical edition, replaced by the 2026 one.
Management Solutions study on conduct risk: why the management paradigm changes, how different jurisdictions regulate it and how to identify and measure it with risk appetite, controls, metrics and data analytics.
The final net stable funding ratio (NSFR) standard of October 2014: available stable funding against required stable funding, of at least 100 % on an ongoing basis, with a one-year horizon.
The original liquidity coverage ratio (LCR) standard: high-quality liquid assets for a 30-day stress scenario, a phase-in from 60 % in 2015 to 100 % in 2019 and monitoring tools. Now integrated into the Basel Framework.
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