Volume 12 (2019)

Each volume of Journal of Risk Management in Financial Institutions consists of four quarterly 100-page issues, published both in print and online. The articles published in Volume 12 are:

Volume 12 Number 4: Special Issue on Enterprise Risk Management

• Editorial: How should an Enterprise Risk Management department be organised? And what should it do?
  Greg Hopper, Global Head of Enterprise Risk Management, Goldman Sachs
• Enterprise Risk Management: Special Issue Papers
  Creating the bank enterprise risk management function of the future
  Hans Helbekkmo, Partner, Cindy Levy, Senior Partner and Olivia White, Partner, McKinsey & Company
• What is enterprise risk management?
  Jeffrey Brown, Partner, Michael Duane, Partner and Til Schuermann, Partner, Oliver Wyman
• Enterprise risk management: Towards a comprehensive yet practical enterprise risk function
  Fabrice Fiol, Managing Director and Deputy Head of Enterprise Risk Management, Société Générale Americas
• The enterprise risk management function in financial institutions
  Greg Hopper, Global Head of Enterprise Risk Management, Goldman Sachs
• Stress testing and the representative bank model
  Paul H. Kupiec, Resident Scholar, American Enterprise Institute
• Risk Management Papers
  Machine learning in risk measurement: Gaussian process regression for value-at-risk and expected shortfall
  Sascha Wilkens, Senior Manager, BNP Paribas
• Strategic technology risk: Core systems replacement
  Patrick McConnell, Consultant and Martin Walker, Director of Banking and Finance, Center for Evidence-Based Management

Volume 12 Number 3

• Editorial: Machine learning and its impact on financial institutions
  John Hull, Maple Financial Professor of Derivatives and Risk Management, University of Toronto
• Why sustainability? Because risk evolves and risk management should, too
  Madelyn Antoncic, PhD, CEO, SASB Foundation
• How disruptive are fintech and digital for banks and regulators?
  Hedwige Nuyens, Managing Director, International Banking Federation (IBFed)
• A multi-stakeholder approach to risk resiliency
  Børge Brende, President, World Economic Forum
• Public credit insurance benefits international trade. But how much?
  John Lorié, Chief Economist, Atradius Credit Insurance
• How to overcome modelling and model risk management challenges with artificial intelligence and machine learning
  Daniel Mayenberger, European Head of Large Model Frameworks, Barclays
• Estimating the probability of a non-Markovian rating transition from partially unobserved histories
  Rafael Weißbach, Chair of Statistics and Econometrics, University of Rostock and Friederike Schmal, Institute of Econometrics and Economic Statistics, University of Münster
• Artificial intelligence credit risk prediction: An empirical study of analytical artificial intelligence tools for credit risk prediction in a digital era
  Diederick van Thiel, founder and CEO, AdviceRobo and Willem Frederik (Fred) van Raaij
• Book review: Operational Risk Management by Ariane Chapelle
  Reviewed by Allan Grody, Editorial Board Member

Volume 12 Number 2

• Editorial: Risk landscape 10 years on: The end of systemic risk or a new beginning?
  Thomas Wilson, Chief Risk Officer, Allianz SE & Editorial Board Member
• The evolution of the Basel framework: Are we back to where we started?
  Frankie Phua, Managing Director, Head of Group Risk Management, United Overseas Bank
• The shortcomings of models in country risk management
  Michel-Henry Bouchet, Distinguished Global Finance Professor, SKEMA Business School and Amaury Goguel, Academic Dean, MSc Financial Management and Investment programme, SKEMA Business School
• The top 14 challenges for today’s model risk managers: Has the time come to think about going beyond SR11-7?
  Jon R. Hill, Head, New York Chapter, Model Risk Managers’ International Association
• Interconnectedness and financial stability
  Serafin Martinez-Jaramillo, Senior Financial Researcher, Financial Stability General Directorate, Banco de México, Christian U. Carmona, Doctoral candidate, University of Oxford
• A method for pricing the credit valuation adjustment of unlisted companies
  Matteo Formenti, Professor of Asset Management, University of Castellanza
• Book review: Managing Country Risk in an Age of Globalization: A Practical Guide to Overcoming Challenges in a Complex World
  Reviewed by Sam Wilkin, Senior Adviser, Oxford Economics, Senior Adviser, Oxford Analytica and Visiting Fellow, Brown University

Volume 12 Number 1

• Editorial
  Julie Kerry, Journal of Risk Management in Financial Institutions
• Opinion piece: On better assessing the future outcomes of ‘grand, world-changing schema’: Seeing present EU and globalisation backlashes as to-be-expected
  Guntram F. A. Werther, Professor (research), The Fox School of Business, Temple University
• Assessment of model risk in the aggregate: Contribution of quantification
  Liming Brotcke, Quantitative Manager, Federal Reserve Bank of Chicago and Raymond Brastow, Senior Financial Economist, Federal Reserve Bank of Richmond
• A methodology for actively managing tail risks and uncertainties
  Dirk Broeders, Senior Strategy Adviser, Supervisory Policy Division, De Nederlandsche Bank; Finance Professor, School of Business and Economics, Maastricht University, Herwin Loman, Senior Strategy Adviser, Supervisory Policy Division, De Nederlandsche Bank and Joris van Toor, Policy Adviser, Supervisory Policy Division, De Nederlandsche Bank
• Economic capital: A brief history and practical applications today
  Tally Ferguson, Director of Enterprise-wide Risk Management, BOK Financial
• Credit risk forecasting modelling and projections under IFRS 9
  Giuseppe Montesi, Adjunct Professor of Bank Financial Statement Analysis, University of Siena, School of Economics and Management, Giovanni Papiro, Adjunct Professor of Bank Capital Raising, University of Siena, School of Economics and Management, Laura Ugolini and Giuseppe Ammendola, University of Siena