This paper investigates procyclicality models, bringing attention to that fact that typical measures of model responsiveness are random variables and impacted ...

This issue of The Journal of Risk Model Validation continues to mirror the Zeitgeist by publishing two papers on default prediction (as well as one on time-scaling challenges). I apologize to readers ...

Two months after the ‘Liberation Day’ tariff announcements, investors continue to struggle with the risks posed by uncertain US policy and its likely economic effects.

The Canadian Derivatives Clearing Corporation (CDCC) expanded its default fund by 22.1% in the first quarter to an all-time high of C$5.3 billion ($3.8 billion). The latest surge built on previous ...

Dealers are seeing renewed hedge fund interest in the Hong Kong dollar carry trade due to the wide gap between Hong Kong and US rates, after many were stopped out on similar trades in early May.