Expected shortfall is hard to back-test, critics say – but the search for a solution is underway
Some banks worry they may not have enough data to implement expected shortfall safely
The online Certificate in Quantitative Finance program provides risk professionals with quant finance tools applicable to their roles, and now offers risk management electives. Download the CQF brochure.
More Laurie Carver articles
Proposals on proposals
Completing the two studies on schedule will be "nigh-on impossible" bankers claim – but regulators are thought to be wary of a postponement
Credit derivatives house of the year: Credit Suisse
Banks turn to lawyers for advice as CVA functions face tougher conditions than other trading desks
French life insurers have to pay back their customers at the drop of a hat – an exposure that rises in tandem with interest rates, as customers seek better returns elsewhere. But with the industry...
Credit factor models tend to obscure the economics in favour of tractability – and this puts them at odds with rigorous arbitrage-free martingale pricing methods. To resolve this, quants are looki...
Banks relieved as revised trading book proposals drop plans for capital to be based on regulator-set correlations
Critics of Basel III’s credit valuation adjustment (CVA) capital charge have long warned it would produce perverse incentives. Now, in the form of a string of quarterly losses in Deutsche Bank’s...
Big loss was accompanied by even bigger capital saving, traders point out. Other banks now working out their own policy on controversial capital charge
Pricing the CVA doom loop
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