Weird or pragmatic: VAR-based back-tests for expected shortfall
Collateral posters should pay when rates are negative, US banks believe
Automated risk systems vital, says Tower Research Capital CRO
In this white paper, Gordon Russell, Global Head of Risk at Broadridge Investment Management Solutions argues that the chances of survival in this new environment will be greater for funds that implement solutions to efficiently and cost-effectively manage data and risk.
More Duncan Wood articles
Expected shortfall may be more conservative than VAR, but there are backtesting and stability concerns
Enquiry now underway, AMF official tells conference
XVA specialists spark debate on regulation and risk-neutrality
Korean won swap liquidity could suffer if KRX service is not approved
Central bank will coordinate switch to new risk-free benchmark
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.