Weird or pragmatic: VAR-based back-tests for expected shortfall
To meet new Basel III capital requirements, banks have to proxy unobserved credit default swap (CDS) time series for their over-the-counter derivative counterparties to determine the credit valuation adjustment...
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 Risk management articles
Accurate rating systems are of central importance for banks to price and manage their loan portfolios. A bank's choice to invest in a more accurate rating technology is based on a trade-off: the better...
This paper examines the pricing performance of option pricing models by using intraday data on KOSPI 200 index options. We consider the Black-Scholes model, the ad hoc Black-Scholes model (ie, traders'...
Rigorous training the only cure for complacency, says Marc Schaedeli at Risk USA
Companies must prepare for inevitable intrusion, says RBS infosec head
DTCC highlights cyber danger with white papers and joint venture
Paper proposes refinements to 'cover two' standard
Giant daily dealing bond funds and ETFs could cause the next crisis, GLG’s top fixed income manager says
Automated risk systems vital, says Tower Research Capital CRO
Analysts extrapolate from £1.8bn FCA fine
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.