Market risk
Bank models are built on foundations of sand
Original headline:
Despite the remarkable advances made over the past 25 years, David Rowe argues the industry’s existing risk models are not fit for purpose when it comes to stress testing and analysis of tail risk
Original headline:
Value-at-risk is usually calculated via Monte Carlo simulation, making it difficult to see the contributions from different risks. But in some circumstances approximate formulas can be derived that greatly...
Original headline:
Managing market risk is a key issue for life insurers. Clive Davidson looks at the challenges they face in modelling this risk and how the assumptions that underpin their models are changing in response...
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Risk managers complain about Fed stress test workload
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Twelve new banks are included in this year's US stress test, and some institutions are unhappy about the extra work
Basel 2.5: US ratings workaround too punitive, banks complain
Original headline:
Securitisations suffer in draft rules that avoid use of credit ratings - a Dodd-Frank Act requirement
Cutting Edge introduction: requiem for a probabilist
Original headline:
The already challenging task of calibrating stochastic volatility models becomes even more complex when rates are random too. But an efficient Monte Carlo approach can be found – by using an esoteric, but neglected, stochastic calculus. Laurie Carver...
Dealers count cost of Santander's Brazilian real hedges
Original headline:
Santander protects the value of its growing Brazilian business with a huge hedging programme that leaves its counterparties long the real. That became a source of intense pain when the currency fell like a stone in late September. By Peter Madigan
Credit Suisse and UBS on Basel 2.5: Half a world away
Original headline:
Swiss banks had to switch over to Basel 2.5 at the start of 2011, but they are still wrestling with elements of the new trading book rules – from educating traders on the impact, to working out sovereign bond risks. And differences have already emerged...
CCP contest starting to heat up
Original headline:
LCH.Clearnet's then-chief executive, Roger Liddell, knew what he was doing when he told Risk in April last year that the margin standards being used by one of the firm’s rivals were “bordering on reckless” (Risk May 2010, page 9). With regulators...
Basel 2.5: regulators still wrestling with Dodd-Frank clash
Original headline:
The Dodd-Frank Act means elements of Basel’s new trading book rules cannot be implemented in the US – although supervisors claim it will only be a temporary reprieve. A review of the rules has also been delayed. Mark Pengelly reports
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