Bank of England to apply price shocks based on unwind periods
Wild moves in the Swiss franc and US Treasuries blindsided VAR models
This white paper looks at the heavy impact of regulation on investment managers, the mitigation of outsourcing risk, inefficiencies in corporate actions processing and the growing importance of collateral management.
More Market risk articles
Hedging threatened by treatment of liquidity and diversification, critics claim
Expected shortfall may be more conservative than VAR, but there are backtesting and stability concerns
Hard to gauge impact of ambitious proposals, says market risk head
New set-up allows fast, tractable optimisation of trade execution, without neglecting downside risk
Some banks worry they may not have enough data to implement expected shortfall safely
This paper proposes the use of outlier detection methods from robust statistics and copula goodness-of-fit tests to identify components of mixture copulas. We first consider simulated data samples in which...
A procedure is developed to test whether conditional variances are constant over time in the context of generalized autoregressive conditional heteroscedasticity (GARCH) models with possible GARCH-in-mean...
Capital charges will be ‘very difficult to explain’, conference hears
Rise of standardised approach would be 'a loss for the banking industry'
In this paper, we consider the problem of optimal partial hedging for a contingent claim subject to a preset hedging budget constraint. Under some technical assumptions on the hedged loss function and...
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.