Market risk
Insurers look to volatility controls to support long-term guarantees
As insurers look for ways to offer long-term guarantees to customers despite the challenging investment environment, some are turning to volatility control mechanisms to reduce the cost of hedging the...
Some quants discarded the continuous time model when it got in the way of arbitrage-free pricing – but others see a chance to fix the traditional ideal. Laurie Carver introduces this month’s technical...
This year is being mooted as the year of the 'great rotation' by investors out of bonds and into equities. For their part, insurers are modestly increasing their equity exposure in pursuit of more attractive...
Using market and credit risk analytics to strengthen performance
How are banks improving their risk management techniques?
This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
More Market risk articles
JP Morgan manipulated VAR and CRM models at London whale unit - Senate...
Trading book capital measures were at heart of efforts to free up traders and reduce capital
Bank capital models need more consistency: OCC's Pasch
Regulators planning follow-up to trading book study that revealed huge variation in modelled RWA numbers
Cutting Edge introduction: The tipping-point for leverage
Borrowing the stake for a bet is as old as the hills – and so is losing it. But how much debt is too much for a given position? A group of quants believe they know. Laurie Carver introduces this month’s technical articles
Risk USA: "We needed to run a simpler bank," says UBS risk manager
Capital pressures that drove UBS out of fixed income could force other banks to follow suit, says market risk head – and names Société Générale and BNP Paribas as examples
What Libor reform will change – and what it won’t
The Wheatley Review of Libor succeeds in shoring up the interest rate benchmark without destabilising the derivatives market, traders say. But there are some hidden complexities. By Laurie Carver
The false promise of expected shortfall
The Basel Committee on Banking Supervision has proposed using expected shortfall instead of value-at-risk as the central metric for regulatory market risk capital. David Rowe argues this will be both ineffective and dangerous
JP Morgan and the CRM: How Basel 2.5 beached the London Whale
It’s the untold story of JP Morgan’s credit trading losses – how traders were able to reduce risk-weighted assets while loading up on risk, and the part played by Basel 2.5. Michael Watt reports
How can investment banks use grid technology?
Learn how technology is enhancing risk management
Technology can provide a competitive advantage in banking. How it is applied by Tier 1 and Tier 2 institutions, to the benefit for their risk management systems, is discussed.
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Using market and credit risk analytics to strengthen performance
This white paper reviews the various steps banks are taking to improve their risk management techniques.
How financial services need to consider their IT infrastructure
The global credit crisis exposed the weaknesses inherent in the risk management and IT infrastructures employed by banks.
- How customer-centric transformation can lead to an increase in revenue and streamline operations
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- Anti-Money Laundering when transaction monitoring is not sufficient
- Fraud Intelligence Analysis: Identifying, investigating and disrupting financial crimes
- Don’t get left behind – how financial services need to consider their IT infrastructure
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