Banks relieved as revised trading book proposals drop plans for capital to be based on regulator-set correlations
Artificially low volatility leaves firms nervous about the future – and looking for fixed-income alternatives
Five years on from the collapse of Lehman Brothers, the chaos that followed is now being erased from some value-at-risk models – and clearing houses do not agree on how to prop up their margin requirements....
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
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The coherent risk measure expected shortfall is a popular alternative to value-at-risk. However, the estimated value may miscommunicate the actual risk, especially when huge losses are present in the return series. This may force the financial institution...
We present an alternative approach to hedging in incomplete markets. A corresponding alternative risk-minimization algorithm that identifies an optimal hedging portfolio consistent with initial capital and an investor-chosen risk criterion is developed....
For several years leading up to the outbreak of the financial crisis, growth in the use of arbitrage collateralized debt obligations (CDOs) was explosive. In this paper, we discuss potential sources of such arbitrage opportunities, in particular, potential...
This paper focuses on portfolio risk forecasting in an asymmetric framework. Risk is defined by two factors: the dependence structure and the volatility. In order to account for asymmetric dependencies, the return series' interdependence is estimated...
Farid AitSahlia Warrington College of Business Administration, University of Florida The global financial crisis of 2007-8 illustrated the shortcomings of several modeling approaches in a dramatic fashion. Chief among these shortcomings are the bond-like...
Wrong-way risk is a bad enough headache at the best of times. But what if your counterparty is systemically important, so its default affects all your other exposures? Laurie Carver introduces this month’s technical articles
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 guarantees. Louie Woodall examines how these mechanisms...
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
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