Market participants ‘will have to pay more’ to get in and out of positions
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
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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...
We show that the conservative estimate of the value-at-risk (VaR) for the sum of d random losses with given identical marginals and finite mean is equivalent to the corresponding conservative estimate...
Given a finite set of m scenarios, computing a portfolio with the minimum value-at-risk (VaR) is computationally difficult: the portfolio VaR function is nonconvex, nonsmooth and has many local minimums....
Completing the two studies on schedule will be "nigh-on impossible" bankers claim – but regulators are thought to be wary of a postponement
Fixed-income trading revenues will continue to fall in 2014, believe respondents to a Risk.net poll
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