With the need for more qualitative assessments of risk becoming ever more paramount in the wake of the credit crisis, the Basel Committee for Banking Supervision is working on a consultation paper on stress testing.
Given the large number of assumptions made in calculating a value-at-risk, how can we have confidence in the quality of the resulting calculation? Brett Humphreys looks at using backtesting to evaluate quality.
In this Class Notes article, Charles Smithson considers some of the lessons learned from the recent credit crisis. In particular, he reflects on the difficulties faced by many institutions in valuing illiquid structured finance instruments, and makes...
The Basel Committee on Banking Supervision today released revised proposals for the charging of capital for incremental risk in the trading book. The new rules, developed in conjunction with the International Organisation of Securities Commissions, are...
Brett Humphreys discusses the many decisions associated with the calculation of a Monte Carlo value-at-risk.
Now in its 12th year, the Energy Risk USA conference in Houston once again brought together key figures in the energy industry to debate the hottest topics. The Energy Risk team reports
Pensions Risk Survey