In the first of a four-part series, David Rowe considers the development of financial risk management over the past 25 years and offers some thoughts about its future direction
With markets anticipating a Greek debt restructuring, bank traders and risk managers are preparing for a wider crisis that could drag in northern European countries, tip the euro into a tailspin or even...
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
In this 10-part series, Brett Humphreys takes a fresh look at the widely used risk measure value-at-risk (VaR), urging risk managers to be more aware of the many assumptions that go into the calculation to produce the VaR number.
Value-at-risk figures fell across the industry in 2009, while exceptions dropped significantly from levels in 2007 and 2008. But discussion over what VAR figures actually show and how the numbers are interpreted by senior management continues. By Alexander...
After recent financial turmoil, market participants are thinking much more rigorously about ways to protect themselves against the possibility of rare but extreme events. However, effectively hedging tail risk is not straightforward. By Mark Pengelly...
Significant gaps in the stress-testing practices of Lehman Brothers led the US bank to take on excessive risks in its real estate portfolio it might otherwise have avoided, according to a detailed report on the bank's collapse. Anton Valukas, chairman...
Firm-wide stress testing can take up to seven months, said Piers Haben, chairman of the Committee of European Banking Supervisors' (Cebs) workstream on stress testing, speaking at a public hearing held on March 10 by the committee. Banks continue to...
The UK Financial Services Authority has outlined a new, more severe stress scenario for banks in its latest Financial Risk Outlook, published today. The regulator noted that its 2009 stress scenario had more or less come to pass. Gross domestic product...
There are a number of approaches to building the IT systems architecture required for historical simulation value-at-risk implementations. What are the pros and cons associated with these architectures? And why does the risk-aggregator approach overcome...
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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