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...
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...
Banks are increasingly using their IT infrastructure to increase their competitive advantage. Learn how this can work in practice.
More Market risk articles
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...
US banks face hundreds of billions of dollars in losses on commercial real estate (CRE) loans - a danger that was missed by the Capital Adequacy Program (Cap) stress tests in early 2009. The Congressional Oversight Panel for the Troubled Asset Relief...
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.
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