Market risk
Banks run eurozone crisis scenarios as Greece founders
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...
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...
Don't get left behind
How banks needs to consider their IT infrastructure
Banks are increasingly using their IT infrastructure to increase their competitive advantage. Learn how this can work in practice.
More Market risk articles
A sting in the tail
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...
Valukas’ Lehman post-mortem reveals flaws in stress testing
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...
Bankers bristle over impending Cebs stress-testing guidelines
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...
Harsher stress tests described in new FSA risk outlook
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...
Summing up VAR
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...
Stress tests ignored commercial real estate threat, Congress warns
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...
Hammers and nails
Excess regard for the techniques we know can lead to these methods being misapplied. Risk managers too often fall into this trap, argues David Rowe
Using market and credit risk analytics to strengthen performance
How are banks improving their risk management techniques?
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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Using market and credit risk analytics to strengthen performance
This white paper reviews the various steps banks are taking to improve their risk management techniques.
How financial services need to consider their IT infrastructure
The global credit crisis exposed the weaknesses inherent in the risk management and IT infrastructures employed by banks.
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