The US government's bank stress tests appear to have been successful in stabilising financial markets, but some market observers believe they are obscuring broader systemic problems and could hamper efforts...
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
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Credit spreads on highly rated names have blown out to levels that are proving irresistible to many buy-and-hold investors such as pension funds. But tail risk in the form of increased default expectations is still a major consideration. Blake Evans-Pritchard...
When overlapping intervals in time series are used, volatility and price changes' percentiles are underestimated. Consequently, value-at-risk is also underestimated. Heng Sun, Izzy Nelken, Guowen Han and Jiping Guo measure the size of this underestimation...
With the release of three new consultation papers in January, the Basel Committee has come up with its most ambitious plans yet for tackling the challenges presented by the financial crisis. But its proposal to overhaul VAR models is coming in for some...
The most recent phase of the financial crisis has caused some to question whether Basel II will survive in its current form. Governments are insisting banks hold higher capital levels than Basel II calculations require, while pressure is on the Basel...
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
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