Some quants discarded the continuous time model when it got in the way of arbitrage-free pricing – but others see a chance to fix the traditional ideal. Laurie Carver introduces this month’s technical...
This year is being mooted as the year of the 'great rotation' by investors out of bonds and into equities. For their part, insurers are modestly increasing their equity exposure in pursuit of more attractive...
Trading book capital measures were at heart of efforts to free up traders and reduce capital
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.
More Market risk articles
Regulators planning follow-up to trading book study that revealed huge variation in modelled RWA numbers
Borrowing the stake for a bet is as old as the hills – and so is losing it. But how much debt is too much for a given position? A group of quants believe they know. Laurie Carver introduces this month’s technical articles
Capital pressures that drove UBS out of fixed income could force other banks to follow suit, says market risk head – and names Société Générale and BNP Paribas as examples
The Basel Committee on Banking Supervision has proposed using expected shortfall instead of value-at-risk as the central metric for regulatory market risk capital. David Rowe argues this will be both ineffective and dangerous
It’s the untold story of JP Morgan’s credit trading losses – how traders were able to reduce risk-weighted assets while loading up on risk, and the part played by Basel 2.5. Michael Watt reports
It is a cliché that returns are fat-tailed, but that doesn’t make the distributions any easier to work with. However, drawing on the father of their application in finance – and some thermodynamics – may make it a bit easier. Laurie Carver introduces...
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
UK, 18th Dec 2013
UK, 12th Feb 2014
UK, 13th Feb 2014
UK, 19th - 20th Feb 2014
Germany, 25th Feb 2014
Updating your subscription status
Risk iPad and iPhone Apps