Market risk
Forex options traders count the cost of stressed VAR
Stressed value-at-risk has been less controversial than the other capital charges introduced in response to the financial crisis – but some dealers say the new metric is decreasing appetite for risk...
Focusing on how often a trading strategy ends on the winning side can distract from the question of whether it profits on average. The key is in the return distribution’s skew – and at least for trend-following...
Will reduce capital charge by at least 75%, inter-dealer broker claims
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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
Risk 25: Cutting edge classics
In October 2001, two prescient articles drew attention to the Gaussian copula model – that would play such a crucial role in the crisis to come – and anticipated the methods regulators are now exploring to capitalise market liquidity risk
The growing complexity of energy market risk
The recent evolution and increased complexity of market risk has brought greater challenges and responsibilities to the risk manager in charge of market risk mitigation, finds Gillian Carr
Writing love letters to models
Old love letters are deeply private. If they are kept at all, it should be in a locked box at the bottom of a locked drawer. The drawer should be part of a desk that stands in the furthest corner of a locked attic. In any event, they should not be published...
Bye, robot: regulators rein in capital models
The Basel Committee’s review of trading book capital rules aims to reduce banks’ reliance on internal models. It’s part of a new regulatory philosophy on capital modelling – but it could prompt some banks to turn their backs on the discipline...
No magic bullets: Macro-hedgers look for eurozone protection
Europe’s debt crisis could get worse, and some firms are looking for tail risk hedges in the foreign exchange market – but even magic bullets can backfire. Mark Pengelly reports
Managing Solvency II's equity capital charge
The capital charge imposed by Solvency II on equities could be costly for many life insurers. Blake Evans-Pritchard reports on where efficiency improvements could be made
US senator calls for VAR overhaul
Speaking to Risk after JP Morgan boss testifies on $2 billion loss, US Senate banking committee member Kay Hagan says risk modelling and reporting need overhaul
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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