Market risk
Risk.net poll: Industry divided over plan to scrap VAR
Poll on Basel Committee proposal to ditch VAR attracts close to 1,000 votes - with a narrow victory for critics of the metric
Regulators want banks to hold more capital against government bond positions, but the regime is being changed at a time when the industry is the main source of demand for big eurozone issuers such as Italy...
Since cross-asset class correlations aligned in 2008 there has been pent-up demand for instruments that provide exposure to another measure of it – covariance. But structuring a covariance swap that...
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
OCC faces VAR vetting questions over JP Morgan loss
US regulator is responsible for signing off models used for regulatory capital purposes
VAR models in Vietnam give ‘false sense of security’
Lack of data for models is a function of Vietnam’s new capital markets – but no reason why the quality of data cannot improve over time, say speakers at Risk Vietnam conference
Profile: NYU’s Robert Engle on volatility, liquidity and systemic risk...
The financial crisis has thrown up numerous opportunities to study the relationship between volatility and liquidity – from the freezing of structured credit markets to the 2010 flash crash – but Nobel laureate economist Robert Engle says this behaviour...
The ETN that grew too fast
Credit Suisse’s recent move to suspend issuance of a popular exchange-traded note (ETN) caused the value of the note to whipsaw, and the bank is being asked pointed questions by regulators. Other dealers accuse the bank of mishandling the situation...
Stress test struggle: separating liquidity and market risks
The financial crisis has been marked by episodes of extreme illiquidity, affecting everything from collateralised debt obligations to government bonds, but there has been little attempt to reflect these risks in stress tests. Some banks are building tests...
Cutting edge introduction: perturbing the smile
There has been a long history of interaction between physics and quantitative finance. Now a technique for finding the effects of small fluctuations in quantum fields is being used to get a handle on the implied volatility smiles a stochastic model can...
Basel Committee proposes scrapping VAR
Review recommends switch to expected shortfall, postpones CVA charge overhaul, and retains split between banking and trading books
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.
Related conferences
-
Risk OTC Derivatives Clearing Summit
USA, 5th Jun 2013
-
Quant Congress Europe
UK, 12th Jun 2013
-
Risk and Return Brasil - Portuguese
Brazil, 12th Jun 2013
-
Risk & Return Brazil - English
Brazil, 12th Jun 2013
-
What’s next for fixed-income ETFs and structured products?
UK, 3rd Jul 2013
Related training
-
Nexus-Risk Training
Canada, 21st - 16th Oct 2013
-
Gas Portfolio Optimisation
UK, 22nd - 23rd May 2013
-
Active Risk Management in the Treasury
UK, 5th - 6th Jun 2013
-
Active Risk Management in the Treasury
UK, 5th - 6th Jun 2013
-
Market Data, Reference Data & Technology Training
Canada, 10th - 14th Jun 2013
Updating your subscription status 
Risk IPad Apps
Email alerts
Weekly poll
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.
- Lender market advisory: swap guarantees – keepwells and excluded obligations
- Global securities enforcement activity stepping up to meet new market challenges
- M&A representations and warranties insurance: what every buyer and seller needs to know
- How important is collaborative technology in managing risk?
- Meeting regulatory challenges: metadata in court submissions
Related Jobs
