Multiple demand factors for Asian debt provide the perfect opportunity for Asia’s capital markets to expand their offering, according to experts at Standard Chartered Bank
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...
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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Will reduce capital charge by at least 75%, inter-dealer broker claims
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
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 In any event, they should not be published...
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...
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
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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