Market risk
Asian institutional investors focus on quantitative risk management
Investors in Asian institutions are catching up with European and North American counterparts in demanding quantitative risk measures and risk numbers as part of their investment mandate, says risk head...
Equity portfolios are marked-to-market on the assumption that each share will recoup that amount of cash – but exiting large positions has a market impact, wiping out value. New research indicates this...
Banks need more capital if they are to survive the worst eurozone scenarios being envisaged by some institutions, say Barry Schachter and Lance Smith
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More Market risk articles
Not all hedges are created equal
One of the key lessons risk managers should take from the global financial crisis is that apparently sound hedges may not do the job in all conditions, argues David Rowe
Cutting Edge introduction: viva cross-vegas
The sensitivity of single-rate derivatives to implied volatility is traditionally only considered with respect to the underlying fixing, in effect collapsing the term structure to a point. But a full set of implied volatilities can be found using a new...
Mining companies remain unhedged, despite Chinese clouds
After some painful experiences in recent years, mining companies remain largely unhedged – despite a jump in metals volatility and the threat of a Chinese downturn. Could they end up regretting it? Michael Watt reports
Quants weigh up VAR's flawed alternatives
The Basel Committee will consider ditching value-at-risk as the basis for trading book capital, but an obvious alternative, expected shortfall, has problems of its own. Laurie Carver reports
Beyond Basel 2.5: regulators prepare trading book review
The Basel Committee is planning to launch its long-awaited review of trading book capital rules within the next few months. It could redefine the boundaries of the trading book, seek to reflect market liquidity and also overhaul the current patchwork...
Goodbye VAR? Basel to consider other risk metrics
Trading book review will look at replacing value-at-risk, but quants say the obvious alternative - expected shortfall - is not much better
Ambition of Basel's trading book review has faded, sources say
Patchwork of risk measures - including standalone CVA charge - may be left intact
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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