Trading book review will look at replacing value-at-risk, but quants say the obvious alternative - expected shortfall - is not much better
Patchwork of risk measures - including standalone CVA charge - may be left intact
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.
More Market risk articles
Value-at-risk is usually calculated via Monte Carlo simulation, making it difficult to see the contributions from different risks. But in some circumstances approximate formulas can be derived that greatly save computing power – and explicitly show...
Managing market risk is a key issue for life insurers. Clive Davidson looks at the challenges they face in modelling this risk and how the assumptions that underpin their models are changing in response to the recent economic turmoil
Twelve new banks are included in this year's US stress test, and some institutions are unhappy about the extra work
Securitisations suffer in draft rules that avoid use of credit ratings - a Dodd-Frank Act requirement
The already challenging task of calibrating stochastic volatility models becomes even more complex when rates are random too. But an efficient Monte Carlo approach can be found – by using an esoteric, but neglected, stochastic calculus. Laurie Carver...
Santander protects the value of its growing Brazilian business with a huge hedging programme that leaves its counterparties long the real. That became a source of intense pain when the currency fell like a stone in late September. By Peter Madigan
Swiss banks had to switch over to Basel 2.5 at the start of 2011, but they are still wrestling with elements of the new trading book rules – from educating traders on the impact, to working out sovereign bond risks. And differences have already emerged...
Technology can provide a competitive advantage in banking. How it is applied by Tier 1 and Tier 2 institutions, to the benefit for their risk management systems, is discussed.
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