Market risk
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
Patchwork of risk measures - including standalone CVA charge - may be left intact
Despite the remarkable advances made over the past 25 years, David Rowe argues the industry’s existing risk models are not fit for purpose when it comes to stress testing and analysis of tail risk
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.
More Market risk articles
Cutting Edge introduction: risky contributions
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...
Economic turmoil taxes market risk models
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
Risk managers complain about Fed stress test workload
Twelve new banks are included in this year's US stress test, and some institutions are unhappy about the extra work
Basel 2.5: US ratings workaround too punitive, banks complain
Securitisations suffer in draft rules that avoid use of credit ratings - a Dodd-Frank Act requirement
Cutting Edge introduction: requiem for a probabilist
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...
Dealers count cost of Santander's Brazilian real hedges
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
Credit Suisse and UBS on Basel 2.5: Half a world away
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...
How can investment banks use grid technology?
Learn how technology is enhancing risk management
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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What’s next for fixed-income ETFs and structured products?
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Risk USA
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Using market and credit risk analytics to strengthen performance
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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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