Market risk
Falling VAR reflects calmer year and warier bankers
Banks have seen value-at-risk figures fall over 2010, but risk measure may be on the way out
Chinese corporates will now have access to onshore and offshore hedging markets
With countries such as Indonesia and the Philippines trying to increase domestic energy capacity, Alex Davis examines how both emerging nations in the Asia-Pacific rim and international banks and energy...
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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
Equity markets in constant state of extreme event expectation, says...
Models of US and UK equity markets show players expect fresh outbreak of crisis
Risk managers search for eurozone defences
Following Ireland’s bail-out in November, bank risk managers accept the eurozone crisis is here to stay and are trying to guard against the worst. Some are looking for practical responses, others for smart hedges – but nobody is finding it easy. Duncan...
Aegon looks to cost of capital to price optionality in VA liabilities
A proposed new modelling framework from the Dutch insurer's US arm uses cost of capital in an analogous role to the market price of risk in traditional pricing theory to value long-dated options embedded in VA liabilities
Valuation of with-profit insurance policies with interest rate guarantees...
Classical with-profit life insurance products are traditionally backed by a buy-and-hold bond investment strategy. Using book-value accounting for such products tends to lead to a design of the guarantee rate based on an average of long-term interest...
Quant Congress Europe: Robotrading doesn't destabilise markets, conference...
Automated trading not to blame for higher equity volatility during the crisis, says senior quant
Risk Middle East: Industry-wide stress tests to become part of life...
A new focus on tail risk is making stress testing a key tool for banks - and also for their regulators.
Back to the drawing board for trading book rules
The Basel Committee is preparing to conduct a fundamental review of its trading book rules in 2011, even before a package of changes to the market risk framework has come into force. What are regulators trying to achieve and how is the industry responding?...
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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