Market risk
New dynamic risk measure launched
Tool can capture the time evolution of market risk for energy and commodity-linked positions
Value-at-risk models have been slammed for failing to adapt to increased volatility during the financial crisis, leading to high numbers of VAR exceptions. Did VAR models fail? By Patricio Contreras
The flash crash was statistically distinct from other market panics, and can be understood with a little help from the physics of supercool magnets
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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
15 minutes with: Stacy Williams, HSBC
Senior quant discusses the high levels of cross-asset correlation across today's markets
Analysing correlations under stress
A structural assessment of co-variability during periods of stress can improve crisis management and contribute to better strategic planning, argues David Rowe
Industry expresses concern over timing of Basel trading book review
Plans to overhaul the Basel trading book in 2011 have raised concerns about implementation targets
Understanding value at risk for insurers
Deborah Cernauskas, Gabriel David and Anthony Tarantino propose an amended approach to value-at-risk that focuses on the drivers of risk and the use of agent-based modelling and simulation to capture the bounded rationality of human decision-making...
State Street advises institutional investors to move away from modern...
New report suggests investors should move away from using normal return distributions under modern portfolio theory
M&G slams Cebs stress tests
Fund manager criticises sovereign risk assumptions and raises Basel III fears
Seven banks fail Cebs stress tests
Institutions in Germany, Spain and Greece would be unable to maintain capital levels under “adverse scenarios”
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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