VAR
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
A new VAR terminology
In the first of a four-part series, David Rowe considers the development of financial risk management over the past 25 years and offers some thoughts about its future direction
Valid Assumptions Required: an analysis of VaR for energy markets
In this 10-part series, Brett Humphreys takes a fresh look at the widely used risk measure value-at-risk (VaR), urging risk managers to be more aware of the many assumptions that go into the calculation...
What does VAR mean in 2010?
Value-at-risk figures fell across the industry in 2009, while exceptions dropped significantly from levels in 2007 and 2008. But discussion over what VAR figures actually show and how the numbers are...
Hammers and nails
Excess regard for the techniques we know can lead to these methods being misapplied. Risk managers too often fall into this trap, argues David Rowe
Exceptions to the rule
Regulators have traditionally seen value-at-risk exceptions as an early warning of weaknesses in bank risk models. However, the financial crisis has shown VAR exceptions cannot be used to predict bank...
Anticipating and mitigating catastrophic risk
Recent market turmoil has put risk management firmly in the spotlight, with regulators, lawmakers, industry practitioners, senior management, and the press all scrutinizing current risk management practices....
Calmer markets reflected in VAR figures
Lower volatility across asset classes in the second quarter of the year produced lower value-at-risk figures at almost all major banks, according to a Risk survey. Available figures for major bank VAR...
Basel changes could "kill off correlation trading”
Proposed changes to the Basel II Accord’s trading book regime, due in early July, will make correlation trading uneconomical unless a compromise can be found, say dealers.
Sting in the tail
Credit spreads on highly rated names have blown out to levels that are proving irresistible to many buy-and-hold investors such as pension funds. But tail risk in the form of increased default expectations...
Topics of interest
Related conferences
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Credit Institute
UK, 28th - 28th Sep 2010
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Solvency II and Risk Management
UK, 5th - 5th Oct 2010
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Credit Risk Summit
UK, 14th - 15th Oct 2010
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Risk USA
USA, 1st - 4th Nov 2010
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Quant Congress Europe
UK, 9th - 11th Nov 2010
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