VAR
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...
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...
Hard times for VaR
The Basel Committee's ambitious plan to overhaul VaR models is coming in for fierce criticism. By John Ferry
Challenging times for VAR
With the release of three new consultation papers in January, the Basel Committee has come up with its most ambitious plans yet for tackling the challenges presented by the financial crisis. But its...
Error of VAR by overlapping intervals
When overlapping intervals in time series are used, volatility and price changes' percentiles are underestimated. Consequently, value-at-risk is also underestimated. Heng Sun, Izzy Nelken, Guowen Han...
The risk of value-at-risk
Value-at-risk at the world's leading banks rose sharply in 2008, as firms struggled to get to grips with elevated volatility levels. Exceptions also soared, reigniting the debate over the accuracy of...
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