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
China plans onshore renminbi cross-currency swap
Chinese corporates will now have access to onshore and offshore hedging markets
Overcoming emerging market risk in Asia’s energy markets
Energising the future
Equity markets in constant state of extreme event expectation, says expert
Models of US and UK equity markets show players expect fresh outbreak of crisis
Risk managers search for eurozone defences
Danger zone
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 hears
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, says CBB
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
Throwing the book
New dynamic risk measure launched
Tool can capture the time evolution of market risk for energy and commodity-linked positions
Is VAR a useful tool in volatile markets?
Is VAR a useful tool in volatile markets?
Quant unlocks the physics of the flash crash
The flash crash was statistically distinct from other market panics, and can be understood with a little help from the physics of supercool magnets
15 minutes with: Stacy Williams, HSBC
Senior quant discusses the high levels of cross-asset correlation across today's markets
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
Analysing correlations under stress
Analysing correlations under stress
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 portfolio theory
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”
Ring-fencing may not protect benefits
Ring-fencing assets may not protect policyholder benefits, says Ceiops
