Expectiles have been mooted as an alternative risk measure to value-at-risk (VAR) and expected shortfall. Here, Richard Martin derives their saddlepoint approximation and shows that their risk contributions...
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Industry panel warns that companies need to pay attention to data integrity and continuity as well as data losses
Regulators sparked a lively theoretical debate at the biggest banks by proposing the use of expected shortfall as the trading book capital metric in place of the simpler incumbent measure, value-at-risk. But for small to medium-sized banks, the issue...
Regulators are preparing to label some mutual funds and hedge funds as systemically important – a tag that brings with it the possibility of heavy-handed intervention by bank supervisors. Buy-siders are already raising the prospect of legal retaliation....
The cost of a data loss has been highlighted by the embarrassing breach of security at the US Federal Reserve – and banks should be aware that regulatory fines will not be the largest item on the bill for a major loss of customer data
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.
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