As the financial crisis showed, the market sometimes does not know what something is worth. David Rowe argues explicit estimates of value uncertainty would be a better way of addressing this than so-called...
Latest data on op risk losses from SAS
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A fundamental component in the modeling of a financial risk exposure is the estimation of the probability distribution function that best describes the true data-generation process of independent and extreme loss events that fall above a certain threshold....
In many respects, the "London whale" scandal at JPMorgan Chase is similar to other "rogue trading" events, in that a group of traders took large, speculative positions in complex derivative securities that went wrong, resulting in over US$6 billion of...
In this paper, the authors compare credit risk models that are used for loan portfolios, both from a theoretical perspective and via simulation studies.
This paper presents a methodology to calibrate the distribution of losses observed in operational risk events.
Backtesting is an essential component of the implementation and operation of any risk model. As perhaps the most well-known market risk metric, value-at-risk (VaR) has received regulatory, industry and academic backtesting scrutiny.
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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